Author: stockviz

Theme Recap 09.10.2021

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 09.10.2021

Summary: Oct NIFTY 18000 calls added 33,65,600 contracts while 17700 calls shed 5,00,050. On the Put side of the equation, the 17800 strike added 31,95,050 while the 16700’s shed 1,26,950.

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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 08.10.2021

NIFTY Summary:

  1. Oct 19000 calls added 14,19,400 contracts.
  2. Oct 17700 calls shed 2,71,900.
  3. Oct 17800 puts added 15,26,850.
  4. Oct 18600 puts shed 50.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 217.06 505.78
5 209.07 538.47
10 196.31 557.42
20 182.59 546.49

NIFTY 50 NIFTY BANK
TrueRange 211.55 402.10
TrueHigh 17857.55 37923.65
TrueLow 17646.00 37521.55

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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: CANBK, IBULHSGFIN, NATIONALUM, PNB, SAIL.
market wide position limit chart

Options Daily 07.10.2021

NIFTY Summary:

  1. Oct 17800 calls added 9,09,650 contracts.
  2. Oct 17000 calls shed 2,000.
  3. Oct 17300 puts added 3,41,750.
  4. Oct 16500 puts shed 27,650.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 219.81 557.62
5 208.33 572.43
10 193.44 573.10
20 178.26 548.77

NIFTY 50 NIFTY BANK
TrueRange 271.45 654.85
TrueHigh 17884.60 38106.85
TrueLow 17613.15 37452.00
Avg. True Range

NIFTY.50 NIFTY.BANK
3 219.81 557.62
5 208.33 572.43
10 193.44 573.10
20 178.26 548.77

NIFTY 50 NIFTY BANK
TrueRange 271.45 654.85
TrueHigh 17884.60 38106.85
TrueLow 17613.15 37452.00

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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: CANBK, IBULHSGFIN, NATIONALUM, PNB, SAIL.
market wide position limit chart