Tag: NIFTY

Options Daily 10.05.2019

NIFTY Summary:

  1. May 11400 calls added 12,14,850 contracts.
  2. May 12050 calls shed 3,600.
  3. May 11000 puts added 9,45,225.
  4. May 11400 puts shed 1,24,200.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 127.36 371.85
5 125.45 401.02
10 120.93 421.40
20 116.47 427.34

NIFTY 50 NIFTY BANK
TrueRange 104.40 255.65
TrueHigh 11359.45 29040.30
TrueLow 11255.05 28784.65

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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(2,2)+GARCH(1,1) model:

VIX 25.56 25.68 25.70 25.81 25.84
σ 0.95 0.93 0.91 0.90 0.89

Marketwide OI

Securities under ban today: JETAIRWAYS.
market wide position limit chart

Options Daily 09.05.2019

NIFTY Summary:

  1. May 11500 calls added 8,19,900 contracts.
  2. May 12100 calls shed 12,450.
  3. May 11500 puts added 4,74,525.
  4. May 11600 puts shed 29,325.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 138.84 429.95
5 130.74 437.31
10 123.24 439.59
20 118.26 436.19

NIFTY 50 NIFTY BANK
TrueRange 150.95 336.85
TrueHigh 11497.90 29288.20
TrueLow 11346.95 28951.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 138.84 429.95
5 130.74 437.31
10 123.24 439.59
20 118.26 436.19

NIFTY 50 NIFTY BANK
TrueRange 150.95 336.85
TrueHigh 11497.90 29288.20
TrueLow 11346.95 28951.35

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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(2,2)+GARCH(1,1) model:

VIX 25.90 25.51 25.19 24.93 24.73
σ 1.16 1.14 1.12 1.10 1.09

Marketwide OI

Securities under ban today: JETAIRWAYS.
market wide position limit chart

Factor Holding Periods for Excess Returns

The NSE has different “strategy” indices that reflect some well known equity factors like low-volatility, quality, momentum and value. They are all shown to out-perform the NIFTY 50 TR index since inception:
cumulative returns of NSE factor 'strategy' indices

However, the excess returns of these indices, like everything else in equities, is unevenly distributed. As an investor, it could get frustrating to watch their “quality” factor investment under-perform the plain-old NIFTY 50 over many months. So broadly, for a given factor/strategy, what should the minimum holding period be for an investor to see only a positive excess return?

holding periods and excess returns for different factor/strategy indices

Factors take time to work. The longer the holding period, the less frustrating the experience. Low-volatility and Quality have the shortest holding periods of 5 years. The Alpha and Value indices require about 10 years for investors to see only positive excess returns. Also, given the lack of liquid, low-cost ETFs and index funds that track these factor indices, investors have to also contend with STT and capital-gains tax if they go the DIY route.

The edge that statistical factors have over market-cap based indices are measured over decades and require investors to be patient.

Charts and code on github.

Options Daily 08.05.2019

NIFTY Summary:

  1. May 11700 calls added 3,55,200 contracts.
  2. May 11900 calls shed 36,450.
  3. May 11300 puts added 1,25,850.
  4. May 11750 puts shed 4,125.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.78 476.49
5 125.68 462.40
10 120.45 451.61
20 117.37 443.58

NIFTY 50 NIFTY BANK
TrueRange 172.60 591.25
TrueHigh 11657.05 29835.50
TrueLow 11484.45 29244.25
Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.78 476.49
5 125.68 462.40
10 120.45 451.61
20 117.37 443.58

NIFTY 50 NIFTY BANK
TrueRange 172.60 591.25
TrueHigh 11657.05 29835.50
TrueLow 11484.45 29244.25

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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(3,2)+GARCH(1,1) model:

VIX 26.53 26.46 26.58 26.63 26.57
σ 1.20 1.17 1.14 1.10 1.08

Marketwide OI

Securities under ban today: JETAIRWAYS.
market wide position limit chart

Options Daily 07.05.2019

NIFTY Summary:

  1. May 11800 calls added 1,68,825 contracts.
  2. May 12200 calls shed 5,175.
  3. May 11200 puts added 1,31,475.
  4. May 11700 puts shed 8,475.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 112.87 419.11
5 113.87 429.94
10 113.74 433.26
20 112.65 430.40

NIFTY 50 NIFTY BANK
TrueRange 140.90 425.55
TrueHigh 11712.25 29954.15
TrueLow 11571.35 29528.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 112.87 419.11
5 113.87 429.94
10 113.74 433.26
20 112.65 430.40

NIFTY 50 NIFTY BANK
TrueRange 140.90 425.55
TrueHigh 11712.25 29954.15
TrueLow 11571.35 29528.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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(4,2)+GARCH(1,1) model:

VIX 25.95 25.47 25.02 24.67 24.40
σ 1.67 1.63 1.59 1.56 1.52

Marketwide OI

Securities under ban today: JETAIRWAYS.
market wide position limit chart