Options Daily 11.02.2020

NIFTY Summary:

  1. Feb 12000 calls added 92,850 contracts.
  2. Feb 13000 calls shed 150.
  3. Feb 12000 puts added 1,50,525.
  4. Feb 12200 puts shed 2,475.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 124.70 407.73
5 139.38 456.81
10 142.71 483.74
20 136.42 489.77

NIFTY 50 NIFTY BANK
TrueRange 112.80 291.60
TrueHigh 12103.55 31248.80
TrueLow 11990.75 30957.20
Avg. True Range

NIFTY.50 NIFTY.BANK
3 124.70 407.73
5 139.38 456.81
10 142.71 483.74
20 136.42 489.77

NIFTY 50 NIFTY BANK
TrueRange 112.80 291.60
TrueHigh 12103.55 31248.80
TrueLow 11990.75 30957.20

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

FEB NIFTY Volatility

FEB NIFTY Volatility chart

FEB BANKNIFTY Volatility

FEB 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 16.51 16.51 16.51 16.51 16.51
σ 2.30 2.30 2.29 2.29 2.29

Marketwide OI

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

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