Options Daily 09.09.2019

NIFTY Summary:

  1. Sep 11300 calls added 2,05,050 contracts.
  2. Sep 10900 calls shed 2,29,350.
  3. Sep 10500 puts added 1,70,850.
  4. Sep 10250 puts shed 2,775.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.04 493.64
5 144.95 525.64
10 156.76 548.67
20 163.97 559.65

NIFTY 50 NIFTY BANK
TrueRange 109.15 391.35
TrueHigh 10957.05 27311.05
TrueLow 10847.90 26919.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.04 493.64
5 144.95 525.64
10 156.76 548.67
20 163.97 559.65

NIFTY 50 NIFTY BANK
TrueRange 109.15 391.35
TrueHigh 10957.05 27311.05
TrueLow 10847.90 26919.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.04 493.64
5 144.95 525.64
10 156.76 548.67
20 163.97 559.65

NIFTY 50 NIFTY BANK
TrueRange 109.15 391.35
TrueHigh 10957.05 27311.05
TrueLow 10847.90 26919.70

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP 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 14.11 14.11 14.11 14.11 14.11
σ 1.97 1.81 1.69 1.60 1.52

Marketwide OI

market wide position limit chart

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