Category: Your Money

Theme Recap 19.10.2019

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 19.10.2019

Summary: Oct NIFTY 11700 calls added 10,84,425 contracts while 11500 calls shed 1,65,750. On the Put side of the equation, the 11500 strike added 15,98,550 while the 11050’s shed 34,350.

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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

Opening Bell 18.10.2019

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.12%
CAC(FRA) -0.42%
UKX(GBR) +0.20%
NKY(JPN) +0.56%
SPX(USA) +0.28%
MINTs
JCI(IDN) +0.04%
INMEX(MEX) -0.13%
NGSEINDX(NGA) -0.06%
XU030(TUR) +0.87%
BRICS
IBOV(BRA) -0.39%
SHCOMP(CHN) -0.18%
NIFTY(IND) +1.07%
INDEXCF(RUS) -0.01%
TOP40(ZAF) -0.28%

Commodities

Energy
Ethanol +0.00%
Heating Oil -0.28%
Brent Crude Oil -0.45%
Natural Gas +0.22%
RBOB Gasoline -0.36%
WTI Crude Oil -0.15%
Metals
Gold 100oz +0.00%
Copper +0.00%
Silver 5000oz -0.40%
Palladium -0.10%
Platinum -0.24%

Currencies

USDEUR:-0.02% USDJPY:-0.09%

MINTs
USDIDR(IDN) -0.07%
USDMXN(MEX) -0.01%
USDNGN(NGA) +0.35%
USDTRY(TUR) -0.17%
BRICS
USDBRL(BRA) +0.28%
USDCNY(CHN) -0.05%
USDINR(IND) +0.03%
USDRUB(RUS) -0.08%
USDZAR(ZAF) +0.06%
Agricultural
Coffee (Robusta) +0.00%
Corn +0.25%
Soybean Meal +0.59%
Feeder Cattle -0.10%
Sugar #11 +0.00%
Cocoa +0.00%
Lean Hogs -0.40%
White Sugar +0.00%
Cattle +0.00%
Coffee (Arabica) +0.00%
Cotton +0.26%
Lumber -0.15%
Orange Juice +0.00%
Soybeans +0.64%
Wheat +0.14%

Out of 43 world ETFs listed in NYSE that we track, 39 are trading above their 10-day SMA and 38 are trading above their 50-day SMA.

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Check out our Global Macro Dashboard for currency, commodity, bonds and credit charts.

Good luck!

Options Daily 18.10.2019

NIFTY Summary:

  1. Oct 11600 calls added 5,53,500 contracts.
  2. Oct 11350 calls shed 1,875.
  3. Oct 11500 puts added 10,39,725.
  4. Oct 11050 puts shed 34,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.41 592.67
5 143.41 675.65
10 157.54 743.37
20 166.01 755.56

NIFTY 50 NIFTY BANK
TrueRange 159.45 561.10
TrueHigh 11599.10 29049.05
TrueLow 11439.65 28487.95

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(0,0)+GARCH(1,1) model:

VIX 14.26 14.26 14.26 14.26 14.26
σ 1.55 1.50 1.46 1.43 1.41

Marketwide OI

market wide position limit chart

FRED Scan 18.10.2019

Gold Fixing Price 3:00 P.M. (London time) in London Bullion Market, based in British Pounds

Gold Fixing Price 3:00 P.M. (London time) in London Bullion Market, based in British Pounds

Term Repurchase Agreements: Total Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Term Repurchase Agreements: Total Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

3-Month Treasury Bill: Secondary Market Rate

3-Month Treasury Bill: Secondary Market Rate

3-Month Treasury Constant Maturity Rate

3-Month Treasury Constant Maturity Rate