Category: Your Money

Options Daily 12.12.2018

NIFTY Summary:

  1. Dec 10600 calls added 7,16,475 contracts.
  2. Dec 10700 calls shed 3,05,400.
  3. Dec 10000 puts added 7,69,575.
  4. Dec 10700 puts shed 2,82,900.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 180.90 482.17
5 157.32 419.73
10 139.02 371.99
20 132.16 354.36

NIFTY 50 NIFTY BANK
TrueRange 233.30 628.95
TrueHigh 10567.15 26227.90
TrueLow 10333.85 25598.95

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC 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(3,1)+GARCH(1,1) model:

VIX 18.10 18.12 18.07 18.09 18.05
σ 1.62 1.52 1.42 1.33 1.26

Marketwide OI

Securities under ban today: ADANIENT, ADANIPOWER.
market wide position limit chart

FRED Scan 12.12.2018

10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity

10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity

CBOE Crude Oil ETF Volatility Index

CBOE Crude Oil ETF Volatility Index

ICE BofAML Euro High Yield Index Total Return Index Value

ICE BofAML Euro High Yield Index Total Return Index Value

ICE BofAML US Corporate BBB Option-Adjusted Spread

ICE BofAML US Corporate BBB Option-Adjusted Spread

Dow Jones Utility Average

Dow Jones Utility Average

Opening Bell 11.12.2018

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -1.54%
CAC(FRA) -1.47%
UKX(GBR) -0.83%
NKY(JPN) -0.56%
SPX(USA) +0.18%
MINTs
JCI(IDN) -0.60%
INMEX(MEX) -1.30%
NGSEINDX(NGA) -0.82%
XU030(TUR) -1.65%
BRICS
IBOV(BRA) -2.50%
SHCOMP(CHN) +0.29%
NIFTY(IND) -1.92%
INDEXCF(RUS) -0.01%
TOP40(ZAF) -1.31%

Commodities

Energy
Brent Crude Oil +0.43%
WTI Crude Oil +0.41%
Ethanol +0.00%
Heating Oil +0.50%
Natural Gas -0.15%
RBOB Gasoline +1.01%
Metals
Copper +0.28%
Gold 100oz +0.14%
Platinum +0.03%
Palladium +0.37%
Silver 5000oz +0.15%

Currencies

USDEUR:-0.11% USDJPY:-0.25%

MINTs
USDIDR(IDN) +0.53%
USDMXN(MEX) +0.01%
USDNGN(NGA) +0.21%
USDTRY(TUR) +0.06%
BRICS
USDBRL(BRA) +0.42%
USDCNY(CHN) -0.19%
USDINR(IND) +0.75%
USDRUB(RUS) -0.05%
USDZAR(ZAF) -0.13%
Agricultural
Coffee (Arabica) +0.00%
Feeder Cattle +0.00%
Cattle +0.00%
Cotton +0.18%
Lean Hogs +0.00%
Soybeans -0.08%
Sugar #11 +0.00%
Wheat +0.00%
Corn +0.13%
Orange Juice +0.00%
Soybean Meal +0.00%
White Sugar +0.00%
Cocoa +0.00%
Coffee (Robusta) +0.00%
Lumber +0.00%

Out of 43 world ETFs listed in NYSE that we track, 2 are trading above their 10-day SMA and 7 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 11.12.2018

NIFTY Summary:

  1. Dec 10700 calls added 11,84,625 contracts.
  2. Dec 11100 calls shed 1,19,175.
  3. Dec 10200 puts added 4,94,625.
  4. Dec 10700 puts shed 5,34,225.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 154.70 408.79
5 138.40 367.56
10 130.10 346.81
20 130.87 348.78

NIFTY 50 NIFTY BANK
TrueRange 218.75 522.30
TrueHigh 10693.70 26594.30
TrueLow 10474.95 26072.00

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC 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(1,1)+GARCH(1,1) model:

VIX 20.27 20.25 20.24 20.22 20.20
σ 1.18 1.12 1.06 1.01 0.97

Marketwide OI

Securities under ban today: ADANIENT, ADANIPOWER.
market wide position limit chart