Options Daily 11.11.2019

NIFTY Summary:

  1. Nov 12100 calls added 70,500 contracts.
  2. Nov 11700 calls shed 1,38,000.
  3. Nov 11600 puts added 47,625.
  4. Nov 12000 puts shed 2,23,425.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 119.42 500.14
5 118.28 487.99
10 124.99 533.73
20 134.82 612.83

NIFTY 50 NIFTY BANK
TrueRange 145.40 604.35
TrueHigh 12034.15 31108.40
TrueLow 11888.75 30504.05
Avg. True Range

NIFTY.50 NIFTY.BANK
3 119.42 500.14
5 118.28 487.99
10 124.99 533.73
20 134.82 612.83

NIFTY 50 NIFTY BANK
TrueRange 145.40 604.35
TrueHigh 12034.15 31108.40
TrueLow 11888.75 30504.05
Avg. True Range

NIFTY.50 NIFTY.BANK
3 119.42 500.14
5 118.28 487.99
10 124.99 533.73
20 134.82 612.83

NIFTY 50 NIFTY BANK
TrueRange 145.40 604.35
TrueHigh 12034.15 31108.40
TrueLow 11888.75 30504.05

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 1.03 1.44 1.76 2.02 2.26

Marketwide OI

market wide position limit chart

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