Category: Your Money

FRED Scan 08.04.2022

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 1-3 Year US Corporate Index Total Return Index Value

ICE BofA 1-3 Year US Corporate 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

Options Daily 07.04.2022

NIFTY Summary:

  1. Apr 17800 calls added 9,97,850 contracts.
  2. Apr 18550 calls shed 37,450.
  3. Apr 17800 puts added 8,45,650.
  4. Apr 18000 puts shed 1,05,250.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 226.01 805.13
5 235.05 804.73
10 268.62 860.68
20 313.35 963.16

NIFTY 50 NIFTY BANK
TrueRange 177.55 554.05
TrueHigh 17957.40 38067.90
TrueLow 17779.85 37513.85
Avg. True Range

NIFTY.50 NIFTY.BANK
3 226.01 805.13
5 235.05 804.73
10 268.62 860.68
20 313.35 963.16

NIFTY 50 NIFTY BANK
TrueRange 177.55 554.05
TrueHigh 17957.40 38067.90
TrueLow 17779.85 37513.85

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

FRED Scan 07.04.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Year Fixed Rate FHA Mortgage Index

30-Year Fixed Rate FHA 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

10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity

10-Year Treasury Constant Maturity Minus 2-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 BBB US Corporate Index Option-Adjusted Spread

ICE BofA BBB US Corporate 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

Options Daily 06.04.2022

NIFTY Summary:

  1. Apr 18500 calls added 4,83,250 contracts.
  2. Apr 17800 calls shed 16,300.
  3. Apr 18000 puts added 2,11,550.
  4. Apr 16500 puts shed 93,600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 250.24 930.66
5 249.29 867.01
10 277.78 888.96
20 320.07 977.12

NIFTY 50 NIFTY BANK
TrueRange 173.90 823.30
TrueHigh 18095.45 38759.25
TrueLow 17921.55 37935.95
Avg. True Range

NIFTY.50 NIFTY.BANK
3 250.24 930.66
5 249.29 867.01
10 277.78 888.96
20 320.07 977.12

NIFTY 50 NIFTY BANK
TrueRange 173.90 823.30
TrueHigh 18095.45 38759.25
TrueLow 17921.55 37935.95

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

FRED Scan 06.04.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Year Fixed Rate FHA Mortgage Index

30-Year Fixed Rate FHA 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

10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity

10-Year Treasury Constant Maturity Minus 2-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 BBB US Corporate Index Option-Adjusted Spread

ICE BofA BBB US Corporate Index Option-Adjusted Spread

Dow Jones Transportation Average

Dow Jones Transportation Average

Market Yield on U.S. Treasury Securities at 5-Year Constant Maturity, Inflation-Indexed

Market Yield on U.S. Treasury Securities at 5-Year Constant Maturity, Inflation-Indexed