Options Daily 15.01.2020

NIFTY Summary:

  1. Jan 12400 calls added 1,22,100 contracts.
  2. Jan 12150 calls shed 675.
  3. Jan 12300 puts added 2,60,550.
  4. Jan 11700 puts shed 2,42,025.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 101.80 374.87
5 111.77 422.66
10 112.04 425.92
20 107.73 407.09

NIFTY 50 NIFTY BANK
TrueRange 65.55 207.25
TrueHigh 12374.25 32196.45
TrueLow 12308.70 31989.20
Avg. True Range

NIFTY.50 NIFTY.BANK
3 101.80 374.87
5 111.77 422.66
10 112.04 425.92
20 107.73 407.09

NIFTY 50 NIFTY BANK
TrueRange 65.55 207.25
TrueHigh 12374.25 32196.45
TrueLow 12308.70 31989.20

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(3,0)+GARCH(1,1) model:

VIX 13.91 13.91 13.91 13.91 13.91
σ 0.04 0.04 0.04 0.04 0.04

Marketwide OI

market wide position limit chart

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