Options Daily 13.02.2020

NIFTY Summary:

  1. Feb 12400 calls added 1,81,950 contracts.
  2. Feb 12050 calls shed 10,500.
  3. Feb 12200 puts added 4,71,075.
  4. Feb 11400 puts shed 19,125.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 128.00 376.73
5 136.60 421.96
10 141.31 462.73
20 137.43 480.93

NIFTY 50 NIFTY BANK
TrueRange 123.85 288.00
TrueHigh 12231.75 31588.60
TrueLow 12107.90 31300.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 128.00 376.73
5 136.60 421.96
10 141.31 462.73
20 137.43 480.93

NIFTY 50 NIFTY BANK
TrueRange 123.85 288.00
TrueHigh 12231.75 31588.60
TrueLow 12107.90 31300.60

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 13.95 13.95 13.95 13.95 13.95
σ 0.24 0.18 0.15 0.13 0.12

Marketwide OI

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

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