Options Daily 14.01.2020

NIFTY Summary:

  1. Jan 12400 calls added 1,15,125 contracts.
  2. Jan 12250 calls shed 2,025.
  3. Jan 12300 puts added 1,82,250.
  4. Jan 11800 puts shed 1,31,925.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 119.92 458.68
5 123.32 476.42
10 117.25 450.17
20 110.40 420.00

NIFTY 50 NIFTY BANK
TrueRange 80.95 248.60
TrueHigh 12337.75 32322.65
TrueLow 12256.80 32074.05
Avg. True Range

NIFTY.50 NIFTY.BANK
3 119.92 458.68
5 123.32 476.42
10 117.25 450.17
20 110.40 420.00

NIFTY 50 NIFTY BANK
TrueRange 80.95 248.60
TrueHigh 12337.75 32322.65
TrueLow 12256.80 32074.05

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(3,3)+GARCH(1,1) model:

VIX 464777778350546000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00 -608160165889968000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00 632741867672129000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00 -1241266395262730000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00 1240514458488710000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00
σ 89174036758951400000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00 58471511089182900000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00 38339832234961000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00 25139468921248600000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00 16483976606087600000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.00

Marketwide OI

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

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