Category: Your Money

Options Daily 18.05.2022

NIFTY Summary:

  1. May 17200 calls added 2,32,750 contracts.
  2. May 16000 calls shed 3,68,050.
  3. May 16000 puts added 7,55,350.
  4. May 15500 puts shed 2,67,100.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 351.41 861.34
5 335.04 849.92
10 312.74 812.45
20 293.59 780.82

NIFTY 50 NIFTY BANK
TrueRange 441.95 768.45
TrueHigh 16284.25 34366.05
TrueLow 15842.30 33597.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 351.41 861.34
5 335.04 849.92
10 312.74 812.45
20 293.59 780.82

NIFTY 50 NIFTY BANK
TrueRange 441.95 768.45
TrueHigh 16284.25 34366.05
TrueLow 15842.30 33597.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest 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.

VIX Density Plot

VIX kernel density plot

Marketwide OI

market wide position limit chart

FRED Scan 18.05.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

10-Year 0.5% Treasury Inflation-Indexed Note, Due 1/15/2028

10-Year 0.5% Treasury Inflation-Indexed Note, Due 1/15/2028

10-Year Treasury Constant Maturity Minus Federal Funds Rate

10-Year Treasury Constant Maturity Minus Federal Funds Rate

ICE BofA CCC & Lower US High Yield Index Total Return Index Value

ICE BofA CCC & Lower US High Yield Index Total Return Index Value

ICE BofA US High Yield Index Option-Adjusted Spread

ICE BofA US High Yield Index Option-Adjusted Spread

Overnight Repurchase Agreements: Treasury Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight Repurchase Agreements: Treasury Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Effective Federal Funds Rate

Effective Federal Funds Rate

Bank Prime Loan Rate

Bank Prime Loan Rate

Market Yield on U.S. Treasury Securities at 7-Year Constant Maturity, Inflation-Indexed

Market Yield on U.S. Treasury Securities at 7-Year Constant Maturity, Inflation-Indexed

Options Daily 17.05.2022

NIFTY Summary:

  1. May 16000 calls added 3,54,550 contracts.
  2. May 16100 calls shed 1,76,250.
  3. May 15000 puts added 1,93,250.
  4. May 16100 puts shed 2,31,250.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 306.14 907.78
5 308.34 870.34
10 298.88 820.23
20 286.36 789.33

NIFTY 50 NIFTY BANK
TrueRange 238.30 819.90
TrueHigh 15977.95 33821.65
TrueLow 15739.65 33001.75
Avg. True Range

NIFTY.50 NIFTY.BANK
3 306.14 907.78
5 308.34 870.34
10 298.88 820.23
20 286.36 789.33

NIFTY 50 NIFTY BANK
TrueRange 238.30 819.90
TrueHigh 15977.95 33821.65
TrueLow 15739.65 33001.75

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest 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.

VIX Density Plot

VIX kernel density plot

Marketwide OI

Securities under ban today: GNFC, IBULHSGFIN, PNB.
market wide position limit chart

FRED Scan 17.05.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

10-Year 0.5% Treasury Inflation-Indexed Note, Due 1/15/2028

10-Year 0.5% Treasury Inflation-Indexed Note, Due 1/15/2028

ICE BofA US High Yield Index Total Return Index Value

ICE BofA US High Yield Index Total Return Index Value

ICE BofA US High Yield Index Option-Adjusted Spread

ICE BofA US High Yield Index Option-Adjusted Spread

Wilshire US Real Estate Investment Trust Total Market Index (Wilshire US REIT)

Wilshire US Real Estate Investment Trust Total Market Index (Wilshire US REIT)

Overnight Repurchase Agreements: Treasury Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight Repurchase Agreements: Treasury Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Federal Funds Effective Rate

Federal Funds Effective Rate

Bank Prime Loan Rate

Bank Prime Loan Rate

Swiss Francs to U.S. Dollar Spot Exchange Rate

Swiss Francs to U.S. Dollar Spot Exchange Rate

Norwegian Kroner to U.S. Dollar Spot Exchange Rate

Norwegian Kroner to U.S. Dollar Spot Exchange Rate

Chinese Yuan Renminbi to U.S. Dollar Spot Exchange Rate

Chinese Yuan Renminbi to U.S. Dollar Spot Exchange Rate

Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity, Inflation-Indexed

Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity, Inflation-Indexed

Options Daily 16.05.2022

NIFTY Summary:

  1. May 17000 calls added 1,44,300 contracts.
  2. May 16000 calls shed 4,78,950.
  3. May 14500 puts added 4,08,850.
  4. May 16000 puts shed 5,38,250.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 340.06 951.72
5 325.72 882.31
10 304.18 814.40
20 284.38 774.37

NIFTY 50 NIFTY BANK
TrueRange 342.75 994.30
TrueHigh 16083.60 34002.20
TrueLow 15740.85 33007.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 340.06 951.72
5 325.72 882.31
10 304.18 814.40
20 284.38 774.37

NIFTY 50 NIFTY BANK
TrueRange 342.75 994.30
TrueHigh 16083.60 34002.20
TrueLow 15740.85 33007.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 340.06 951.72
5 325.72 882.31
10 304.18 814.40
20 284.38 774.37

NIFTY 50 NIFTY BANK
TrueRange 342.75 994.30
TrueHigh 16083.60 34002.20
TrueLow 15740.85 33007.90

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest 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.

VIX Density Plot

VIX kernel density plot

Marketwide OI

Securities under ban today: GNFC, IBULHSGFIN, PNB.
market wide position limit chart