Author: stockviz

Theme Recap 01.01.2022

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 01.01.2022

Summary: Jan NIFTY 18000 calls added 38,78,600 contracts while 17200 calls shed 9,07,600. On the Put side of the equation, the 17300 strike added 36,44,200 while the 15800’s shed 52,400.

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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 31.12.2021

NIFTY Summary:

  1. Jan 18500 calls added 19,10,650 contracts.
  2. Jan 16400 calls shed 150.
  3. Jan 17200 puts added 21,11,350.
  4. Dec 17000 puts shed 37,72,575.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 164.58 523.71
5 197.17 589.89
10 237.09 673.14
20 268.41 737.04

NIFTY 50 NIFTY BANK
TrueRange 117.70 427.80
TrueHigh 17264.05 35179.05
TrueLow 17146.35 34751.25

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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

Options Daily 30.12.2021

NIFTY Summary:

  1. Jan 17500 calls added 5,31,200 contracts.
  2. Jan 17000 calls shed 11,600.
  3. Jan 16500 puts added 2,81,900.
  4. Jan 16550 puts shed 15,750.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.02 571.66
5 216.97 630.07
10 249.11 694.49
20 275.31 744.14

NIFTY 50 NIFTY BANK
TrueRange 109.30 487.50
TrueHigh 17285.95 35378.30
TrueLow 17176.65 34890.80
Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.02 571.66
5 216.97 630.07
10 249.11 694.49
20 275.31 744.14

NIFTY 50 NIFTY BANK
TrueRange 109.30 487.50
TrueHigh 17285.95 35378.30
TrueLow 17176.65 34890.80

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC BANKNIFTY Volatility chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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, IDEA, RBLBANK.
market wide position limit chart