Options Daily 07.10.2019

NIFTY Summary:

  1. Oct 11500 calls added 1,30,800 contracts.
  2. Oct 12500 calls shed 3,075.
  3. Oct 11000 puts added 55,950.
  4. Oct 11700 puts shed 75.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 198.04 950.77
5 198.40 943.98
10 194.94 873.68
20 183.08 765.35

NIFTY 50 NIFTY BANK
TrueRange 241.95 1076.60
TrueHigh 11400.30 28730.30
TrueLow 11158.35 27653.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 198.04 950.77
5 198.40 943.98
10 194.94 873.68
20 183.08 765.35

NIFTY 50 NIFTY BANK
TrueRange 241.95 1076.60
TrueHigh 11400.30 28730.30
TrueLow 11158.35 27653.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 198.04 950.77
5 198.40 943.98
10 194.94 873.68
20 183.08 765.35

NIFTY 50 NIFTY BANK
TrueRange 241.95 1076.60
TrueHigh 11400.30 28730.30
TrueLow 11158.35 27653.70

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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 14.22 14.22 14.22 14.22 14.22
σ 2.96 2.63 2.36 2.14 1.96

Marketwide OI

market wide position limit chart

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