Options Daily 08.09.2020

NIFTY Summary:

  1. Sep 11500 calls added 81,525 contracts.
  2. Sep 11900 calls shed 5,250.
  3. Sep 11200 puts added 1,26,600.
  4. Sep 11500 puts shed 2,14,425.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 158.94 589.00
5 159.67 622.35
10 154.73 596.29
20 150.69 550.31

NIFTY 50 NIFTY BANK
TrueRange 129.45 392.85
TrueHigh 11381.15 23109.10
TrueLow 11251.70 22716.25
Avg. True Range

NIFTY.50 NIFTY.BANK
3 158.94 589.00
5 159.67 622.35
10 154.73 596.29
20 150.69 550.31

NIFTY 50 NIFTY BANK
TrueRange 129.45 392.85
TrueHigh 11381.15 23109.10
TrueLow 11251.70 22716.25

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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