Category: Your Money

Theme Recap 07.12.2019

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 07.12.2019

Summary: Dec NIFTY 12100 calls added 24,93,225 contracts while 12400 calls shed 40,500. On the Put side of the equation, the 11900 strike added 13,77,450 while the 12100’s shed 86,925.

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC 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 06.12.2019

NIFTY Summary:

  1. Dec 12100 calls added 9,13,200 contracts.
  2. Dec 12000 calls shed 9,76,500.
  3. Dec 11500 puts added 6,88,275.
  4. Dec 12050 puts shed 8,29,050.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 102.38 452.12
5 103.59 418.26
10 104.59 406.56
20 106.43 419.44

NIFTY 50 NIFTY BANK
TrueRange 82.45 498.65
TrueHigh 12081.20 32126.95
TrueLow 11998.75 31628.30

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(0,0)+GARCH(1,1) model:

VIX 16.08 16.08 16.08 16.08 16.08
σ 2.03 2.26 2.46 2.65 2.83

Marketwide OI

market wide position limit chart

Options Daily 05.12.2019

NIFTY Summary:

  1. Dec 12000 calls added 1,24,275 contracts.
  2. Dec 12400 calls shed 27,075.
  3. Dec 12000 puts added 3,21,450.
  4. Dec 12350 puts shed 10,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 112.35 428.85
5 108.88 398.40
10 107.40 399.73
20 108.92 423.61

NIFTY 50 NIFTY BANK
TrueRange 119.40 573.75
TrueHigh 12054.70 32017.75
TrueLow 11935.30 31444.00
Avg. True Range

NIFTY.50 NIFTY.BANK
3 112.35 428.85
5 108.88 398.40
10 107.40 399.73
20 108.92 423.61

NIFTY 50 NIFTY BANK
TrueRange 119.40 573.75
TrueHigh 12054.70 32017.75
TrueLow 11935.30 31444.00

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(0,0)+GARCH(1,1) model:

VIX 16.07 16.07 16.07 16.07 16.07
σ 2.91 3.07 3.22 3.37 3.51

Marketwide OI

market wide position limit chart