Options Daily 08.06.2020

NIFTY Summary:

  1. Jun 10400 calls added 1,08,675 contracts.
  2. Jun 10000 calls shed 1,44,300.
  3. Jun 9500 puts added 82,050.
  4. Jun 8000 puts shed 43,200.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 187.83 852.77
5 202.40 844.49
10 217.40 837.20
20 228.84 840.73

NIFTY 50 NIFTY BANK
TrueRange 148.70 808.25
TrueHigh 10177.80 21198.70
TrueLow 10029.10 20390.45
Avg. True Range

NIFTY.50 NIFTY.BANK
3 187.83 852.77
5 202.40 844.49
10 217.40 837.20
20 228.84 840.73

NIFTY 50 NIFTY BANK
TrueRange 148.70 808.25
TrueHigh 10177.80 21198.70
TrueLow 10029.10 20390.45
Avg. True Range

NIFTY.50 NIFTY.BANK
3 187.83 852.77
5 202.40 844.49
10 217.40 837.20
20 228.84 840.73

NIFTY 50 NIFTY BANK
TrueRange 148.70 808.25
TrueHigh 10177.80 21198.70
TrueLow 10029.10 20390.45

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

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

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 30.38 30.38 30.38 30.38 30.38
σ 1.22 0.88 0.64 0.48 0.38

Marketwide OI

Securities under ban today: BHEL, NCC.
market wide position limit chart

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