Options Daily 21.07.2020

NIFTY Summary:

  1. Jul 11500 calls added 1,83,675 contracts.
  2. Jul 10800 calls shed 2,37,750.
  3. Jul 11000 puts added 5,90,250.
  4. Jul 9500 puts shed 1,91,100.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 187.37 620.01
5 179.23 623.78
10 179.94 648.54
20 191.05 697.03

NIFTY 50 NIFTY BANK
TrueRange 193.50 514.20
TrueHigh 10933.45 22065.00
TrueLow 10739.95 21550.80
Avg. True Range

NIFTY.50 NIFTY.BANK
3 187.37 620.01
5 179.23 623.78
10 179.94 648.54
20 191.05 697.03

NIFTY 50 NIFTY BANK
TrueRange 193.50 514.20
TrueHigh 10933.45 22065.00
TrueLow 10739.95 21550.80
Avg. True Range

NIFTY.50 NIFTY.BANK
3 187.37 620.01
5 179.23 623.78
10 179.94 648.54
20 191.05 697.03

NIFTY 50 NIFTY BANK
TrueRange 193.50 514.20
TrueHigh 10933.45 22065.00
TrueLow 10739.95 21550.80
Avg. True Range

NIFTY.50 NIFTY.BANK
3 170.32 597.89
5 170.61 609.70
10 175.18 637.91
20 186.19 683.52

NIFTY 50 NIFTY BANK
TrueRange 136.20 553.65
TrueHigh 11037.90 22520.45
TrueLow 10901.70 21966.80
Avg. True Range

NIFTY.50 NIFTY.BANK
3 170.32 597.89
5 170.61 609.70
10 175.18 637.91
20 186.19 683.52

NIFTY 50 NIFTY BANK
TrueRange 136.20 553.65
TrueHigh 11037.90 22520.45
TrueLow 10901.70 21966.80

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

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

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

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(0,0)+GARCH(1,1) model:

VIX 25.75 25.75 25.75 25.75 25.75
σ 1.03 1.03 1.03 1.03 1.03

Marketwide OI

Securities under ban today: ADANIENT, BHEL, CANBK, CENTURYTEX, GLENMARK, IDEA, L&TFH, M&MFIN, NATIONALUM, SUNTV.
market wide position limit chart

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