Options Daily 31.07.2020

NIFTY Summary:

  1. Aug 12000 calls added 9,90,600 contracts.
  2. Jul 11500 calls shed 13,06,200.
  3. Aug 11000 puts added 8,21,025.
  4. Aug 11300 puts shed 1,43,325.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 185.27 610.58
5 176.19 607.13
10 169.76 610.15
20 165.53 615.47

NIFTY 50 NIFTY BANK
TrueRange 215.00 672.45
TrueHigh 11299.95 22252.60
TrueLow 11084.95 21580.15

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

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 24.70 24.70 24.70 24.70 24.70
σ 0.03 0.03 0.03 0.03 0.03

Marketwide OI

market wide position limit chart

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