Author: stockviz

Options Daily 12.05.2015

Summary: May NIFTY 8500 calls added 197,875 contracts while 8600 calls shed 433,975. On the Put side of the equation, the 8200 strike added 1,494,675 while the 7700’s shed 858,500.

Our trend model indicates a SHORT on the NIFTY

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 11.05.2015

Summary: May NIFTY 8500 calls added 343,250 contracts while 8800 calls shed 257,175. On the Put side of the equation, the 8100 strike added 943,675 while the 7800’s shed 299,275.

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.

Index Update 09.05.2015

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 2015-05-08 png

index momentum best 50 2015-05-08 png

index momentum worst 365 2015-05-08 png

index momentum worst 50 2015-05-08 png

Refactored Index Performance

50-day performance, from February 24, 2015 through May 08, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
9.89
2015-Jan-27
CNX BANK SHORT
13.42
2015-Jan-27
CNX ENERGY SHORT
30.10
2008-Jan-14
CNX FMCG SHORT
10.93
2015-Feb-25
CNX INFRA SHORT
50.20
2008-Jan-09
CNX IT SHORT
88.30
2000-Feb-21
CNX MEDIA SHORT
30.20
2008-Jan-04
CNX METAL SHORT
55.67
2008-Jan-04
CNX MNC SHORT
5.36
2015-Mar-12
CNX NIFTY SHORT
8.95
2015-Mar-03
CNX PHARMA SHORT
12.48
2015-Apr-08
CNX PSE SHORT
27.69
2008-Jan-04
CNX REALTY SHORT
88.96
2008-Jan-14
The MNC index should be real “blue-chip” index – lowest draw-down of the whole bunch.

Correlation Update 09.05.2015

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.