Options Daily 07.07.2020

NIFTY Summary:

  1. Jul 11000 calls added 1,60,575 contracts.
  2. Jul 10600 calls shed 6,225.
  3. Jul 10500 puts added 2,06,550.
  4. Jul 9600 puts shed 10,10,400.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 156.49 523.93
5 162.84 580.54
10 183.59 680.82
20 203.78 766.85

NIFTY 50 NIFTY BANK
TrueRange 204.05 546.85
TrueHigh 10811.40 22399.25
TrueLow 10607.35 21852.40
Avg. True Range

NIFTY.50 NIFTY.BANK
3 156.49 523.93
5 162.84 580.54
10 183.59 680.82
20 203.78 766.85

NIFTY 50 NIFTY BANK
TrueRange 204.05 546.85
TrueHigh 10811.40 22399.25
TrueLow 10607.35 21852.40

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 29.58 29.58 29.58 29.58 29.58
σ 4.39 4.38 4.38 4.38 4.38

Marketwide OI

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

Comments are closed, but trackbacks and pingbacks are open.