Quantitative Analysis of Nifty

[praveen taneja]

Dow was dowwwn 172 point so expect gap down around 5420 I think can be more down too yday SGX nifty was trading at 5430 around so keep fingers cross

 

[QuantNifty]

Hi Praveen,

Thanx for the analysis, infact I am also of the same opinion that Nifty might open at gap down, however, i feel opening should be in the range of 5450-5430. Since I follow my model, hence the optimal range is on the higher side with no intervention of my senses. Lets see how things pan out tomorrow.

 

[QuantNifty]

Blog is now mobile device compatible <niftyquant dot blogspot dot com>

Nifty clocked intraday volatility of 0.66%, which is lower than the long term average. Immediate support level lies at 5483 and resistance level lies at 5519 respectively. FII's bought INR 3085.03 and sold INR 3883.56 crores, whereas DII's bought INR 1700.97 and sold INR 1090.25 crores in the cash market respectively. Indian rupee strengthens by INR -0.09 vis-a-vis USD.
Call for Jun 15, 2011
No Call to Trade
Nifty Put Call Ratio is at 1.29

 

[QuantNifty]

Nifty clocked intraday volatility of 1.11%, which is lower than the long term average. Immediate support level lies at 5425 and resistance level lies at 5485 respectively. FII's bought INR 2461.5 and sold INR 2632.06 crores, whereas DII's bought INR 1009.26 and sold INR 868.12 crores in the cash market respectively. Indian rupee strengthens by INR -0.05 vis-a-vis USD.
Call for Jun 16, 2011
Initiating a Short Trade with SL 5496
Optimal Short Level from 5467 till 5445 & Optimal Square Off Level 5418
Nifty Put Call Ratio is at 1.181

This weekend those who have interest in Credit Research can visit my blog to download a wonderful book written by one of my senior colleague in the past Conrad Vincent. This book will help you to understand Fixed Income Market and will help you to connect with the contemporary issues of debt market.

 

[QuantNifty]

Nifty clocked intraday volatility of 1.07%, which is lower than the long term average. Immediate support level lies at 5375 and resistance level lies at 5433 respectively. FII's bought INR 2191.29 and sold INR 2790.81 crores, whereas DII's bought INR 1308.28 and sold INR 1022.18 crores in the cash market respectively. Indian rupee weakened by INR 0.14 vis-a-vis USD.
Call for Jun 17, 2011
Initiating a Short Trade with SL 5447
Optimal Short Level from 5416 till 5394 & Optimal Square Off Level 5367
Nifty Put Call Ratio is at 1.126

 

[QuantNifty]

As promised I am uploading the series of chapters in Credit Analysis. In this chapter we will see empirical evidence of how various credit rating agencies faltered on providing guidance due to their inherent nature of faulty analysis.
This chapter is an Abstract from the book titled "Stories in Credit Analysis" written by Conrad Vincent. As in my blog I always try and look beyond the traditional approach of analysis, I guess this chapter will enlighten all of us. Please do not disseminate any content of this book without Author's knowledge.
Please visit <niftyquant dot blogspot dot com>

 

[QuantNifty]

Nifty clocked intraday volatility of 3.49%, which is higher than the long term average. Immediate support level lies at 5177 and resistance level lies at 5358 respectively. FII's bought INR 2577.97 and sold INR 3090.54 crores, whereas DII's bought INR 1545.17 and sold INR 681.86 crores in the cash market respectively. Indian rupee weakened by INR 0.13 vis-a-vis USD.
Call for Jun 21, 2011
Initiating a Short Trade with SL 5377
Optimal Short Level from 5276 till 5255 & Optimal Square Off Level 5229
Nifty Put Call Ratio is at 0.926

 

[msa5678]

Call for Jun 21, 2011
Initiating a Short Trade with SL 5377
Optimal Short Level from 5276 till 5255 & Optimal Square Off Level 5229
Nifty Put Call Ratio is at 0.926

Hi QuantNifty,

SL @ 5377 for Optimum Short Level 5276 till 5255, Is the diff between SL and OSL not too big.

 

[QuantNifty]

Hi MSA, I know its huge spread, but thats the way my model gets SL during high volatility, since today also you must have seen that volatility was high and my model correctly spotted the negative trend, however, we did miss the square off levels. So all who took position had to roll it over albeit with gains.

Regards,

QuantNifty

 

[QuantNifty]

Nifty clocked intraday volatility of 1.25%, which is lower than the long term average. Immediate support level lies at 5248 and resistance level lies at 5313 respectively. FII's bought INR 1699.74 and sold INR 2263.1 crores, whereas DII's bought INR 1143.76 and sold INR 713.35 crores in the cash market respectively. Indian rupee strengthens by INR -0.1 vis-a-vis USD.
Call for Jun 22, 2011
No Call to Trade-Carryover Position
Nifty Put Call Ratio is at 0.945