Options Daily 12.09.2019

NIFTY Summary:

  1. Sep 11100 calls added 6,03,300 contracts.
  2. Sep 11850 calls shed 75.
  3. Sep 11000 puts added 3,62,250.
  4. Sep 10500 puts shed 1,49,925.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 106.83 454.76
5 125.45 493.20
10 146.48 534.96
20 161.21 562.89

NIFTY 50 NIFTY BANK
TrueRange 51.75 325.00
TrueHigh 11054.80 27829.65
TrueLow 11003.05 27504.65
Avg. True Range

NIFTY.50 NIFTY.BANK
3 106.83 454.76
5 125.45 493.20
10 146.48 534.96
20 161.21 562.89

NIFTY 50 NIFTY BANK
TrueRange 51.75 325.00
TrueHigh 11054.80 27829.65
TrueLow 11003.05 27504.65

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 12.74 12.74 12.74 12.74 12.74
σ 2.73 2.83 2.93 3.02 3.11

Marketwide OI

market wide position limit chart

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