NIFTY Summary:
- Jul 11600 calls added 4,36,125 contracts.
- Jul 12200 calls shed 1,275.
- Jul 11400 puts added 2,50,050.
- Jul 11700 puts shed 7,875.
Our trend model indicates a SHORT on the NIFTY and LONG on the BANKNIFTY.
Avg. True Range
| NIFTY.50 | NIFTY.BANK | |
|---|---|---|
| 3 | 142.36 | 405.73 |
| 5 | 136.32 | 398.72 |
| 10 | 131.72 | 406.06 |
| 20 | 132.19 | 430.69 |
| NIFTY 50 | NIFTY BANK | |
|---|---|---|
| TrueRange | 118.05 | 299.75 |
| TrueHigh | 11593.70 | 30728.35 |
| TrueLow | 11475.65 | 30428.60 |
Avg. True Range
| NIFTY.50 | NIFTY.BANK | |
|---|---|---|
| 3 | 142.36 | 405.73 |
| 5 | 136.32 | 398.72 |
| 10 | 131.72 | 406.06 |
| 20 | 132.19 | 430.69 |
| NIFTY 50 | NIFTY BANK | |
|---|---|---|
| TrueRange | 118.05 | 299.75 |
| TrueHigh | 11593.70 | 30728.35 |
| TrueLow | 11475.65 | 30428.60 |
Nifty 50 Returns Density Plot
JUL NIFTY OI
JUL BANKNIFTY OI
NIFTY Weighted Avg. Open Interest
JUL NIFTY Volatility
JUL BANKNIFTY Volatility
Dotted lines indicated actual underlying volatility. Solid lines are IVs.
VIX Density Plot
5-day forecast based on ARMA(0,0)+GARCH(1,1) model:
| VIX | 12.63 | 12.63 | 12.63 | 12.63 | 12.63 |
| σ | 1.27 | 1.49 | 1.67 | 1.84 | 2.00 |
Marketwide OI
Securities under ban today: DHFL, IDBI, RELCAPITAL, RELINFRA.
Comments are closed, but trackbacks and pingbacks are open.