Options Daily 27.05.2020

NIFTY Summary:

  1. Jun 9200 calls added 2,14,350 contracts.
  2. May 10000 calls shed 8,08,800.
  3. Jun 8500 puts added 2,04,300.
  4. Jun 8000 puts shed 35,475.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 183.55 632.26
5 201.40 698.02
10 223.03 779.94
20 237.64 842.75

NIFTY 50 NIFTY BANK
TrueRange 165.00 402.80
TrueHigh 9161.65 17681.70
TrueLow 8996.65 17278.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 183.55 632.26
5 201.40 698.02
10 223.03 779.94
20 237.64 842.75

NIFTY 50 NIFTY BANK
TrueRange 165.00 402.80
TrueHigh 9161.65 17681.70
TrueLow 8996.65 17278.90

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN 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 38.24 38.24 38.24 38.24 38.24
σ 6.77 6.77 6.76 6.76 6.76

Marketwide OI

market wide position limit chart

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