Options Daily 13.09.2019

NIFTY Summary:

  1. Sep 11000 calls added 9,61,725 contracts.
  2. Sep 11800 calls shed 300.
  3. Sep 11000 puts added 10,56,300.
  4. Sep 11000 puts shed 18,28,125.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 110.16 402.38
5 123.75 454.22
10 143.92 513.21
20 159.66 553.14

NIFTY 50 NIFTY BANK
TrueRange 116.80 297.60
TrueHigh 11081.75 28062.30
TrueLow 10964.95 27764.70

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 12.74 12.74 12.74 12.74 12.74
σ 2.28 2.40 2.51 2.62 2.72

Marketwide OI

market wide position limit chart

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