Options Daily 27.07.2020

NIFTY Summary:

  1. Aug 12000 calls added 3,10,125 contracts.
  2. Aug 12500 calls shed 4,650.
  3. Aug 10300 puts added 1,80,300.
  4. Aug 10950 puts shed 1,875.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 151.48 561.72
5 158.10 571.20
10 165.25 602.24
20 171.18 635.51

NIFTY 50 NIFTY BANK
TrueRange 135.10 666.70
TrueHigh 11225.40 23083.90
TrueLow 11090.30 22417.20
Avg. True Range

NIFTY.50 NIFTY.BANK
3 151.48 561.72
5 158.10 571.20
10 165.25 602.24
20 171.18 635.51

NIFTY 50 NIFTY BANK
TrueRange 135.10 666.70
TrueHigh 11225.40 23083.90
TrueLow 11090.30 22417.20
Avg. True Range

NIFTY.50 NIFTY.BANK
3 151.48 561.72
5 158.10 571.20
10 165.25 602.24
20 171.18 635.51

NIFTY 50 NIFTY BANK
TrueRange 135.10 666.70
TrueHigh 11225.40 23083.90
TrueLow 11090.30 22417.20

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG 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

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG 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 24.87 24.87 24.87 24.87 24.87
σ 0.34 0.34 0.34 0.34 0.34

Marketwide OI

Securities under ban today: ADANIENT, BHEL, GLENMARK, GMRINFRA, IBULHSGFIN, IDEA, NATIONALUM, RBLBANK, SAIL, SUNTV.
market wide position limit chart

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