Category: Your Money

FRED Scan 30.12.2021

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

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

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

Effective Federal Funds Rate: 99th Percentile

Effective Federal Funds Rate: 99th Percentile

1-Year Treasury Bill Secondary Market Rate

1-Year Treasury Bill Secondary Market Rate

Options Daily 29.12.2021

NIFTY Summary:

  1. Jan 17200 calls added 2,50,450 contracts.
  2. Jan 17350 calls shed 95,050.
  3. Jan 17000 puts added 4,15,000.
  4. Jan 16450 puts shed 17,250.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 227.39 613.73
5 243.70 665.33
10 261.88 711.31
20 279.33 748.63

NIFTY 50 NIFTY BANK
TrueRange 164.00 314.50
TrueHigh 17250.25 35352.40
TrueLow 17086.25 35037.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 227.39 613.73
5 243.70 665.33
10 261.88 711.31
20 279.33 748.63

NIFTY 50 NIFTY BANK
TrueRange 164.00 314.50
TrueHigh 17250.25 35352.40
TrueLow 17086.25 35037.90

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN 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

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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: IBULHSGFIN, IDEA, RBLBANK.
market wide position limit chart

FRED Scan 29.12.2021

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

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

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

7-Day A2/P2 Nonfinancial Commercial Paper Interest Rate

7-Day A2/P2 Nonfinancial Commercial Paper Interest Rate

Options Daily 28.12.2021

NIFTY Summary:

  1. Jan 17700 calls added 1,67,100 contracts.
  2. Jan 16400 calls shed 350.
  3. Jan 17000 puts added 2,61,700.
  4. Dec 15850 puts shed 80,550.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 259.08 763.35
5 263.50 752.73
10 270.54 750.15
20 281.67 763.44

NIFTY 50 NIFTY BANK
TrueRange 278.85 910.70
TrueHigh 17112.05 35143.70
TrueLow 16833.20 34233.00
Avg. True Range

NIFTY.50 NIFTY.BANK
3 259.08 763.35
5 263.50 752.73
10 270.54 750.15
20 281.67 763.44

NIFTY 50 NIFTY BANK
TrueRange 278.85 910.70
TrueHigh 17112.05 35143.70
TrueLow 16833.20 34233.00

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN 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

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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: ESCORTS, IBULHSGFIN, IDEA, RBLBANK.
market wide position limit chart