Options Daily 03.08.2020

NIFTY Summary:

  1. Aug 11100 calls added 1,67,775 contracts.
  2. Aug 11600 calls shed 9,750.
  3. Aug 11100 puts added 1,43,925.
  4. Aug 11250 puts shed 75.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 164.76 551.04
5 165.73 572.11
10 165.27 590.98
20 163.93 602.77

NIFTY 50 NIFTY BANK
TrueRange 123.75 431.95
TrueHigh 11150.40 21806.95
TrueLow 11026.65 21375.00
Avg. True Range

NIFTY.50 NIFTY.BANK
3 164.76 551.04
5 165.73 572.11
10 165.27 590.98
20 163.93 602.77

NIFTY 50 NIFTY BANK
TrueRange 123.75 431.95
TrueHigh 11150.40 21806.95
TrueLow 11026.65 21375.00
Avg. True Range

NIFTY.50 NIFTY.BANK
3 164.76 551.04
5 165.73 572.11
10 165.27 590.98
20 163.93 602.77

NIFTY 50 NIFTY BANK
TrueRange 123.75 431.95
TrueHigh 11150.40 21806.95
TrueLow 11026.65 21375.00

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

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 24.64 24.64 24.64 24.64 24.64
σ 0.44 0.44 0.44 0.44 0.44

Marketwide OI

market wide position limit chart

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