Category: Your Money

Options Daily 05.04.2022

NIFTY Summary:

  1. Apr 18500 calls added 3,38,150 contracts.
  2. Apr 17500 calls shed 75,550.
  3. Apr 18000 puts added 5,44,750.
  4. Apr 16300 puts shed 1,34,000.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 288.41 984.34
5 267.95 877.56
10 287.23 891.23
20 324.54 978.41

NIFTY 50 NIFTY BANK
TrueRange 444.20 1617.35
TrueHigh 18114.65 38765.85
TrueLow 17670.45 37148.50
Avg. True Range

NIFTY.50 NIFTY.BANK
3 288.41 984.34
5 267.95 877.56
10 287.23 891.23
20 324.54 978.41

NIFTY 50 NIFTY BANK
TrueRange 444.20 1617.35
TrueHigh 18114.65 38765.85
TrueLow 17670.45 37148.50

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 05.04.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Year Fixed Rate Jumbo Mortgage Index

30-Year Fixed Rate Jumbo 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 1-3 Year US Corporate Index Total Return Index Value

ICE BofA 1-3 Year US Corporate Index Total Return Index Value

ICE BofA BBB US Corporate Index Option-Adjusted Spread

ICE BofA BBB US Corporate Index Option-Adjusted Spread

Japanese Yen to U.S. Dollar Spot Exchange Rate

Japanese Yen to U.S. Dollar Spot Exchange Rate

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 04.04.2022

NIFTY Summary:

  1. Apr 18000 calls added 2,72,450 contracts.
  2. Apr 17500 calls shed 25,950.
  3. Apr 17000 puts added 1,38,000.
  4. Apr 16000 puts shed 21,250.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 210.52 667.84
5 223.64 692.01
10 266.47 802.03
20 311.36 926.16

NIFTY 50 NIFTY BANK
TrueRange 281.00 967.45
TrueHigh 17703.70 37209.80
TrueLow 17422.70 36242.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 210.52 667.84
5 223.64 692.01
10 266.47 802.03
20 311.36 926.16

NIFTY 50 NIFTY BANK
TrueRange 281.00 967.45
TrueHigh 17703.70 37209.80
TrueLow 17422.70 36242.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 210.52 667.84
5 223.64 692.01
10 266.47 802.03
20 311.36 926.16

NIFTY 50 NIFTY BANK
TrueRange 281.00 967.45
TrueHigh 17703.70 37209.80
TrueLow 17422.70 36242.35

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 04.04.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Year Fixed Rate Jumbo Mortgage Index

30-Year Fixed Rate Jumbo Mortgage Index

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 EMEA Emerging Markets Corporate Plus Index Total Return Index Value

ICE BofA EMEA 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 Utility Average

Dow Jones Utility 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