Category: Your Money

FRED Scan 23.05.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

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 Breakeven Inflation Rate

10-Year Breakeven Inflation Rate

ICE BofA US High Yield Index Total Return Index Value

ICE BofA US High Yield Index Total Return Index Value

ICE BofA US High Yield Index Option-Adjusted Spread

ICE BofA US High Yield Index Option-Adjusted Spread

Dow Jones Transportation Average

Dow Jones Transportation Average

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

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

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

Theme Recap 21.05.2022

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 21.05.2022

Summary: May NIFTY 17000 calls added 52,34,600 contracts while 16000 calls shed 24,04,000. On the Put side of the equation, the 16000 strike added 44,36,700 while the 16000’s shed 11,74,950.

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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 20.05.2022

NIFTY Summary:

  1. May 17000 calls added 45,90,750 contracts.
  2. May 17600 calls shed 57,250.
  3. May 14300 puts added 22,56,650.
  4. May 16200 puts shed 6,63,450.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 353.13 826.31
5 337.48 823.11
10 315.57 791.33
20 295.07 748.50

NIFTY 50 NIFTY BANK
TrueRange 465.10 983.10
TrueHigh 16240.30 34163.70
TrueLow 15775.20 33180.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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: DELTACORP, GNFC, IBULHSGFIN, PNB.
market wide position limit chart