Options Daily 09.09.2021

NIFTY Summary:

  1. Sep 17500 calls added 3,38,050 contracts.
  2. Sep 17100 calls shed 55,800.
  3. Sep 17300 puts added 3,63,650.
  4. Sep 16600 puts shed 66,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 141.30 480.22
5 148.84 487.34
10 152.60 492.67
20 151.95 490.60

NIFTY 50 NIFTY BANK
TrueRange 129.20 462.30
TrueHigh 17383.40 36855.90
TrueLow 17254.20 36393.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 141.30 480.22
5 148.84 487.34
10 152.60 492.67
20 151.95 490.60

NIFTY 50 NIFTY BANK
TrueRange 129.20 462.30
TrueHigh 17383.40 36855.90
TrueLow 17254.20 36393.60

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: IBULHSGFIN, IRCTC, NATIONALUM.
market wide position limit chart

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