Options Daily 29.07.2020

NIFTY Summary:

  1. Aug 11300 calls added 1,48,275 contracts.
  2. Aug 11700 calls shed 38,625.
  3. Aug 11200 puts added 2,90,475.
  4. Aug 10200 puts shed 2,42,250.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 159.79 649.45
5 160.27 628.40
10 163.53 624.35
20 165.79 631.60

NIFTY 50 NIFTY BANK
TrueRange 185.95 621.60
TrueHigh 11317.75 22233.00
TrueLow 11131.80 21611.40
Avg. True Range

NIFTY.50 NIFTY.BANK
3 159.79 649.45
5 160.27 628.40
10 163.53 624.35
20 165.79 631.60

NIFTY 50 NIFTY BANK
TrueRange 185.95 621.60
TrueHigh 11317.75 22233.00
TrueLow 11131.80 21611.40

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

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 1.23 1.23 1.23 1.23 1.23

Marketwide OI

Comments are closed, but trackbacks and pingbacks are open.