Category: Your Money

Theme Recap 11.07.2020

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 11.07.2020

Summary: Jul NIFTY 11000 calls added 24,58,725 contracts while 11650 calls shed 7,425. On the Put side of the equation, the 10000 strike added 21,92,325 while the 10850’s shed 54,600.

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL 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

Opening Bell 10.07.2020

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.04%
CAC(FRA) -1.21%
UKX(GBR) -1.73%
NKY(JPN) -0.23%
SPX(USA) -0.56%
MINTs
JCI(IDN) -0.07%
INMEX(MEX) -2.07%
NGSEINDX(NGA) -0.01%
XU030(TUR) -1.93%
BRICS
IBOV(BRA) -0.61%
SHCOMP(CHN) -0.84%
NIFTY(IND) +1.01%
INDEXCF(RUS) -0.01%
TOP40(ZAF) -0.04%

Commodities

Energy
RBOB Gasoline +0.41%
Ethanol +0.00%
WTI Crude Oil -0.03%
Heating Oil +0.30%
Natural Gas +0.30%
Brent Crude Oil -0.13%
Metals
Gold 100oz +0.00%
Palladium +1.16%
Silver 5000oz +0.84%
Copper +0.74%
Platinum +1.19%

Currencies

USDEUR:+0.10% USDJPY:-0.15%

MINTs
USDIDR(IDN) +0.42%
USDMXN(MEX) +0.37%
USDNGN(NGA) +0.15%
USDTRY(TUR) +0.04%
BRICS
USDBRL(BRA) +0.09%
USDCNY(CHN) +0.15%
USDINR(IND) -0.03%
USDRUB(RUS) +0.19%
USDZAR(ZAF) +0.26%
Agricultural
Coffee (Arabica) +0.00%
Cotton +1.14%
Soybean Meal +0.21%
White Sugar +0.00%
Cocoa +0.00%
Orange Juice +0.00%
Soybeans +0.43%
Wheat +0.20%
Cattle +0.00%
Corn +0.99%
Lean Hogs +0.00%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Lumber +0.00%
Sugar #11 +0.00%

Out of 43 world ETFs listed in NYSE that we track, 36 are trading above their 10-day SMA and 42 are trading above their 50-day SMA.

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

Good luck!

Options Daily 10.07.2020

NIFTY Summary:

  1. Jul 11000 calls added 7,41,150 contracts.
  2. Jul 10800 calls shed 20,89,875.
  3. Jul 10800 puts added 10,36,275.
  4. Jul 9400 puts shed 9,825.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 146.52 516.20
5 152.87 554.06
10 171.23 639.14
20 193.21 728.61

NIFTY 50 NIFTY BANK
TrueRange 131.10 413.65
TrueHigh 10836.85 22998.30
TrueLow 10705.75 22584.65

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL 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
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 28.93 28.93 28.93 28.93 28.93
σ 3.18 2.52 2.00 1.58 1.26

Marketwide OI