Author: stockviz

FRED Scan 07.01.2022

Euro Short-Term Rate: Share of Volume of the 5 Largest Active Banks

Euro Short-Term Rate: Share of Volume of the 5 Largest Active Banks

Secured Overnight Financing Rate: 25th Percentile

Secured Overnight Financing Rate: 25th Percentile

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight AA Asset-Backed Commercial Paper Interest Rate

Overnight AA Asset-Backed Commercial Paper Interest Rate

1-Year Treasury Bill Secondary Market Rate

1-Year Treasury Bill Secondary Market Rate

Options Daily 06.01.2022

NIFTY Summary:

  1. Jan 18100 calls added 4,73,750 contracts.
  2. Jan 17700 calls shed 85,050.
  3. Jan 17600 puts added 7,98,950.
  4. Jan 17400 puts shed 1,96,100.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 212.60 788.59
5 215.14 729.44
10 234.92 721.25
20 257.54 742.57

NIFTY 50 NIFTY BANK
TrueRange 195.85 1106.05
TrueHigh 17944.70 37862.40
TrueLow 17748.85 36756.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 212.60 788.59
5 215.14 729.44
10 234.92 721.25
20 257.54 742.57

NIFTY 50 NIFTY BANK
TrueRange 195.85 1106.05
TrueHigh 17944.70 37862.40
TrueLow 17748.85 36756.35

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

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

FRED Scan 06.01.2022

Secured Overnight Financing Rate: 25th Percentile

Secured Overnight Financing Rate: 25th Percentile

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight AA Asset-Backed Commercial Paper Interest Rate

Overnight AA Asset-Backed Commercial Paper Interest Rate

Options Daily 05.01.2022

NIFTY Summary:

  1. Jan 18000 calls added 4,12,600 contracts.
  2. Jan 17850 calls shed 1,38,800.
  3. Jan 17500 puts added 5,84,550.
  4. Jan 16400 puts shed 73,000.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 220.97 629.85
5 219.79 634.60
10 237.48 671.51
20 258.17 710.66

NIFTY 50 NIFTY BANK
TrueRange 234.05 513.40
TrueHigh 17827.60 36887.80
TrueLow 17593.55 36374.40
Avg. True Range

NIFTY.50 NIFTY.BANK
3 220.97 629.85
5 219.79 634.60
10 237.48 671.51
20 258.17 710.66

NIFTY 50 NIFTY BANK
TrueRange 234.05 513.40
TrueHigh 17827.60 36887.80
TrueLow 17593.55 36374.40

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

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

FRED Scan 05.01.2022

Equity Market Volatility: Infectious Disease Tracker

Equity Market Volatility: Infectious Disease Tracker

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

1-Year Treasury Bill Secondary Market Rate

1-Year Treasury Bill Secondary Market Rate