Author: stockviz

Theme Recap 27.11.2021

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 27.11.2021

Summary: Dec NIFTY 17500 calls added 56,01,050 contracts while 18600 calls shed 78,250. On the Put side of the equation, the 17000 strike added 32,61,050 while the 17500’s shed 17,30,150.

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC 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 26.11.2021

NIFTY Summary:

  1. Dec 18500 calls added 10,67,700 contracts.
  2. Dec 18650 calls shed 3,750.
  3. Dec 16500 puts added 14,86,350.
  4. Nov 17100 puts shed 5,98,050.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 266.71 648.27
5 259.65 664.24
10 245.65 669.34
20 240.77 692.69

NIFTY 50 NIFTY BANK
TrueRange 212.65 389.55
TrueHigh 17564.35 37507.95
TrueLow 17351.70 37118.40

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

NOV NIFTY OI

NOV NIFTY OI chart

NOV BANKNIFTY OI

NOV BANKNIFTY OI chart

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC 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
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

Marketwide OI

market wide position limit chart