Category: Your Money

FRED Scan 20.05.2022

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

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 DJIA Volatility Index

CBOE DJIA Volatility Index

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

Wilshire 5000 Total Market Full Cap Index

Wilshire 5000 Total Market Full Cap Index

Conventional Gasoline Prices: U.S. Gulf Coast, Regular

Conventional Gasoline Prices: U.S. Gulf Coast, Regular

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

Overnight A2/P2 Nonfinancial Commercial Paper Interest Rate

Overnight A2/P2 Nonfinancial Commercial Paper Interest Rate

Effective Federal Funds Rate

Effective Federal Funds Rate

Bank Prime Loan Rate

Bank Prime Loan Rate

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

Options Daily 19.05.2022

NIFTY Summary:

  1. May 16500 calls added 8,96,850 contracts.
  2. May 16100 calls shed 2,17,200.
  3. May 16300 puts added 6,04,800.
  4. May 15000 puts shed 2,16,950.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 297.14 747.92
5 305.56 783.40
10 297.91 772.24
20 283.01 740.23

NIFTY 50 NIFTY BANK
TrueRange 188.60 521.10
TrueHigh 16399.80 34655.80
TrueLow 16211.20 34134.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 297.14 747.92
5 305.56 783.40
10 297.91 772.24
20 283.01 740.23

NIFTY 50 NIFTY BANK
TrueRange 188.60 521.10
TrueHigh 16399.80 34655.80
TrueLow 16211.20 34134.70

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

FRED Scan 19.05.2022

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

Moody’s Seasoned Baa Corporate Bond Yield Relative to Yield on 10-Year Treasury Constant Maturity


Total Value of Issues, with a Maturity Between 41 and 80 Days, Used in Calculating the A2/P2 Nonfinancial Commercial Paper Rates

Total Value of Issues, with a Maturity Between 41 and 80 Days, Used in Calculating the A2/P2 Nonfinancial Commercial Paper Rates

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

S&P 500

S&P 500

Conventional Gasoline Prices: U.S. Gulf Coast, Regular

Conventional Gasoline Prices: U.S. Gulf Coast, Regular

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

7-Day AA Financial Commercial Paper Interest Rate

7-Day AA Financial Commercial Paper Interest Rate

Effective Federal Funds Rate

Effective Federal Funds Rate

Bank Prime Loan Rate

Bank Prime Loan Rate

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

Options Daily 18.05.2022

NIFTY Summary:

  1. May 17200 calls added 2,32,750 contracts.
  2. May 16000 calls shed 3,68,050.
  3. May 16000 puts added 7,55,350.
  4. May 15500 puts shed 2,67,100.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 351.41 861.34
5 335.04 849.92
10 312.74 812.45
20 293.59 780.82

NIFTY 50 NIFTY BANK
TrueRange 441.95 768.45
TrueHigh 16284.25 34366.05
TrueLow 15842.30 33597.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 351.41 861.34
5 335.04 849.92
10 312.74 812.45
20 293.59 780.82

NIFTY 50 NIFTY BANK
TrueRange 441.95 768.45
TrueHigh 16284.25 34366.05
TrueLow 15842.30 33597.60

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

market wide position limit chart

FRED Scan 18.05.2022

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 Treasury Constant Maturity Minus Federal Funds Rate

10-Year Treasury Constant Maturity Minus Federal Funds Rate

ICE BofA CCC & Lower US High Yield Index Total Return Index Value

ICE BofA CCC & Lower 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

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

Effective Federal Funds Rate

Effective Federal Funds Rate

Bank Prime Loan Rate

Bank Prime Loan Rate

Market Yield on U.S. Treasury Securities at 7-Year Constant Maturity, Inflation-Indexed

Market Yield on U.S. Treasury Securities at 7-Year Constant Maturity, Inflation-Indexed