Options Daily 16.09.2020

NIFTY Summary:

  1. Sep 12000 calls added 3,88,050 contracts.
  2. Sep 11500 calls shed 1,83,600.
  3. Sep 11500 puts added 2,01,375.
  4. Sep 10000 puts shed 1,40,400.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 131.54 539.96
5 139.52 557.77
10 142.74 562.70
20 138.82 539.19

NIFTY 50 NIFTY BANK
TrueRange 95.90 451.80
TrueHigh 11535.95 22514.15
TrueLow 11440.05 22062.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 131.54 539.96
5 139.52 557.77
10 142.74 562.70
20 138.82 539.19

NIFTY 50 NIFTY BANK
TrueRange 95.90 451.80
TrueHigh 11535.95 22514.15
TrueLow 11440.05 22062.35

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, IDEA, JINDALSTEL, TATACHEM, VEDL.
market wide position limit chart

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