Options Daily 15.09.2020

NIFTY Summary:

  1. Sep 11600 calls added 1,88,850 contracts.
  2. Sep 11400 calls shed 43,650.
  3. Sep 11200 puts added 4,12,875.
  4. Sep 11000 puts shed 1,21,875.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 149.35 584.04
5 150.47 584.35
10 148.37 575.30
20 141.76 541.96

NIFTY 50 NIFTY BANK
TrueRange 185.35 729.15
TrueHigh 11568.90 22757.30
TrueLow 11383.55 22028.15
Avg. True Range

NIFTY.50 NIFTY.BANK
3 149.35 584.04
5 150.47 584.35
10 148.37 575.30
20 141.76 541.96

NIFTY 50 NIFTY BANK
TrueRange 185.35 729.15
TrueHigh 11568.90 22757.30
TrueLow 11383.55 22028.15

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: ADANIENT, BANKBARODA, BHEL, CANBK, ESCORTS, IBULHSGFIN, JINDALSTEL, VEDL.
market wide position limit chart

Comments are closed, but trackbacks and pingbacks are open.