Options Daily 09.10.2019

NIFTY Summary:

  1. Oct 11300 calls added 1,28,700 contracts.
  2. Oct 11600 calls shed 3,93,675.
  3. Oct 10700 puts added 1,02,675.
  4. Oct 11300 puts shed 2,91,000.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 172.42 839.44
5 182.96 878.48
10 187.20 846.22
20 179.26 754.85

NIFTY 50 NIFTY BANK
TrueRange 121.20 616.80
TrueHigh 11233.85 28185.15
TrueLow 11112.65 27568.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 172.42 839.44
5 182.96 878.48
10 187.20 846.22
20 179.26 754.85

NIFTY 50 NIFTY BANK
TrueRange 121.20 616.80
TrueHigh 11233.85 28185.15
TrueLow 11112.65 27568.35

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 15.95 15.95 15.95 15.95 15.95
σ 2.17 2.43 2.66 2.88 3.08

Marketwide OI

market wide position limit chart

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