Options Daily 05.11.2019

NIFTY Summary:

  1. Nov 12000 calls added 79,800 contracts.
  2. Nov 12200 calls shed 13,200.
  3. Nov 11900 puts added 1,38,075.
  4. Nov 11400 puts shed 19,650.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 102.34 413.81
5 112.43 453.87
10 135.95 579.64
20 162.90 734.21

NIFTY 50 NIFTY BANK
TrueRange 98.55 379.80
TrueHigh 11989.15 30607.05
TrueLow 11890.60 30227.25
Avg. True Range

NIFTY.50 NIFTY.BANK
3 102.34 413.81
5 112.43 453.87
10 135.95 579.64
20 162.90 734.21

NIFTY 50 NIFTY BANK
TrueRange 98.55 379.80
TrueHigh 11989.15 30607.05
TrueLow 11890.60 30227.25

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

NOV NIFTY OI

NOV NIFTY OI chart

NOV BANKNIFTY OI

NOV BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

NOV NIFTY Volatility

NOV NIFTY Volatility chart

NOV BANKNIFTY Volatility

NOV 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 16.06 16.06 16.06 16.06 16.06
σ 1.05 1.48 1.80 2.08 2.32

Marketwide OI

market wide position limit chart

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