Options Daily 07.11.2019

NIFTY Summary:

  1. Nov 12000 calls added 2,36,775 contracts.
  2. Nov 12800 calls shed 450.
  3. Nov 11900 puts added 3,14,400.
  4. Nov 11400 puts shed 6,450.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 122.38 492.65
5 120.72 483.60
10 127.35 540.03
20 137.11 627.97

NIFTY 50 NIFTY BANK
TrueRange 152.65 685.35
TrueHigh 12002.90 30699.00
TrueLow 11850.25 30013.65
Avg. True Range

NIFTY.50 NIFTY.BANK
3 122.38 492.65
5 120.72 483.60
10 127.35 540.03
20 137.11 627.97

NIFTY 50 NIFTY BANK
TrueRange 152.65 685.35
TrueHigh 12002.90 30699.00
TrueLow 11850.25 30013.65

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

NOV NIFTY OI

NOV NIFTY OI chart

NOV BANKNIFTY OI

NOV BANKNIFTY OI chart

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 1.06 1.46 1.78 2.05 2.29

Marketwide OI

market wide position limit chart

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