Tag: daily

FRED Scan 19.10.2021

Equity Market-related Economic Uncertainty Index

Equity Market-related Economic Uncertainty Index

Total Value of Issues, with a Maturity Between 10 and 20 Days, Used in Calculating the AA Nonfinancial Commercial Paper Rates

Total Value of Issues, with a Maturity Between 10 and 20 Days, Used in Calculating the AA Nonfinancial Commercial Paper Rates

Overnight Bank Funding Volume

Overnight Bank Funding Volume

Market Yield on U.S. Treasury Securities at 2-Year Constant Maturity

Market Yield on U.S. Treasury Securities at 2-Year Constant Maturity

Venezuela / U.S. Foreign Exchange Rate

Venezuela / U.S. Foreign Exchange Rate

Options Daily 18.10.2021

NIFTY Summary:

  1. Oct 19000 calls added 14,14,950 contracts.
  2. Oct 18200 calls shed 1,67,400.
  3. Oct 18300 puts added 15,89,550.
  4. Oct 17100 puts shed 96,700.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.63 545.84
5 190.71 540.20
10 186.41 546.44
20 177.41 552.72

NIFTY 50 NIFTY BANK
TrueRange 189.00 739.30
TrueHigh 18350.75 39375.05
TrueLow 18161.75 38635.75
Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.63 545.84
5 190.71 540.20
10 186.41 546.44
20 177.41 552.72

NIFTY 50 NIFTY BANK
TrueRange 189.00 739.30
TrueHigh 18350.75 39375.05
TrueLow 18161.75 38635.75

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

Marketwide OI

Securities under ban today: BANKBARODA, BHEL, IBULHSGFIN, IDEA, IRCTC, SUNTV.
market wide position limit chart

Options Daily 14.10.2021

NIFTY Summary:

  1. Oct 18200 calls added 3,61,000 contracts.
  2. Oct 17900 calls shed 2,26,250.
  3. Oct 18000 puts added 5,66,100.
  4. Oct 17300 puts shed 1,40,700.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.44 449.12
5 191.19 490.37
10 187.03 524.41
20 177.42 538.15

NIFTY 50 NIFTY BANK
TrueRange 205.85 276.35
TrueHigh 18197.80 38779.05
TrueLow 17991.95 38502.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.44 449.12
5 191.19 490.37
10 187.03 524.41
20 177.42 538.15

NIFTY 50 NIFTY BANK
TrueRange 205.85 276.35
TrueHigh 18197.80 38779.05
TrueLow 17991.95 38502.70

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

Marketwide OI

Securities under ban today: BANKBARODA, BHEL, IBULHSGFIN, IDEA, NATIONALUM, PNB, SAIL, SUNTV.
market wide position limit chart

FRED Scan 14.10.2021

Total Value of Issues, with a Maturity Between 5 and 9 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Total Value of Issues, with a Maturity Between 5 and 9 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

ICE BofA Asia Emerging Markets Corporate Plus Index Total Return Index Value

ICE BofA Asia Emerging Markets Corporate Plus Index Total Return Index Value

ICE BofA Asia Emerging Markets Corporate Plus Index Effective Yield

ICE BofA Asia Emerging Markets Corporate Plus Index Effective Yield