Options Daily 24.03.2020

NIFTY Summary:

  1. Apr 9000 calls added 45,375 contracts.
  2. Apr 12500 calls shed 525.
  3. Apr 7000 puts added 49,350.
  4. Apr 9000 puts shed 1,875.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 871.41 2534.78
5 784.29 2282.61
10 614.57 1797.93
20 444.02 1306.51

NIFTY 50 NIFTY BANK
TrueRange 1161.85 3526.55
TrueHigh 8745.45 20317.60
TrueLow 7583.60 16791.05
Avg. True Range

NIFTY.50 NIFTY.BANK
3 871.41 2534.78
5 784.29 2282.61
10 614.57 1797.93
20 444.02 1306.51

NIFTY 50 NIFTY BANK
TrueRange 1161.85 3526.55
TrueHigh 8745.45 20317.60
TrueLow 7583.60 16791.05

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

MAR BANKNIFTY Volatility chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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 69.75 69.75 69.75 69.75 69.75
σ 1.57 1.19 0.99 0.89 0.85

Marketwide OI

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