Options Daily 16.08.2019

NIFTY Summary:

  1. Aug 12000 calls added 9,11,475 contracts.
  2. Aug 12200 calls shed 600.
  3. Aug 11000 puts added 7,90,575.
  4. Aug 11250 puts shed 600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 184.33 558.10
5 183.40 576.80
10 171.14 549.38
20 154.88 498.08

NIFTY 50 NIFTY BANK
TrueRange 152.30 380.40
TrueHigh 11078.15 28107.05
TrueLow 10925.85 27726.65

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 14.08 14.08 14.08 14.08 14.08
σ 2.05 1.86 1.71 1.60 1.52

Marketwide OI

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

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