Tag: weekly

Options Weekly 04.03.2023

Summary: Mar NIFTY 18000 calls added 65,14,850 contracts while 17400 calls shed 44,21,500. On the Put side of the equation, the 17500 strike added 80,10,000 while the 16850’s shed 4,60,800.

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

MAR 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

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Index Update 14.02.2016

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2016-02-12 png

index momentum best 50 2016-02-12 png

index momentum worst 365 2016-02-12 png

index momentum worst 50 2016-02-12 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-02-12 png

Refactored Index Performance

50-day performance, from December 03, 2015 through February 12, 2016:

Equally Weighted Market Cap. Weighted
GROWSECT 15 (EQUAL) -6.95% IT (CAP) -3.90%
QUALITY 30 (EQUAL) -9.73% PHARMA (CAP) -4.29%
FMCG (EQUAL) -10.08% GROWSECT 15 (CAP) -4.52%
CONSUMPTION (EQUAL) -11.07% QUALITY 30 (CAP) -7.22%
AUTO (EQUAL) -11.17% ENERGY (CAP) -8.90%
PHARMA (EQUAL) -11.26% FMCG (CAP) -10.06%
ENERGY (EQUAL) -11.53% COMMODITIES (CAP) -10.30%
MNC (EQUAL) -12.24% CONSUMPTION (CAP) -10.41%
COMMODITIES (EQUAL) -12.32% SERV SECTOR (CAP) -11.79%
IT (EQUAL) -13.54% VALUE 20 (CAP) -12.03%
MEDIA (EQUAL) -15.13% MEDIA (CAP) -12.18%
VALUE 20 (EQUAL) -15.16% MNC (CAP) -12.86%
SERV SECTOR (EQUAL) -16.18% PSE (CAP) -14.25%
PSE (EQUAL) -17.26% METAL (CAP) -14.56%
CPSE (EQUAL) -19.21% AUTO (CAP) -15.14%
FIN SERVICE (EQUAL) -20.29% CPSE (CAP) -15.57%
LIQ 15 (EQUAL) -20.52% FIN SERVICE (CAP) -16.78%
INFRA (EQUAL) -21.81% INFRA (CAP) -16.79%
BANK (EQUAL) -22.99% BANK (CAP) -18.51%
METAL (EQUAL) -23.62% LIQ 15 (CAP) -20.52%
REALTY (EQUAL) -25.92% MIDCAP LIQUID 15 (CAP) -23.99%
MIDCAP LIQUID 15 (EQUAL) -25.97% REALTY (CAP) -26.29%
PSU BANK (EQUAL) -38.49% PSU BANK (CAP) -36.73%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
22.25
2015-Jan-27
NIFTY BANK LONG
32.03
2015-Jan-27
NIFTY COMMODITIES LONG
42.67
2008-Jan-04
NIFTY CONSUMPTION LONG
14.40
2015-Aug-05
NIFTY ENERGY LONG
37.45
2008-Jan-14
NIFTY FIN SERVICE LONG
28.84
2015-Jan-28
NIFTY FMCG LONG
17.79
2015-Feb-25
NIFTY INFRA LONG
63.65
2008-Jan-09
NIFTY IT LONG
89.19
2000-Feb-21
NIFTY MEDIA LONG
26.02
2008-Jan-04
NIFTY METAL LONG
72.78
2008-Jan-04
NIFTY MNC LONG
22.21
2015-Aug-10
NIFTY PHARMA SHORT
19.88
2015-Apr-08
NIFTY PSE LONG
43.76
2008-Jan-04
NIFTY PSU BANK LONG
63.39
2010-Nov-05
NIFTY REALTY LONG
93.12
2008-Jan-14
NIFTY SERV SECTOR LONG
23.80
2015-Mar-03
FMCG/Consumption provided some “flight-to-safety” benefits. But the overall 50-day performance of different sub-sectors have been pretty grim.
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Index Update 06.02.2016

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2016-02-05 png

index momentum best 50 2016-02-05 png

index momentum worst 365 2016-02-05 png

index momentum worst 50 2016-02-05 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-02-05 png

Refactored Index Performance

50-day performance, from November 26, 2015 through February 05, 2016:

Equally Weighted Market Cap. Weighted
GROWSECT 15 (EQUAL) -1.76% IT (CAP) +4.77%
MEDIA (EQUAL) -3.49% GROWSECT 15 (CAP) +1.72%
QUALITY 30 (EQUAL) -3.92% PHARMA (CAP) +0.93%
COMMODITIES (EQUAL) -5.06% QUALITY 30 (CAP) -0.90%
PHARMA (EQUAL) -5.24% MEDIA (CAP) -1.60%
IT (EQUAL) -5.28% ENERGY (CAP) -3.10%
ENERGY (EQUAL) -5.31% COMMODITIES (CAP) -3.87%
CONSUMPTION (EQUAL) -5.73% METAL (CAP) -4.07%
FMCG (EQUAL) -6.37% FMCG (CAP) -4.58%
MNC (EQUAL) -7.03% SERV SECTOR (CAP) -4.98%
PSE (EQUAL) -8.15% VALUE 20 (CAP) -5.74%
AUTO (EQUAL) -8.21% CONSUMPTION (CAP) -6.24%
SERV SECTOR (EQUAL) -8.85% PSE (CAP) -6.44%
VALUE 20 (EQUAL) -8.93% CPSE (CAP) -7.54%
CPSE (EQUAL) -10.21% MNC (CAP) -8.08%
LIQ 15 (EQUAL) -11.32% FIN SERVICE (CAP) -9.78%
METAL (EQUAL) -11.54% BANK (CAP) -11.25%
FIN SERVICE (EQUAL) -12.06% AUTO (CAP) -11.28%
REALTY (EQUAL) -13.83% INFRA (CAP) -12.62%
INFRA (EQUAL) -14.25% REALTY (CAP) -13.67%
BANK (EQUAL) -15.02% LIQ 15 (CAP) -14.19%
MIDCAP LIQUID 15 (EQUAL) -15.65% MIDCAP LIQUID 15 (CAP) -14.26%
PSU BANK (EQUAL) -26.74% PSU BANK (CAP) -29.21%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
17.62
2015-Jan-27
NIFTY BANK SHORT
26.24
2015-Jan-27
NIFTY COMMODITIES SHORT
38.78
2008-Jan-04
NIFTY CONSUMPTION SHORT
10.38
2015-Aug-05
NIFTY ENERGY LONG
32.92
2008-Jan-14
NIFTY FIN SERVICE SHORT
22.73
2015-Jan-28
NIFTY FMCG LONG
12.69
2015-Feb-25
NIFTY INFRA SHORT
61.52
2008-Jan-09
NIFTY IT LONG
88.24
2000-Feb-21
NIFTY MEDIA SHORT
18.97
2008-Jan-04
NIFTY METAL SHORT
70.09
2008-Jan-04
NIFTY MNC SHORT
18.01
2015-Aug-10
NIFTY PHARMA SHORT
15.75
2015-Apr-08
NIFTY PSE SHORT
38.71
2008-Jan-04
NIFTY PSU BANK LONG
59.05
2010-Nov-05
NIFTY REALTY SHORT
92.16
2008-Jan-14
NIFTY SERV SECTOR SHORT
17.71
2015-Mar-03
The only bright spot was FMCG – probably aided by a flight to safety. It is brutal out there…
Categories Tags , ,

Index Update 30.01.2016

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2016-01-29 png

index momentum best 50 2016-01-29 png

index momentum worst 365 2016-01-29 png

index momentum worst 50 2016-01-29 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-01-29 png

Refactored Index Performance

50-day performance, from November 18, 2015 through January 29, 2016:

Equally Weighted Market Cap. Weighted
ENERGY (EQUAL) +3.83% ENERGY (CAP) +8.25%
MEDIA (EQUAL) +3.69% MEDIA (CAP) +7.69%
COMMODITIES (EQUAL) -0.35% IT (CAP) +6.52%
IT (EQUAL) -1.43% COMMODITIES (CAP) +3.03%
CONSUMPTION (EQUAL) -1.51% GROWSECT 15 (CAP) +1.60%
PSE (EQUAL) -1.85% PHARMA (CAP) +0.40%
GROWSECT 15 (EQUAL) -2.00% QUALITY 30 (CAP) -0.04%
QUALITY 30 (EQUAL) -2.41% VALUE 20 (CAP) -0.29%
CPSE (EQUAL) -3.20% PSE (CAP) -0.63%
SERV SECTOR (EQUAL) -3.85% SERV SECTOR (CAP) -1.63%
VALUE 20 (EQUAL) -3.95% CPSE (CAP) -2.70%
PHARMA (EQUAL) -4.70% METAL (CAP) -3.13%
AUTO (EQUAL) -5.34% CONSUMPTION (CAP) -4.37%
INFRA (EQUAL) -5.48% FIN SERVICE (CAP) -6.21%
FMCG (EQUAL) -6.20% FMCG (CAP) -6.33%
REALTY (EQUAL) -6.74% REALTY (CAP) -6.38%
METAL (EQUAL) -6.81% AUTO (CAP) -7.04%
LIQ 15 (EQUAL) -7.27% MNC (CAP) -7.34%
FIN SERVICE (EQUAL) -8.18% MIDCAP LIQUID 15 (CAP) -7.34%
MNC (EQUAL) -8.21% BANK (CAP) -7.88%
MIDCAP LIQUID 15 (EQUAL) -8.49% INFRA (CAP) -9.87%
BANK (EQUAL) -13.26% LIQ 15 (CAP) -10.92%
PSU BANK (EQUAL) -24.84% PSU BANK (CAP) -25.75%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
16.42
2015-Jan-27
NIFTY BANK SHORT
24.48
2015-Jan-27
NIFTY COMMODITIES LONG
37.22
2008-Jan-04
NIFTY CONSUMPTION SHORT
10.38
2015-Aug-05
NIFTY ENERGY LONG
29.10
2008-Jan-14
NIFTY FIN SERVICE SHORT
21.30
2015-Jan-28
NIFTY FMCG SHORT
14.18
2015-Feb-25
NIFTY INFRA SHORT
61.28
2008-Jan-09
NIFTY IT LONG
88.23
2000-Feb-21
NIFTY MEDIA LONG
16.13
2008-Jan-04
NIFTY METAL LONG
69.81
2008-Jan-04
NIFTY MNC LONG
17.75
2015-Aug-10
NIFTY PHARMA LONG
15.00
2015-Apr-08
NIFTY PSE LONG
36.55
2008-Jan-04
NIFTY PSU BANK SHORT
57.35
2010-Nov-05
NIFTY REALTY LONG
91.83
2008-Jan-14
NIFTY SERV SECTOR SHORT
16.69
2015-Mar-03
Pharma seems to be clawing its way back up the momentum charts…
Categories Tags , ,

Index Update 16.01.2016

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2016-01-15 png

index momentum best 50 2016-01-15 png

index momentum worst 365 2016-01-15 png

index momentum worst 50 2016-01-15 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-01-15 png

Refactored Index Performance

50-day performance, from November 03, 2015 through January 15, 2016:

Equally Weighted Market Cap. Weighted
MEDIA (EQUAL) +1.60% ENERGY (CAP) +4.06%
ENERGY (EQUAL) +0.39% MEDIA (CAP) -0.99%
CONSUMPTION (EQUAL) -2.87% COMMODITIES (CAP) -1.28%
COMMODITIES (EQUAL) -4.49% IT (CAP) -4.54%
PSE (EQUAL) -4.61% CONSUMPTION (CAP) -4.66%
IT (EQUAL) -4.72% PSE (CAP) -4.91%
CPSE (EQUAL) -6.20% FMCG (CAP) -5.61%
QUALITY 30 (EQUAL) -6.21% QUALITY 30 (CAP) -6.33%
FMCG (EQUAL) -6.30% METAL (CAP) -6.64%
AUTO (EQUAL) -6.88% GROWSECT 15 (CAP) -6.65%
INFRA (EQUAL) -7.91% AUTO (CAP) -6.87%
GROWSECT 15 (EQUAL) -7.97% CPSE (CAP) -7.24%
VALUE 20 (EQUAL) -8.67% VALUE 20 (CAP) -7.28%
METAL (EQUAL) -9.06% MNC (CAP) -8.10%
SERV SECTOR (EQUAL) -9.23% SERV SECTOR (CAP) -8.49%
MNC (EQUAL) -9.81% MIDCAP LIQUID 15 (CAP) -9.19%
MIDCAP LIQUID 15 (EQUAL) -11.01% FIN SERVICE (CAP) -11.37%
LIQ 15 (EQUAL) -12.22% BANK (CAP) -12.46%
REALTY (EQUAL) -12.81% INFRA (CAP) -12.63%
PHARMA (EQUAL) -12.84% REALTY (CAP) -12.74%
FIN SERVICE (EQUAL) -13.49% PHARMA (CAP) -13.74%
BANK (EQUAL) -16.67% LIQ 15 (CAP) -14.14%
PSU BANK (EQUAL) -25.89% PSU BANK (CAP) -23.64%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
17.09
2015-Jan-27
NIFTY BANK LONG
26.02
2015-Jan-27
NIFTY COMMODITIES SHORT
37.60
2008-Jan-04
NIFTY CONSUMPTION LONG
10.19
2015-Aug-05
NIFTY ENERGY SHORT
28.34
2008-Jan-14
NIFTY FIN SERVICE LONG
22.84
2015-Jan-28
NIFTY FMCG LONG
14.35
2015-Feb-25
NIFTY INFRA LONG
60.96
2008-Jan-09
NIFTY IT SHORT
88.49
2000-Feb-21
NIFTY MEDIA LONG
18.33
2008-Jan-04
NIFTY METAL LONG
70.43
2008-Jan-04
NIFTY MNC LONG
15.76
2015-Aug-10
NIFTY PHARMA LONG
18.59
2015-Apr-08
NIFTY PSE SHORT
36.99
2008-Jan-04
NIFTY PSU BANK LONG
56.98
2010-Nov-05
NIFTY REALTY LONG
91.74
2008-Jan-14
NIFTY SERV SECTOR LONG
18.49
2015-Mar-03
Pretty much every sub-index has a negative 50-day return…
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