Options Daily 07.09.2020

NIFTY Summary:

  1. Sep 11600 calls added 1,34,775 contracts.
  2. Sep 12200 calls shed 1,800.
  3. Sep 10600 puts added 1,61,625.
  4. Sep 11300 puts shed 225.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 173.68 687.07
5 167.23 679.81
10 157.84 620.73
20 153.18 563.33

NIFTY 50 NIFTY BANK
TrueRange 223.80 653.95
TrueHigh 11527.45 23530.85
TrueLow 11303.65 22876.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 173.68 687.07
5 167.23 679.81
10 157.84 620.73
20 153.18 563.33

NIFTY 50 NIFTY BANK
TrueRange 223.80 653.95
TrueHigh 11527.45 23530.85
TrueLow 11303.65 22876.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 173.68 687.07
5 167.23 679.81
10 157.84 620.73
20 153.18 563.33

NIFTY 50 NIFTY BANK
TrueRange 223.80 653.95
TrueHigh 11527.45 23530.85
TrueLow 11303.65 22876.90

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

Marketwide OI

Securities under ban today: BHEL, CANBK, IBULHSGFIN, IDEA, JINDALSTEL, PNB.
market wide position limit chart

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