Category: Your Money

Theme Recap 11.09.2021

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 11.09.2021

Summary: Sep NIFTY 18000 calls added 31,72,100 contracts while 17100 calls shed 1,61,450. On the Put side of the equation, the 16500 strike added 30,54,100 while the 16600’s shed 1,56,350.

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP 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 09.09.2021

NIFTY Summary:

  1. Sep 17500 calls added 3,38,050 contracts.
  2. Sep 17100 calls shed 55,800.
  3. Sep 17300 puts added 3,63,650.
  4. Sep 16600 puts shed 66,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 141.30 480.22
5 148.84 487.34
10 152.60 492.67
20 151.95 490.60

NIFTY 50 NIFTY BANK
TrueRange 129.20 462.30
TrueHigh 17383.40 36855.90
TrueLow 17254.20 36393.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 141.30 480.22
5 148.84 487.34
10 152.60 492.67
20 151.95 490.60

NIFTY 50 NIFTY BANK
TrueRange 129.20 462.30
TrueHigh 17383.40 36855.90
TrueLow 17254.20 36393.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP 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, IRCTC, NATIONALUM.
market wide position limit chart