Category: Your Money

Options Daily 30.03.2022

NIFTY Summary:

  1. Apr 18000 calls added 2,66,400 contracts.
  2. Apr 17200 calls shed 43,000.
  3. Apr 17300 puts added 3,11,650.
  4. Apr 16100 puts shed 36,000.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 202.33 644.20
5 239.00 733.33
10 287.01 861.52
20 324.66 965.41

NIFTY 50 NIFTY BANK
TrueRange 121.65 470.65
TrueHigh 17343.65 35977.20
TrueLow 17222.00 35506.55
Avg. True Range

NIFTY.50 NIFTY.BANK
3 202.33 644.20
5 239.00 733.33
10 287.01 861.52
20 324.66 965.41

NIFTY 50 NIFTY BANK
TrueRange 121.65 470.65
TrueHigh 17343.65 35977.20
TrueLow 17222.00 35506.55

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, PVR, SUNTV.
market wide position limit chart

FRED Scan 30.03.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

Overnight Reverse Repurchase Agreements Award Rate: Treasury Securities Sold by the Federal Reserve in the Temporary Open Market Operations

Overnight Reverse Repurchase Agreements Award Rate: Treasury Securities Sold by the Federal Reserve in the Temporary Open Market Operations

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

CBOE S&P 500 3-Month Volatility Index

CBOE S&P 500 3-Month Volatility Index

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

S&P 500

S&P 500

Overnight A2/P2 Nonfinancial Commercial Paper Interest Rate

Overnight A2/P2 Nonfinancial Commercial Paper Interest Rate

Bank Prime Loan Rate

Bank Prime Loan Rate

Options Daily 29.03.2022

NIFTY Summary:

  1. Apr 18000 calls added 3,27,200 contracts.
  2. Apr 18200 calls shed 48,600.
  3. Apr 15000 puts added 2,24,400.
  4. Apr 16150 puts shed 1,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 242.67 730.98
5 268.60 799.77
10 308.01 913.40
20 341.49 1009.56

NIFTY 50 NIFTY BANK
TrueRange 231.20 754.50
TrueHigh 17235.10 35770.80
TrueLow 17003.90 35016.30
Avg. True Range

NIFTY.50 NIFTY.BANK
3 242.67 730.98
5 268.60 799.77
10 308.01 913.40
20 341.49 1009.56

NIFTY 50 NIFTY BANK
TrueRange 231.20 754.50
TrueHigh 17235.10 35770.80
TrueLow 17003.90 35016.30

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, PVR, SUNTV.
market wide position limit chart

FRED Scan 29.03.2022

30-Day Moving Average AMERIBOR Benchmark Interest Rate

30-Day Moving Average AMERIBOR Benchmark Interest Rate

Overnight Reverse Repurchase Agreements Award Rate: Treasury Securities Sold by the Federal Reserve in the Temporary Open Market Operations

Overnight Reverse Repurchase Agreements Award Rate: Treasury Securities Sold by the Federal Reserve in the Temporary Open Market Operations

30-Year Fixed Rate Jumbo Mortgage Index

30-Year Fixed Rate Jumbo Mortgage Index

10-Year 0.125% Treasury Inflation-Indexed Bond, Due 01/15/2030

10-Year 0.125% Treasury Inflation-Indexed Bond, Due 01/15/2030

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

CBOE EuroCurrency ETF Volatility Index

CBOE EuroCurrency ETF Volatility Index

ICE BofA 7-10 Year US Corporate Index Total Return Index Value

ICE BofA 7-10 Year US Corporate 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

S&P 500

S&P 500

30-Day AA Financial Commercial Paper Interest Rate

30-Day AA Financial Commercial Paper Interest Rate

Federal Funds Effective Rate

Federal Funds Effective Rate

Bank Prime Loan Rate

Bank Prime Loan Rate

Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity

Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity

Sri Lankan Rupees to U.S. Dollar Spot Exchange Rate

Sri Lankan Rupees to U.S. Dollar Spot Exchange Rate

Japanese Yen to U.S. Dollar Spot Exchange Rate

Japanese Yen to U.S. Dollar Spot Exchange Rate

Options Daily 28.03.2022

NIFTY Summary:

  1. Apr 17200 calls added 2,31,850 contracts.
  2. Apr 18700 calls shed 4,300.
  3. Apr 17200 puts added 2,76,550.
  4. Apr 15350 puts shed 3,300.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 248.41 719.21
5 277.87 810.56
10 315.53 924.65
20 344.70 1005.90

NIFTY 50 NIFTY BANK
TrueRange 218.35 513.55
TrueHigh 17294.90 35717.40
TrueLow 17076.55 35203.85
Avg. True Range

NIFTY.50 NIFTY.BANK
3 248.41 719.21
5 277.87 810.56
10 315.53 924.65
20 344.70 1005.90

NIFTY 50 NIFTY BANK
TrueRange 218.35 513.55
TrueHigh 17294.90 35717.40
TrueLow 17076.55 35203.85
Avg. True Range

NIFTY.50 NIFTY.BANK
3 248.41 719.21
5 277.87 810.56
10 315.53 924.65
20 344.70 1005.90

NIFTY 50 NIFTY BANK
TrueRange 218.35 513.55
TrueHigh 17294.90 35717.40
TrueLow 17076.55 35203.85

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: IBULHSGFIN, IDEA, L&TFH, SAIL, SUNTV.
market wide position limit chart