Options Daily 28.09.2020

NIFTY Summary:

  1. Oct 11500 calls added 1,02,225 contracts.
  2. Oct 11100 calls shed 99,225.
  3. Oct 10500 puts added 74,625.
  4. Oct 10000 puts shed 1,500.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 258.39 637.58
5 228.64 613.40
10 192.48 587.70
20 170.39 582.25

NIFTY 50 NIFTY BANK
TrueRange 267.05 633.60
TrueHigh 11072.60 21064.30
TrueLow 10805.55 20430.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 258.39 637.58
5 228.64 613.40
10 192.48 587.70
20 170.39 582.25

NIFTY 50 NIFTY BANK
TrueRange 267.05 633.60
TrueHigh 11072.60 21064.30
TrueLow 10805.55 20430.70

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

Marketwide OI

market wide position limit chart

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