Options Daily 27.03.2020

NIFTY Summary:

  1. Apr 12000 calls added 6,00,750 contracts.
  2. Mar 8500 calls shed 6,38,325.
  3. Apr 8500 puts added 6,67,800.
  4. Mar 7000 puts shed 8,23,800.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 631.26 2155.95
5 663.61 2135.47
10 595.01 1847.25
20 468.07 1434.77

NIFTY 50 NIFTY BANK
TrueRange 444.15 2044.85
TrueHigh 8749.05 20409.35
TrueLow 8304.90 18364.50

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

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 73.63 73.63 73.63 73.63 73.63
σ 2.13 2.16 2.19 2.22 2.25

Marketwide OI

market wide position limit chart

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