Options Daily 14.08.2019

NIFTY Summary:

  1. Aug 11100 calls added 2,84,475 contracts.
  2. Aug 10500 calls shed 75.
  3. Aug 10500 puts added 1,63,275.
  4. Aug 11150 puts shed 2,850.

Our trend model indicates a SHORT on the NIFTY and SHORT on the BANKNIFTY.

Avg. True Range

NIFTY.50 NIFTY.BANK
3 200.34 646.95
5 191.08 625.68
10 172.30 566.27
20 152.76 498.22

NIFTY 50 NIFTY BANK
TrueRange 244.30 748.40
TrueHigh 11145.90 28431.90
TrueLow 10901.60 27683.50
Avg. True Range

NIFTY.50 NIFTY.BANK
3 200.34 646.95
5 191.08 625.68
10 172.30 566.27
20 152.76 498.22

NIFTY 50 NIFTY BANK
TrueRange 244.30 748.40
TrueHigh 11145.90 28431.90
TrueLow 10901.60 27683.50

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(0,0)+GARCH(1,1) model:

VIX 12.68 12.68 12.68 12.68 12.68
σ 5.15 5.20 5.25 5.30 5.35

Marketwide OI

Securities under ban today: DHFL.
market wide position limit chart

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