Options Daily 03.01.2020

NIFTY Summary:

  1. Jan 12300 calls added 11,16,375 contracts.
  2. Jan 12200 calls shed 23,25,000.
  3. Jan 12200 puts added 13,43,175.
  4. Jan 11950 puts shed 5,175.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 90.98 323.71
5 90.78 319.74
10 94.01 329.69
20 99.32 351.72

NIFTY 50 NIFTY BANK
TrueRange 107.40 362.55
TrueHigh 12289.90 32465.45
TrueLow 12182.50 32102.90

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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 12.75 12.75 12.75 12.75 12.75
σ 1.15 1.08 1.02 0.97 0.93

Marketwide OI

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

Comments are closed, but trackbacks and pingbacks are open.