Options Daily 28.11.2019

NIFTY Summary:

  1. Dec 12100 calls added 2,08,725 contracts.
  2. Dec 11900 calls shed 11,850.
  3. Dec 12100 puts added 3,20,175.
  4. Dec 11750 puts shed 5,025.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 104.21 326.39
5 103.71 354.74
10 105.79 398.27
20 110.24 432.26

NIFTY 50 NIFTY BANK
TrueRange 77.20 198.45
TrueHigh 12114.90 31916.80
TrueLow 12037.70 31718.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 104.21 326.39
5 103.71 354.74
10 105.79 398.27
20 110.24 432.26

NIFTY 50 NIFTY BANK
TrueRange 77.20 198.45
TrueHigh 12114.90 31916.80
TrueLow 12037.70 31718.35

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

NOV NIFTY OI

NOV NIFTY OI chart

NOV BANKNIFTY OI

NOV BANKNIFTY OI chart

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC 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

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC 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 16.04 16.04 16.04 16.04 16.04
σ 1.71 1.96 2.18 2.38 2.56

Marketwide OI

Securities under ban today: YESBANK.
market wide position limit chart

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