Options Daily 11.06.2021

NIFTY Summary:

  1. Jun 16000 calls added 10,84,425 contracts.
  2. Jun 15650 calls shed 16,725.
  3. Jun 15700 puts added 14,38,050.
  4. Jun 16150 puts shed 2,700.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 141.51 510.75
5 142.03 517.58
10 151.86 561.14
20 165.37 611.47

NIFTY 50 NIFTY BANK
TrueRange 115.90 431.25
TrueHigh 15751.25 35165.65
TrueLow 15635.35 34734.40

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN 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, NATIONALUM, SUNTV.
market wide position limit chart

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