Options Daily 05.12.2019

NIFTY Summary:

  1. Dec 12000 calls added 1,24,275 contracts.
  2. Dec 12400 calls shed 27,075.
  3. Dec 12000 puts added 3,21,450.
  4. Dec 12350 puts shed 10,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 112.35 428.85
5 108.88 398.40
10 107.40 399.73
20 108.92 423.61

NIFTY 50 NIFTY BANK
TrueRange 119.40 573.75
TrueHigh 12054.70 32017.75
TrueLow 11935.30 31444.00
Avg. True Range

NIFTY.50 NIFTY.BANK
3 112.35 428.85
5 108.88 398.40
10 107.40 399.73
20 108.92 423.61

NIFTY 50 NIFTY BANK
TrueRange 119.40 573.75
TrueHigh 12054.70 32017.75
TrueLow 11935.30 31444.00

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 16.07 16.07 16.07 16.07 16.07
σ 2.91 3.07 3.22 3.37 3.51

Marketwide OI

market wide position limit chart

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