Author: stockviz

Options Daily 29.05.2015

Summary: Jun NIFTY 8400 calls added 590,000 contracts while 9600 calls shed 4,600. On the Put side of the equation, the 8300 strike added 600,325 while the 7700’s shed 16,425.

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

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN BANKNIFTY Volatility chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

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

Options Daily 27.05.2015

Summary: Jun NIFTY 8800 calls added 1,163,975 contracts while 9200 calls shed 15,275. On the Put side of the equation, the 8100 strike added 237,450 while the 8000’s shed 40,875.

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

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

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

Options Daily 26.05.2015

Summary: Jun NIFTY 8500 calls added 244,000 contracts while 9200 calls shed 56,175. On the Put side of the equation, the 8000 strike added 318,550 while the 7600’s shed 2,325.

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

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

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

Index Update 23.05.2015

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 2015-05-22 png

index momentum best 50 2015-05-22 png

index momentum worst 365 2015-05-22 png

index momentum worst 50 2015-05-22 png

Refactored Index Performance

50-day performance, from March 10, 2015 through May 22, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
5.69
2015-Jan-27
CNX BANK SHORT
10.32
2015-Jan-27
CNX ENERGY SHORT
29.07
2008-Jan-14
CNX FMCG SHORT
9.54
2015-Feb-25
CNX INFRA SHORT
49.37
2008-Jan-09
CNX IT SHORT
87.72
2000-Feb-21
CNX MEDIA SHORT
29.01
2008-Jan-04
CNX METAL SHORT
56.14
2008-Jan-04
CNX MNC SHORT
3.97
2015-Mar-12
CNX NIFTY SHORT
5.97
2015-Mar-03
CNX PHARMA SHORT
8.25
2015-Apr-08
CNX PSE SHORT
26.16
2008-Jan-04
CNX REALTY SHORT
89.23
2008-Jan-14
Pharma and banks seem to be perking up.
And boy-oh-boy! MNCs have more or less covered their draw-down.

Correlation Update 23.05.2015

Nifty one year daily return correlations

Nifty one year daily return correlations

Nifty one month daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one year daily return correlations

Midcap one month daily return correlations

Midcap one month daily return correlations

A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.