Options Daily 10.06.2020

NIFTY Summary:

  1. Jun 10300 calls added 2,40,825 contracts.
  2. Jun 10800 calls shed 8,35,350.
  3. Jun 10000 puts added 1,32,375.
  4. Jun 10100 puts shed 3,27,075.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 219.66 891.21
5 216.91 872.06
10 223.09 857.55
20 232.28 856.41

NIFTY 50 NIFTY BANK
TrueRange 269.70 939.15
TrueHigh 10291.15 21568.85
TrueLow 10021.45 20629.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 219.66 891.21
5 216.91 872.06
10 223.09 857.55
20 232.28 856.41

NIFTY 50 NIFTY BANK
TrueRange 269.70 939.15
TrueHigh 10291.15 21568.85
TrueLow 10021.45 20629.70

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(5,0)+GARCH(1,1) model:

VIX 30.20 30.20 30.20 30.20 30.20
σ 0.16 0.17 0.17 0.18 0.18

Marketwide OI

Securities under ban today: IDEA, JINDALSTEL, JUSTDIAL, NCC.
market wide position limit chart

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