Options Daily 02.07.2021

NIFTY Summary:

  1. Jul 15700 calls added 20,25,525 contracts.
  2. Jul 15150 calls shed 75.
  3. Jul 15700 puts added 12,98,100.
  4. Jul 15850 puts shed 10,500.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 116.58 409.27
5 130.61 459.79
10 141.55 505.07
20 142.63 521.78

NIFTY 50 NIFTY BANK
TrueRange 88.50 266.70
TrueHigh 15755.55 34917.65
TrueLow 15667.05 34650.95

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL 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: NATIONALUM.
market wide position limit chart

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