Author: stockviz

Options Daily 07.05.2015

Summary: May NIFTY 8300 calls added 1,691,075 contracts while 9200 calls shed 167,250. On the Put side of the equation, the 8000 strike added 1,090,850 while the 8400’s shed 346,375.

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

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

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

Options Daily 06.05.2015

Summary: May NIFTY 8500 calls added 419,975 contracts while 8200 calls shed 6,500. On the Put side of the equation, the 7700 strike added 432,750 while the 8200’s shed 62,975.

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

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

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

Options Daily 05.05.2015

Summary: May NIFTY 8600 calls added 1,002,625 contracts while 8200 calls shed 194,450. On the Put side of the equation, the 7700 strike added 1,151,250 while the 8600’s shed 101,100.

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

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

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

Options Daily 04.05.2015

Summary: May NIFTY 8500 calls added 880,375 contracts while 9500 calls shed 100,175. On the Put side of the equation, the 8000 strike added 499,100 while the 8300’s shed 107,850.

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

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

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

Index Update 02.05.2015

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2015-04-30 png

index momentum best 50 2015-04-30 png

index momentum worst 365 2015-04-30 png

index momentum worst 50 2015-04-30 png

Refactored Index Performance

50-day performance, from February 16, 2015 through April 30, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.02
2015-Jan-27
CNX BANK SHORT
10.79
2015-Jan-27
CNX ENERGY SHORT
30.64
2008-Jan-14
CNX FMCG SHORT
12.49
2015-Feb-25
CNX INFRA SHORT
49.61
2008-Jan-09
CNX IT SHORT
88.48
2000-Feb-21
CNX MEDIA SHORT
30.24
2008-Jan-04
CNX METAL SHORT
56.27
2008-Jan-04
CNX MNC SHORT
6.12
2015-Mar-12
CNX NIFTY SHORT
9.06
2015-Mar-03
CNX PHARMA SHORT
12.82
2015-Apr-08
CNX PSE SHORT
27.16
2008-Jan-04
CNX REALTY SHORT
89.10
2008-Jan-14
MNCs remain an oasis of calm in a desert landscape filled with fallen stars. Every other sector index has experienced double digit drawdowns from this year’s highs. Some indices are yet to recover from their 2008 blow offs. Are we due for a reversal?