Options Daily 03.12.2019

NIFTY Summary:

  1. Dec 12100 calls added 1,11,675 contracts.
  2. Dec 12700 calls shed 43,650.
  3. Dec 11900 puts added 1,11,225.
  4. Dec 12200 puts shed 825.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 107.14 317.78
5 104.73 334.77
10 105.41 375.73
20 108.73 416.97

NIFTY 50 NIFTY BANK
TrueRange 113.45 303.50
TrueHigh 12137.15 32024.10
TrueLow 12023.70 31720.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 107.14 317.78
5 104.73 334.77
10 105.41 375.73
20 108.73 416.97

NIFTY 50 NIFTY BANK
TrueRange 113.45 303.50
TrueHigh 12137.15 32024.10
TrueLow 12023.70 31720.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

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

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 16.02 16.02 16.02 16.02 16.02
σ 2.05 2.26 2.45 2.63 2.80

Marketwide OI

market wide position limit chart

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