Category: Your Money

Theme Recap 02.04.2022

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 02.04.2022

Summary: Apr NIFTY 18000 calls added 40,37,050 contracts while 17500 calls shed 10,13,150. On the Put side of the equation, the 17500 strike added 44,09,050 while the 16550’s shed 4,56,750.

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 01.04.2022

NIFTY Summary:

  1. Apr 18500 calls added 21,52,750 contracts.
  2. Apr 17300 calls shed 35,950.
  3. Apr 16000 puts added 9,03,700.
  4. Apr 16550 puts shed 4,50,800.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 175.28 518.03
5 209.25 623.16
10 262.46 778.38
20 307.66 911.54

NIFTY 50 NIFTY BANK
TrueRange 124.60 312.70
TrueHigh 17559.80 36590.85
TrueLow 17435.20 36278.15

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

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 01.04.2022

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

Secured Overnight Financing Rate

Secured Overnight Financing Rate

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 High Yield Emerging Markets Corporate Plus Index Total Return Index Value

ICE BofA High Yield Emerging Markets Corporate Plus Index Total Return Index Value

ICE BofA US High Yield Index Option-Adjusted Spread

ICE BofA US High Yield Index Option-Adjusted Spread

Nikkei Stock Average, Nikkei 225

Nikkei Stock Average, Nikkei 225

NASDAQ 100 Index

NASDAQ 100 Index

30-Day AA Financial Commercial Paper Interest Rate

30-Day AA Financial Commercial Paper Interest Rate

Bank Prime Loan Rate

Bank Prime Loan Rate

Options Daily 31.03.2022

NIFTY Summary:

  1. Apr 17500 calls added 14,79,450 contracts.
  2. Apr 17300 calls shed 2,01,150.
  3. Apr 17500 puts added 16,23,350.
  4. Apr 15800 puts shed 69,550.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 200.62 620.70
5 230.40 700.74
10 275.91 825.43
20 313.08 930.89

NIFTY 50 NIFTY BANK
TrueRange 197.20 573.70
TrueHigh 17522.50 36421.10
TrueLow 17325.30 35847.40
Avg. True Range

NIFTY.50 NIFTY.BANK
3 200.62 620.70
5 230.40 700.74
10 275.91 825.43
20 313.08 930.89

NIFTY 50 NIFTY BANK
TrueRange 197.20 573.70
TrueHigh 17522.50 36421.10
TrueLow 17325.30 35847.40

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

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

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

MAR BANKNIFTY Volatility 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

Securities under ban today: IDEA.
market wide position limit chart