Category: Your Money

Theme Recap 12.06.2021

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 12.06.2021

Summary: Jun NIFTY 16000 calls added 28,09,125 contracts while 15700 calls shed 4,53,300. On the Put side of the equation, the 15000 strike added 35,25,150 while the 14800’s shed 5,40,150.

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI 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.

VIX Density Plot

VIX kernel density plot

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

Options Daily 11.06.2021

NIFTY Summary:

  1. Jun 16000 calls added 10,84,425 contracts.
  2. Jun 15650 calls shed 16,725.
  3. Jun 15700 puts added 14,38,050.
  4. Jun 16150 puts shed 2,700.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 141.51 510.75
5 142.03 517.58
10 151.86 561.14
20 165.37 611.47

NIFTY 50 NIFTY BANK
TrueRange 115.90 431.25
TrueHigh 15751.25 35165.65
TrueLow 15635.35 34734.40

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest 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.

VIX Density Plot

VIX kernel density plot

Marketwide OI

Securities under ban today: BHEL, CANBK, IBULHSGFIN, NATIONALUM, SUNTV.
market wide position limit chart