Author: stockviz

Theme Recap 06.03.2021

A quick look at the results of some of our most popular investment strategies over the last 200-days.

Static Momentum Themes

Static Momentum Themes 200-day performance

Dynamic Momentum Themes

Dynamic Momentum Themes 200-day performance

Value Themes

Value Themes 200-day performance

Machine Learning Themes

Machine Learning Themes 200-day performance

Neural Network Themes

Neural Network Themes 200-day performance

*BRK denotes returns after assuming a brokerage of 0.1% and an STT of 0.1%

A complete list of Themes and investment strategies can be found here.

Options Weekly 06.03.2021

Summary: Mar NIFTY 16000 calls added 3,15,450 contracts while 15000 calls shed 36,900. On the Put side of the equation, the 14000 strike added 2,03,100 while the 13500’s shed 7,950.

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

Options Daily 05.03.2021

NIFTY Summary:

  1. Mar 16500 calls added 20,69,475 contracts.
  2. Mar 14700 calls shed 43,800.
  3. Mar 13000 puts added 9,33,075.
  4. Mar 15250 puts shed 14,175.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 296.67 953.08
5 291.46 979.25
10 279.88 997.67
20 275.33 1020.49

NIFTY 50 NIFTY BANK
TrueRange 265.40 848.80
TrueHigh 15245.60 36368.05
TrueLow 14980.20 35519.25

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

MAR 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: BANKBARODA, BHEL, IBULHSGFIN, PNB, SAIL.
market wide position limit chart

Options Daily 04.03.2021

NIFTY Summary:

  1. Mar 15400 calls added 2,33,625 contracts.
  2. Mar 14800 calls shed 89,475.
  3. Mar 15000 puts added 6,82,650.
  4. Mar 13900 puts shed 59,625.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 312.30 1005.21
5 297.94 1011.81
10 280.00 1009.45
20 275.26 1024.59

NIFTY 50 NIFTY BANK
TrueRange 354.05 1035.45
TrueHigh 15273.15 36455.15
TrueLow 14919.10 35419.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 312.30 1005.21
5 297.94 1011.81
10 280.00 1009.45
20 275.26 1024.59

NIFTY 50 NIFTY BANK
TrueRange 354.05 1035.45
TrueHigh 15273.15 36455.15
TrueLow 14919.10 35419.70

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

MAR 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, SAIL.
market wide position limit chart