Options Daily 26.07.2017

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NIFTY Summary:

  1. Aug 8000 calls added 3,52,875 contracts.
  2. Aug 9600 calls shed 975.
  3. Aug 10000 puts added 5,33,700.
  4. Aug 9400 puts shed 86,100.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 70.07 203.59
5 71.49 206.69
10 71.26 216.49
20 70.74 225.56

NIFTY 50 NIFTY BANK
TrueRange 62.20 203.80
TrueHigh 10011.30 24624.65
TrueLow 9949.10 24420.85
Avg. True Range

NIFTY.50 NIFTY.BANK
3 70.07 203.59
5 71.49 206.69
10 71.26 216.49
20 70.74 225.56

NIFTY 50 NIFTY BANK
TrueRange 62.20 203.80
TrueHigh 10011.30 24624.65
TrueLow 9949.10 24420.85

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL BANKNIFTY Volatility chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG 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(0,3)+GARCH(1,1) model:

VIX 12.38 14.05 15.53 16.45 16.45
σ 1.79 1.82 1.85 1.88 1.91

2017-07-25 Implied Volatility Record

https://www.youtube.com/watch?v=-vWf-UfI2vY

Marketwide OI

Securities under ban today: FORTIS, GMRINFRA, HDIL, IBREALEST, IFCI, INFIBEAM, IRB, JSWENERGY, JUSTDIAL, KSCL, UJJIVAN.
market wide position limit chart

Opening Bell 25.07.2017

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Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.25%
CAC(FRA) +0.20%
UKX(GBR) -1.01%
NKY(JPN) -0.13%
SPX(USA) -0.11%
MINTs
JCI(IDN) -0.11%
INMEX(MEX) +0.33%
NGSEINDX(NGA) +1.86%
XU030(TUR) -0.18%
BRICS
IBOV(BRA) +0.64%
SHCOMP(CHN) -0.17%
NIFTY(IND) +0.52%
INDEXCF(RUS) +0.34%
TOP40(ZAF) +0.54%

Commodities

Energy
Ethanol +0.00%
Brent Crude Oil +0.58%
RBOB Gasoline +0.28%
WTI Crude Oil +0.58%
Heating Oil +0.36%
Natural Gas +0.41%
Metals
Gold 100oz +0.00%
Platinum +0.34%
Copper +0.81%
Palladium +0.41%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.08% USDJPY:-0.04%

MINTs
USDIDR(IDN) +0.10%
USDMXN(MEX) +0.06%
USDNGN(NGA) +0.83%
USDTRY(TUR) -0.04%
BRICS
USDBRL(BRA) +0.10%
USDCNY(CHN) -0.00%
USDINR(IND) +0.10%
USDRUB(RUS) -0.03%
USDZAR(ZAF) -0.08%
Agricultural
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Soybeans +1.20%
White Sugar +0.00%
Cocoa +0.00%
Orange Juice +0.00%
Sugar #11 +0.00%
Coffee (Arabica) +0.00%
Corn +0.60%
Lean Hogs +0.00%
Wheat +0.61%
Cattle +0.00%
Cotton +0.00%
Lumber +0.00%
Soybean Meal +1.20%

Out of 43 world ETFs listed in NYSE that we track, 29 are trading above their 10-day SMA and 37 are trading above their 50-day SMA.

Must Reads

A Dozen Lessons on Investing from Ed Thorp
“Edward O Thorp is the author of Beat the Dealer, which was the first book to prove mathematically that blackjack could be beaten by card counting, and Beat the Market, which showed how warrant option markets could be priced and beaten.

Check out our Global Macro Dashboard for currency, commodity, bonds and credit charts.

Good luck!

Options Daily 25.07.2017

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NIFTY Summary:

  1. Aug 8000 calls added 4,64,325 contracts.
  2. Aug 9950 calls shed 12,600.
  3. Aug 9800 puts added 4,77,825.
  4. Aug 9700 puts shed 3,22,575.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 74.00 203.48
5 73.81 207.38
10 72.12 216.99
20 70.82 224.31

NIFTY 50 NIFTY BANK
TrueRange 66.80 225.90
TrueHigh 9982.05 24460.55
TrueLow 9915.25 24234.65
Avg. True Range

NIFTY.50 NIFTY.BANK
3 74.00 203.48
5 73.81 207.38
10 72.12 216.99
20 70.82 224.31

NIFTY 50 NIFTY BANK
TrueRange 66.80 225.90
TrueHigh 9982.05 24460.55
TrueLow 9915.25 24234.65

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL BANKNIFTY Volatility chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG 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(0,3)+GARCH(1,1) model:

VIX 12.93 14.50 15.82 16.43 16.43
σ 1.67 1.70 1.74 1.77 1.80

Marketwide OI

Securities under ban today: DLF, FORTIS, GMRINFRA, HDIL, IBREALEST, INFIBEAM, IRB, JPASSOCIAT, JSWENERGY, JUSTDIAL, KSCL, ORIENTBANK, TV18BRDCST, UJJIVAN.
market wide position limit chart

Opening Bell 24.07.2017

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Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -1.66%
CAC(FRA) -1.57%
UKX(GBR) -0.47%
NKY(JPN) -0.86%
SPX(USA) -0.04%
MINTs
JCI(IDN) +0.13%
INMEX(MEX) +0.85%
NGSEINDX(NGA) +0.96%
XU030(TUR) -0.00%
BRICS
IBOV(BRA) -0.39%
SHCOMP(CHN) +0.34%
NIFTY(IND) +0.42%
INDEXCF(RUS) -1.10%
TOP40(ZAF) -0.23%

Commodities

Energy
WTI Crude Oil +0.37%
Brent Crude Oil +0.50%
RBOB Gasoline +0.08%
Heating Oil +0.37%
Ethanol -0.59%
Natural Gas -1.11%
Metals
Platinum -0.12%
Silver 5000oz +0.00%
Gold 100oz +0.14%
Palladium -0.11%
Copper +0.00%

Currencies

USDEUR:-0.06% USDJPY:-0.14%

MINTs
USDIDR(IDN) +0.04%
USDMXN(MEX) -0.10%
USDNGN(NGA) -0.00%
USDTRY(TUR) -0.14%
BRICS
USDBRL(BRA) +0.70%
USDCNY(CHN) -0.05%
USDINR(IND) +0.15%
USDRUB(RUS) +0.20%
USDZAR(ZAF) -0.06%
Agricultural
Cocoa +0.00%
Coffee (Robusta) +0.00%
Feeder Cattle +0.81%
Lean Hogs +0.00%
Orange Juice +4.22%
Soybean Meal -2.00%
Cattle +0.84%
Sugar #11 -0.14%
Coffee (Arabica) +0.89%
Corn -1.97%
Soybeans -1.91%
White Sugar +0.00%
Cotton +0.30%
Lumber -0.89%
Wheat -1.45%

Out of 43 world ETFs listed in NYSE that we track, 36 are trading above their 10-day SMA and 38 are trading above their 50-day SMA.

Must Reads

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Hedge Fund Uses Algae to Reap 21% Return
Hedge fund manager Desmond Lun’s 21 percent average return over the last four years springs from an unlikely source — a petri dish of algae. Lun, 37, is a new kind of quant, combining AI wizardry with old-school biology to trade futures.

Check out our Global Macro Dashboard for currency, commodity, bonds and credit charts.

Good luck!

Options Daily 24.07.2017

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NIFTY Summary:

  1. Aug 8000 calls added 2,44,200 contracts.
  2. Aug 9950 calls shed 17,550.
  3. Aug 9700 puts added 3,88,950.
  4. Aug 10200 puts shed 4,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 77.60 192.27
5 75.57 202.83
10 72.84 216.81
20 71.01 224.41

NIFTY 50 NIFTY BANK
TrueRange 86.70 222.40
TrueHigh 9924.70 24289.30
TrueLow 9838.00 24066.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 77.60 192.27
5 75.57 202.83
10 72.84 216.81
20 71.01 224.41

NIFTY 50 NIFTY BANK
TrueRange 86.70 222.40
TrueHigh 9924.70 24289.30
TrueLow 9838.00 24066.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 77.60 192.27
5 75.57 202.83
10 72.84 216.81
20 71.01 224.41

NIFTY 50 NIFTY BANK
TrueRange 86.70 222.40
TrueHigh 9924.70 24289.30
TrueLow 9838.00 24066.90

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL BANKNIFTY Volatility chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG 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(0,3)+GARCH(1,1) model:

VIX 12.67 14.36 15.69 16.42 16.42
σ 1.71 1.74 1.77 1.80 1.83

2017-07-21 Implied Volatility Record

https://www.youtube.com/watch?v=7VEOa13MRns

Marketwide OI

Securities under ban today: DLF, FORTIS, GMRINFRA, HDIL, IBREALEST, INFIBEAM, JPASSOCIAT, JSWENERGY, KSCL, ORIENTBANK, SINTEX, TV18BRDCST, UJJIVAN.
market wide position limit chart