Options Daily 30.07.2020

NIFTY Summary:

  1. Aug 11700 calls added 7,02,675 contracts.
  2. Aug 12400 calls shed 11,850.
  3. Aug 11100 puts added 3,27,525.
  4. Aug 10300 puts shed 4,74,600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 170.41 579.65
5 166.49 590.57
10 165.18 602.13
20 164.07 611.05

NIFTY 50 NIFTY BANK
TrueRange 191.65 440.05
TrueHigh 11341.40 22346.40
TrueLow 11149.75 21906.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 170.41 579.65
5 166.49 590.57
10 165.18 602.13
20 164.07 611.05

NIFTY 50 NIFTY BANK
TrueRange 191.65 440.05
TrueHigh 11341.40 22346.40
TrueLow 11149.75 21906.35

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 0.76 0.76 0.76 0.76 0.76

Marketwide OI

Securities under ban today: IDEA.
market wide position limit chart

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