Options Daily 11.10.2019

NIFTY Summary:

  1. Oct 12000 calls added 7,63,350 contracts.
  2. Oct 10950 calls shed 75.
  3. Oct 10500 puts added 6,36,375.
  4. Oct 11900 puts shed 75.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 162.98 920.46
5 174.90 920.95
10 180.05 868.12
20 172.79 767.78

NIFTY 50 NIFTY BANK
TrueRange 104.75 871.70
TrueHigh 11313.30 28785.85
TrueLow 11208.55 27914.15

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 14.24 14.24 14.24 14.24 14.24
σ 2.66 2.38 2.16 1.97 1.83

Marketwide OI

market wide position limit chart

Comments are closed, but trackbacks and pingbacks are open.