Category: Your Money

Theme Recap 14.05.2022

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 14.05.2022

Summary: May NIFTY 17000 calls added 61,62,250 contracts while 16900 calls shed 5,63,450. On the Put side of the equation, the 15000 strike added 31,49,400 while the 15900’s shed 7,69,400.

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 13.05.2022

NIFTY Summary:

  1. May 16000 calls added 35,43,450 contracts.
  2. May 17450 calls shed 3,250.
  3. May 14650 puts added 13,73,600.
  4. May 16200 puts shed 3,53,750.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 338.72 930.42
5 321.40 853.98
10 299.56 792.47
20 279.41 758.37

NIFTY 50 NIFTY BANK
TrueRange 431.35 1395.50
TrueHigh 16167.10 34693.15
TrueLow 15735.75 33297.65

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: IBULHSGFIN, PNB.
market wide position limit chart

FRED Scan 13.05.2022

Overnight Unsecured AMERIBOR Benchmark Interest Rate

Overnight Unsecured 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

Coinbase Litecoin

Coinbase Litecoin

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

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

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

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, Inflation-Indexed

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

Options Daily 12.05.2022

NIFTY Summary:

  1. May 16200 calls added 7,07,150 contracts.
  2. May 17150 calls shed 15,200.
  3. May 15000 puts added 4,20,400.
  4. May 16400 puts shed 47,750.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 292.41 697.89
5 293.78 718.23
10 283.62 722.26
20 267.29 717.12

NIFTY 50 NIFTY BANK
TrueRange 326.15 650.00
TrueHigh 16318.75 34793.20
TrueLow 15992.60 34143.20
Avg. True Range

NIFTY.50 NIFTY.BANK
3 292.41 697.89
5 293.78 718.23
10 283.62 722.26
20 267.29 717.12

NIFTY 50 NIFTY BANK
TrueRange 326.15 650.00
TrueHigh 16318.75 34793.20
TrueLow 15992.60 34143.20

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