Category: Your Money

FRED Scan 11.04.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Year Fixed Rate Conforming Mortgage Index

30-Year Fixed Rate Conforming Mortgage Index

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

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

Moody’s Seasoned Baa Corporate Bond Yield Relative to Yield on 10-Year Treasury Constant Maturity


Number of Issues, with a Maturity Between 10 and 20 Days, Used in Calculating the AA Financial Commercial Paper Rates

Number of Issues, with a Maturity Between 10 and 20 Days, Used in Calculating the AA Financial Commercial Paper Rates

ICE BofA Euro Emerging Markets Corporate Plus Index Total Return Index Value

ICE BofA Euro Emerging Markets Corporate Plus Index Total Return Index Value

ICE BofA Emerging Markets Corporate Plus Index Option-Adjusted Spread

ICE BofA Emerging Markets Corporate Plus Index Option-Adjusted Spread

Dow Jones Transportation Average

Dow Jones Transportation Average

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

Theme Recap 09.04.2022

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 09.04.2022

Summary: Apr NIFTY 18500 calls added 3,48,550 contracts while 19300 calls shed 17,300. On the Put side of the equation, the 17000 strike added 2,56,600 while the 16000’s shed 8,500.

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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 08.04.2022

NIFTY Summary:

  1. Apr 19000 calls added 36,61,250 contracts.
  2. Apr 16450 calls shed 50.
  3. Apr 17700 puts added 12,44,900.
  4. Apr 17900 puts shed 35,500.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 211.99 746.46
5 225.08 770.39
10 263.41 848.49
20 312.38 966.39

NIFTY 50 NIFTY BANK
TrueRange 183.95 629.10
TrueHigh 17807.65 37975.90
TrueLow 17623.70 37346.80

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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