Options Daily 06.07.2020

NIFTY Summary:

  1. Jul 10900 calls added 1,69,200 contracts.
  2. Jul 10300 calls shed 35,250.
  3. Jul 10300 puts added 83,025.
  4. Jul 8900 puts shed 600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.70 512.46
5 152.44 588.46
10 180.53 688.96
20 201.63 763.48

NIFTY 50 NIFTY BANK
TrueRange 79.60 362.30
TrueHigh 10631.30 22130.30
TrueLow 10551.70 21768.00
Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.70 512.46
5 152.44 588.46
10 180.53 688.96
20 201.63 763.48

NIFTY 50 NIFTY BANK
TrueRange 79.60 362.30
TrueHigh 10631.30 22130.30
TrueLow 10551.70 21768.00

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL 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 29.59 29.59 29.59 29.59 29.59
σ 3.82 3.81 3.81 3.81 3.81

Marketwide OI

Securities under ban today: GLENMARK, IBULHSGFIN, IDEA, SAIL.
market wide position limit chart

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