1. DERIVATIVES &TECHNICALS ANALYSIS (EQUITY
RESEARCH) REPORTS
SUBMITTED BY -
JANNELLE BRITTO
DATE OF JOINING: 22/12/14
ANAND RATHI SHARES & STOCK BROKERS LTD.

2. Main work description at Anand Rathi
• Assisting in database feeding in Daily reports
• Learning technical analysis on suitable stocks
• Reading research reports from various broking houses and striving
to improve our work
• Learning derivatives in depth mainly option strategies and trying to form
mock strategies
• Updating PCR, HV, IV , Futures and Spot Price by FIIs in derivatives
• Understanding Indian VIX and CBOE and their implications
DAILY REPORTS
Three reports are prepared on a daily basis; FMTC, Strategist and Whiteboard
FMTC -- Consists of two cash calls, Nifty & Sensex View, Trends of
Nifty 50 stocks, top outperformer & underperformers, etc.; (an equity
report)
STRATEGIST --Two future calls, Nifty future outlook Bank Nifty, Graphical
presentation of data, indication of option data, Fiis statistics, Market Turnover, etc
(a derivative report)
WHITEBOARD -A sum up of all four calls and support, resistance levels,
pending futures and cash calls, pending option strategies and long term technical
calls
NIFTY SENSEX BANK NIFTY
HIGH 8985 29786 20908
LOW 8874 29418 20435
CLOSE 8914 29559 20492
PIVOT 8924 29588 20611
R 1 8975 29758 20788
R 2 9035 29956 21084
S 1 8864 29389 20315
S 2 8813 29219 20139
CNX IT
11775
11856
11903
11728
11647
11822
11694
11810

3. This data is taking taken from the Bloomberg Terminal and fed into FMTC Report
and Whiteboard. It gives the support and resistance for various indices.
These pivot levels are calculated in the following way:
Pivot Point = [Yesterday's High + Yesterday's Low + Yesterday's Close] / 3
Standard Pivot Points
R2 = Pivot + (H - L)
R1 = (2 x Pivot) - L
Pivot = (H + L + C) / 3
S1 = (2 x Pivot) - H
S2 = Pivot - (H - L)
To calculate weekly or monthly numbers, simply replace "yesterdays" with "last
week's" or "last month's" high or low. These levels give the important support
resistance levels for the indices which give the highlights of the major indices and
a direction for traders to trade.
FIIS DERIVATIVES STATISTICS
_________________________________________
FII DERIVATIVES STATISTICS
Buy Sell
OI at end of the day Inflow /
OutflowContract Amount
Index futures 10183.99 11484.72 1263081 31481.52 -1300.73
Index options 35623.27 35533.47 3122101 83449.63 89.81
Stock futures 20884.68 21372.29 1983883 61127.57 -487.61
Stock options 2187.29 2170.86 112870 3852.29 16.43
Net Inflow/Outflow(Cr) -1682.65

4. Net Purchase & Sell
IND
Fut
STK
Fut
NET
Fut
IND
Opt
STK
Opt
NET
Opt
01-Dec-
2014
-304 350 47 7 2 9
02-Dec-
2014
-1296 -783 -2079 -595 44 -552
03-Dec-
2014
-997 -437 -1434 975 33 1007
04-Dec-
2014
-757 17 -740 424 4 428
05-Dec-
2014
300 -130 170 120 -4 116
08-Dec-
2014
60 -1172 -1111 1451 -28 1422
09-Dec-
2014
210 -802 -591 386 -50 336
10-Dec-
2014
-845 -426 -1271 -653 9 -644
11-Dec-
2014
-724 -404 -1127 -179 -29 -208
12-Dec-
2014
352 -179 173 429 -47 382
15-Dec-
2014
179 -889 -711 -961 -72 -1033
16-Dec-
2014
-557 -1053 -1610 -33 -158 -190
17-Dec-
2014
-494 4 -490 113 -83 30
18-Dec-
2014
36 311 347 1343 -62 1281
19-Dec-
2014
-80 355 275 2043 -38 2005
22-Dec-
2014
106 -63 43 871 -28 843
23-Dec-
2014
1418 -136 1282 1180 -99 1081
24-Dec- -1303 -1646 -2949 1036 55 1091

5. 2014
TOTAL -4694 -7084 -
11778
7959 -553 7406
26-Dec-
2014
-21 -55 -75 980 110 1090
29-Dec-
2014
548 -15 534 1253 48 1301
30-Dec-
2014
473 -33 440 1113 27 1140
31-Dec-
2014
131 -21 110 497 15 513
01-Jan-
2015
-29 20 -9 459 29 488
02-Jan-
2015
452 200 652 111 9 120
05-Jan-
2015
-605 -26 -631 42 18 60
06-Jan-
2015
-2817 260 -2558 1298 -23 1274
07-Jan-
2015
-217 -193 -410 394 19 413
08-Jan-
2015
-177 508 331 414 -3 411
09-Jan-
2015
-62 574 512 831 -73 758
12-Jan-
2015
-245 -197 -442 113 -8 105
13-Jan-
2015
441 -12 429 572 21 593
14-Jan-
2015
178 -244 -66 320 -2 318
15-Jan-
2015
3897 -290 3606 3600 -55 3545
16-Jan-
2015
-848 1206 358 527 13 540
19-Jan-
2015
56 92 148 -654 -4 -658
20-Jan- 1749 295 2044 1001 -74 927

6. 2015
21-Jan-
2015
483 115 598 -344 40 -304
22-Jan-
2015
902 -501 401 -1668 31 -1637
23-Jan-
2015
1372 -220 1152 -659 -109 -768
27-Jan-
2015
1732 -757 975 624 -177 447
28-Jan-
2015
-1301 -488 -1788 90 16 106
29-Jan-
2015
1867 -874 994 1181 83 1264
TOTAL 7960 -655 7305 12094 -50 12044
30-Jan-
2015
72 -1608 -1536 1318 139 1457
02-Feb-
2015
-3 -1887 -1890 769 54 824
03-Feb-
2015
-474 -1550 -2024 679 -7 672
04-Feb-
2015
221 -877 -656 285 4 289
05-Feb-
2015
-576 275 -301 731 60 791
06-Feb-
2015
-1180 -369 -1549 -1333 -38 -1370
09-Feb-
2015
-1793 -198 -1990 594 -96 498
10-Feb-
2015
403 80 484 -192 6 -187

7. Above is the historical data of Fiis in index futures, index options, stock futures
and stock options from 1st
December 2014 till date.
In this strategist we update the daily investments by foreign institutional
investments from the NSE website. This shows us the inflow or outflow of
investments by FIIs daily. The correlation between foreign inflows and market
returns is high during bear and weakens with strengthening equity prices due to
increased participation by other players. The equity return has a significant and
positive impact on the FII. Hence, there is a possibility of bi-directional
relationship between FII and the equity returns. Since majority of the volumes
consist of FIIS, they’re inflow and outflow activity is vital.
MARKET STATISTICS
MARKET STATISTICS
PRODUCT No. of Contracts Turnover (Rs.cr)
Index Futures 15,66,533 42,310.43
Vol Futures 6 0.8
Stock Futures 24,81,339 79,214.46
Index Options 1,77,00,712 4,30,714.60
Stock Options 5,22,841 17,761.28
F&O Total 2,22,71,431 5,70,001.57
In analyzing the options data, we get to know the total turnover in derivatives
segment and get to know the liquidity in this segment. This segment gives us
descriptive details of where there was highest turnover and in which segment.
STOCKS ACTIVITY

8. Activity Tracking
Stocks (Long Position) Remarks
Recltd, DLF, HDIL
HDFC, UPL, PNB Suggesting strength in these counter
IFCI, Indusind, Asianpaints
Stocks (Short Covering) Remarks
Voltas, Srtransfin, Eichermot
Titan, IRB, IGL Suggesting strength in these counter
BPCL, Hindpetro, TCS
Stocks (Short Position) Remarks
UBL, Unionbank, Relinfra
Sksmicro, Cairn, Bajajauto Suggesting weakness in these counter
Unitech, Exideind, Centurytex
Stocks (Long Liquidation) Remarks
PTC, Siemens, Ibrealest
Syndibank, Mindtree, Orientbank Suggesting weakness in these counter
Lichsgfin, Wockpharma, Bhartiartl
Taking these stocks data from Seedif, we search stock in descending order of their
open interest change and price change. This helps in stock selection. Looking at
these charts we now know REC Ltd. is building long positions based on option
data, so we would refrain from giving a sell call on REC Ltd.

9. GRAPHICAL PRESENTATION OF HIGHEST ACTIVITY IN STOCKS
Above, Nifty OI top gainers, losers, most active, most volume gainers, % rollover,
active futures, active calls, price losers and gainers, etc. This image gives all the
essential data under one roof.

10. DERIVATIVES
In derivatives the focus on understanding derivatives data, jargons and options
strategies
I would subhead them as
- Option terminologies like open interest, historical volatility, implied volatility,
PCR, etc.
- Option strategies bull calls spread, bear put spread, straddle, strangle, etc
- Volume indicators, etc.
OPTIONS
Put and Call options: from the buyers and sellers point of view, payoff tables,
profit at each strike price, risk, reward and breakeven point for each strategy.
CALL OPTION
For example , CMP of NIFTY( as on 5th
Jan,2015)=8404 view= strongly bullish
,then we buy a Call option at OTM (Strike price>Current price) like a 8500 strike
price for a premium of Rs. 84. Accordingly, our breakeven price will be
8500+84=8584. As soon as it crosses this level we are in profit. Our maximum loss
is equal to the premium since we are the option buyer i.e. =rs.84.Whereas our
profit are unlimited.
If the Nifty moves up to 8700, we make a profit of 8700-8584=Rs.116
If the Nifty falls down to 8000, we make of Rs.84 only

11. PUT OPTION
Buying a Put is the opposite of buying a Call. When you buy a Call you are bullish
about the Stock / index. When an investor is bearish, he can buy a Put option. A
Put Option gives the buyer of the Put a right to sell the stock (to the Put seller) at a
pre-specified price and thereby limit his risk.
Example:
Mr. XYZ is bearish on Nifty on 5th
Jan, 2015, when the Nifty is at 8400. He buys a
Put option with a strike price Rs. 8300 at a premium of Rs67; if the Nifty goes
below 8233 Mr. XYZ will make a profit on exercising the option. In case the Nifty
rises above 8300, he can forego the option (it will expire worthless) with a
maximum loss of the premium
The payoff schedule
On expiry Nifty
closes at
Net Payoff from
Put Option (Rs.)
8000 233
8233 0
8400 -67
8500 -67
The payoff chart (Long Put) would look like this

12. Likewise, in order to hedge your positions of if you are unsure of your view, few
strategies have been formed some with limited risk and unlimited gain and vice
versa.
These strategies are:-
-Synthetic Long Call
-Synthetic Long Put (Protective Call)
-Covered Call
-Covered Put
-Long combo
-Bear put spread
OPEN INTEREST
Meaning of “Change in Open Interest:–
Change in Open Interest is equal to net increase or decrease in Open Interest for a
particular option.
How to interpret “Change in Open Interest”?
When the smart money is bullish, they usually start writing Puts. And when the
smart money is bearish, they prefer writing calls.
“Change in OI” can also be used to identify approximate support and resistance
levels. If the OI has increase for 7500PE the most then it will imply that the option
writers consider 7500 level as a strong support. On the other hand, if the highest
increase in OI is for 7500CE, then it implies that option writers consider 7500 level
as a strong resistance level.
The Option writers are generally the market participants with deeper pockets
compared to option buyers.
If the OI increase is low but the volumes are heavily traded for a particular option
then it will imply some underlying uncertainty in the camp. E.g. if the 7500PE has
highest traded volume but slight increase in OI then 7500 will not act as a good
support.

13. Open Interest alone as an indicator cannot tell us anything, price and volume are
additional inputs that need to be clubbed to arrive at a possible conclusion.
How is volume important?
Now according to Dow Theory, whenever markets start to build up trends volume
is highly watched as it directly reflects traders (speculators) and investor’s
participation in the market. This move continues till we see fading of the current
trend or when there is some unexpected change in fundamentals. In technical
analysis trading volume always precedes price of underlying, so looking at these
volumes one can predict that trend is weakening and may reverse. For trading with
volume you must always remember these points:
• When volume is high – Trend is likely to continue.
• When volume is low – Trend may reverse / Pullback.
Below is an indicative chart of all three factors together
Volume Open Interest Price Action Conclusion
Rising Rising Rising Long Position
Falling Falling Rising Short Covering
Rising Rising Falling Short Position
Falling Falling Falling Long Liquidation
This information is one of the most important data in the strategist; this is a very
vital factor that is considered while giving calls. It shows us which way the stock is
heading and the activity of the bulls and bears and their psychology.
To measure the market sentiment, a lot of data from the options segment is taken,
We also download data like Put Call Ratio- By tracking the daily and weekly
volume of puts and calls in the stock market, we can gauge the feelings of
traders .Historical Volatility reflects the past price movements of the underlying
asset, while implied volatility is a measure of market expectations regarding the
asset's future volatility. The data is taken from Seedif .However, one important
thing learnt is falling volatility with rising PCR indicates that every decline is
being bought in the market. The greater the amount of fear of financial loss, the
more the “fear factor” is priced into the cost of Puts, and consequently, IV tends to
go up.

14. VOLATILITY
Introduction
Volatility is in finance represented by the standard deviation computed from the
past (historical) prices. It means that the faster the price in the market changes, the
higher is the volatility of that market. We recognize 2 kinds of volatility: historical
volatility and implied volatility.
Historical volatility is volatility that has really been measured and represents real
changes in price.
Implied volatility is derived from the pricing formula in such a way that we put in
the formula the current price of the instrument. It is mostly used for options. It
informs us about the volatility that is implied by the option's price for the time of
option's maturity.
Purpose and use
The purpose of volatility-based indicators is very similar to the purpose of
oscillators: to detect imbalances in the market and generate signals. If the price is
rising too fast compared to the historical development, it can easily reach a stage in
which the rise is no more sustainable. Volatility–based indicators inform us
precisely about such situations.
Trading signals
A common trait of all volatility-based indicators is that they generate buy and sell
signals that are based on the concept of overbought/oversold market (just like in
case of oscillators). In case the price crosses above the upper bound of the range, in
which it should be present according to the trends in historical data, a sell signal is
generated. Conversely, if the price crosses under the lower bound of the range, a
buy signal is generated.

15. VOLATILITY BASED INDICATORS
Rate of change (ROC)
ROC is a technical indicator that measures the percentage change between current
price and the price from x –days ago (most often 10). ROC for the 10-day period is
computed as follows:
ROC =[(today's close –close from 10 days ago) / close from 10 days ago] *100
This is a recent chart of Nifty as on 5th
Feb
If ROC is rising in positive numbers, price is rising faster, and buying pressure
is increasing. Conversely, if ROC is decreasing, buying pressure is decreasing, as
well, which means that the price rise is slowing down.

16. If ROC is negative, it implies selling pressure, and hence a decrease in price.
The more negative ROC is, the higher is the selling pressure and thus the faster is
the decline in price.
ROC'S crossing above 0 is often considered to represent a buy signal. Conversely,
a sell signal occurs when the indicator crosses under 0. In the above chart, 100 are
used as benchmark instead of 0. However, the chart of ROC is often used for chart
analysis, which can also generate trading signals (e.g. breaking a trend line).
Besides, if ROC attains extremely high/low values compared to the historical data,
it can signal an overbought/ oversold condition in the market. Besides, ROC can be
also used to find divergences with the market price. ROC is classed as a price
momentum indicator or a velocity indicator because it measures the rate of change
or the strength of momentum of change.
TECHNICAL ANALYSIS
EXIDE DAILY CHART as on 9th
Feb, 2015

17. CMP as on 9th
Feb, 2015 is 182
This is an example of trend line channel with decreasing volumes. For a period of
four months it excellently moved within the channel, however on 6TH
Feb, 2015
price broke down the channel with high volumes giving a shorting opportunity.
Whereas on 6 th
Feb the price broke its 30 DMA. Resistance for this stock is at
Rs.193 while the immediate support lies at Rs.179 followed by the next support at
169 levels
ISLAND REVERSAL
NIFTY DAILY CHART

18. An island reversal was spotted on 15th
January and proved successful.
Island reversals are strong short-term trend reversal indicators. They are identified
by a gap between a reversal candlestick and two candles on either side of it.
Momentum Oscillators
Generally speaking, momentum measures the rate-of-change of a security's price.
As the price of a security rises, price momentum increases. The faster the security
rises (the greater the period-over-period price change), the larger the increase in
momentum. Once this rise begins to slow, momentum will also slow. As a security
begins to trade flat, momentum starts to actually decline from previous high levels.
However, declining momentum in the face of sideways trading is not always a
bearish signal. It simply means that momentum is returning to a more median
level. Some of the momentum oscillators include relative strength,

19. RELATIVE STRENGTH INDEX
Developed J. Welles Wilder, the Relative Strength Index (RSI) is a momentum
oscillator that measures the speed and change of price movements. RSI oscillates
between 0 and 100. RSI is considered overbought when above 70 and oversold
when below 30. However this benchmark will differ depending on the phase of
market. Signals can also be generated by looking for divergences, failure swings
and centerline crossovers. RSI can also be used to identify the general trend.
Computation: First, the average gains and losses are identified for a specified time
period. For instance, if you want to calculate the 14-day RSI— you can consider
any time period, but the 14-day RSI is the most commonly used—suppose the
stock went up on nine days and fell on five days .The absolute gains (stock's
closing price on a given day — closing price on the previous day) on each of these
nine days are added up and divided by 14 to get the average gains. Similarly, the
absolute losses on each of the five days are added up and divided by 14 to get the
average losses. The ratio between these values (average gains / average losses) is
known as relative strength (RS). To make sure that the RSI always moves between
0 and 100, the indicator is normalized later by using the formula given below:
RSI = 100 - 100 / (1+RS*) * RS = Average gains / Average losses
Overbought/oversold levels: The RSI value will always move between 0 and 100;
the value will be 0 if the stock falls on all 14 days, and 100, if the price moves up
on all the days). For E.g. in a bull market 40 and 80 will then be benchmark band
to look for while as a bear market 20-60.This implies that the RSI can also be used
to identify the overbought/oversold levels in a counter. As suggested by J Welles
Wilder, the developer of this indicator, most technical analysts consider the RSI
value above 70 as 'overbought zone' and below 30 as 'oversold zone'.
However, investors and traders need to adjust these levels according to the inherent
volatility of the script and according to the trend prevailing in the market. For
instance, volatile stocks like Reliance Power may hit the overbought and oversold
levels more frequently than stable stocks like Hindustan Unilever, if the 70 and 30
levels are maintained.

20. Example: The above Bharat Forge daily chart has moved to the bought territory
and turned up which gives a good sell signal .40-80 is market as the overbought
oversold levels since we are in a bull phase and the RSI had turned from
overbought levels.
Failure swings: The main problem faced by the short-term traders who use
indicators is that the stock may continue to move up despite the indicator hitting
the overbought zone, or continue to go down even after the indicator hits the
oversold zone. This is the reason Wilder developed a new concept called 'failure
swing' for the RSI. A 'bearish failure swing' occurs when the RSI enters the
overbought zone (goes above the 70 level) and comes below 70 again. In other
words, a short position can be taken only when the RSI cuts the 70 lines from the
top. Similarly, a 'bullish failure swing' occurs when the RSI enters the oversold
zone and comes out. Both the positive and negative failure swings can be clearly
seen in the chart on Reliance.

21. Wilder also explains the possibility of a failure swing above 70. In this case, the
RSI needs to make a lower bottom above 70. As an example, consider the RSI hits
76 and then pulls back to 72, before jumping again to 78. In this case, the 'failure
swing above 70' occurs when the RSI goes below 72. So, there is no need for the
traders to wait for the RSI to fall below 70. Similarly, a failure swing can take
place if the RSI makes a higher top below the 30 level.
Example: The above Nifty daily chart has moved to the oversold territory and
turned up within no time which confirms it was a failure.40-80 is marked as the
overbought oversold levels since we are in a bull phase. The failure points are
marked with an arrow

22. Divergence: This rule is similar to the divergence rule for other indicators as
explained in the earlier issues. A positive divergence occurs when the RSI makes a
higher bottom despite lower trending by share price. Similarly, a negative
divergence occurs when the RSI starts falling and makes a lower top despite the
share price moving higher. This can be seen in the chart on Bharti Airtel.
Trend direction: 'Trend is your friend' is a cardinal rule of technical analysis and
the investors/traders can benefit by trading in the direction of the trend. The RSI is
also used for determining and confirming the trend.
Example: The above Nifty daily chart has moved up while the RSI has
consolidated at the same level. This is a negative divergence and calls for a
warning of the existing trend

23. VOLUME
A large percentage price increase accompanied by a higher than average volume is
a strong indicator of future price movements. A large percentage price movement
accompanied by lower than average volume is a very weak indicator of higher
prices, and is, in fact, an indicator that a correction in prices is possible.
Similarly, a large downward price movement accompanied by higher than average
volume is a strong indicator that the stock will continue to move downward.
Most intriguing of all, however, is higher than average volume accompanied by no
price movement. This generally indicates something happening behind the scenes,
such as a news event or rumor, but the buying is not accompanied by market
orders. Determining what is happening when accumulation of this kind occurs can
be difficult, but sometimes rewarding.
High delivery volumes and rollover rate with increase in price indicates that
investors are bullish and are extending bullish interest in the market taken into
forward into the next month. VIX is one of the main indicators for analyzing
volumes.
INDIA VIX
Historical Data Volatility Index from Jan 2015
India VIX is a volatility index based on the NIFTY Index Option prices. From the
best bid-ask prices of NIFTY Options contracts, a volatility figure (%) are
calculated which indicates the expected market volatility over the next 30 calendar
days. India VIX uses the computation methodology of CBOE, with suitable
amendments to adapt to the NIFTY options order book using cubic spines, etc.
Volatility Index is a measure of market's expectation of volatility over the near
term. Volatility is often described as the 'rate and magnitude of changes in prices'
and in finance often referred to as risk. Volatility Index is a measure, of the amount
by which an underlying Index is expected to fluctuate, in the near term, (calculated
as annualized volatility, denoted in percentage e.g. 20%) based on the order book
of the underlying index options.

24. Volatility Index is seen from 14-17 on an average , but from the last few days, due
to RBI Policy Meet, Delhi elections and Union Budget, volatility index(VIX ) is
increasing. For 3 days VIX showed an index reading of above 20.
Date Open High Low Close Prev. Close Change % Change
01/01/15 15.12 15.51 14.76 15.03 15.12 -0.1 -0.63
01/02/15 15.03 15.03 13.48 13.8 15.03 -1.23 -8.19
01/05/15 13.8 14.41 13.15 14.15 13.8 0.36 2.59
01/06/15 14.15 17.87 13.46 17.42 14.15 3.27 23.09
01/07/15 17.42 19.07 16.5 18.14 17.42 0.72 4.13
01/08/15 18.14 18.14 15.38 16.47 18.14 -1.67 -9.19
01/09/15 16.47 16.91 14.46 15.96 16.47 -0.52 -3.14
01/12/15 15.96 17.55 14.37 16.11 15.96 0.16 0.97
01/13/15 16.11 16.81 14.57 16.48 16.11 0.37 2.31
01/14/15 16.48 17.8 14.66 17.25 16.48 0.77 4.64
01/15/15 17.25 17.25 13.83 16.16 17.25 -1.09 -6.31
01/16/15 16.16 17.5 14.86 17.28 16.16 1.12 6.9
01/19/15 17.28 18.29 14.56 17.65 17.28 0.38 2.17
01/20/15 17.65 17.65 15.72 17.27 17.65 -0.38 -2.14
01/21/15 17.27 18.14 14.33 17.71 17.27 0.44 2.55
01/22/15 17.71 18.76 14.21 18.57 17.71 0.85 4.81
01/23/15 18.57 18.74 13.46 17.89 18.57 -0.68 -3.66
01/27/15 17.89 18.69 16.78 18.09 17.89 0.2 1.12
01/28/15 18.09 20.15 17.62 19.77 18.09 1.69 9.32
01/29/15 19.77 20.57 17.7 19.43 19.77 -0.34 -1.71
01/30/15 19.43 21.21 18.33 20.17 19.43 0.74 3.81
02/02/15 20.17 21.37 19.86 20.41 20.17 0.23 1.15
02/03/15 20.41 20.48 19 19.81 20.41 -0.6 -2.93
02/04/15 19.81 20.29 17.97 20.05 19.81 0.24 1.22
ATTACHED IS THE DAILY INDIA VIX DATA OF THE LAST ONE YEAR.

25. Here we can see an inverse relationship between VIX & NIFTY. A look at the
ultra-short-term trend in the current month, till date, is itself revealing. The average
closing value of India VIX till one week ago on 28th
January, 2015 was 19.77,
higher than the index's closing value of 14.15 in the entire previous month of 5th
January 2015 as indicated in the image below
If the volatility, as seen from India VIX index, rises sharply then investors can
expect a definite weakening in Nifty and other broad-based indices.
Today
Current Open High Low % Chang.
20.365 20.05 20.45 18.26 20.05 1.57
02/05/15 10:53 AM
Historical
20.05 19.77 14.1525 39.3 9.3475 15.83
02/04/15 01/28/15 01/05/15 05/12/14 11/24/14 01/24/14
Prev. Close
Previous
day
One week
ago
One month
ago
52 Week
High
52 Week
Low
One year
ago
My analysis, therefore, points towards a trend of India VIX increasing when Nifty
index is falling, and vice-versa. In other words, volatility is higher in a falling
market than in a rising market

26. CBOE (Chicago Board of Exchange)
One year CBOE VIX levels
Weekly price of CBOE VIX from January, 2014 till date
The CBOE VIX is making higher lows from mid- December .Prior to that it was
consolidating between the 11 and 17 range.
According to analysts ,as on the 3rd
of February,2015 fell below its 200-day
moving average The VIX (inversely related to stocks) is breaking below 18
Tuesday, the lower end of the range.
As we have not seen a breakout in the VIX range, we want to use the 17-23 VIX
range as a barometer on how to short-term trade the S&P 500.

27. Date Open High Low Close Adj
2015-02-02 20.89 22.81 16.82 18.33 18.33
2015-01-26 16.96 22.18 15.52 20.97 20.97
2015-01-20 20.07 21.37 15.81 16.66 16.66
2015-01-12 18.02 23.43 17.65 20.95 20.95
2015-01-05 19.19 22.9 16.44 17.55 17.55
2014-12-29 16.04 20.14 15.06 17.79 17.79
2014-12-22 16.32 16.88 14.01 14.5 14.5
2014-12-15 19.59 25.2 16.07 16.49 16.49
2014-12-08 13.05 23.06 12.55 21.08 21.08
2014-12-01 14.16 14.75 11.53 11.89 11.89
2014-11-24 12.92 13.49 11.91 13.33 13.33
2014-11-17 14.7 15.74 12.9 12.9 12.9
2014-11-10 13.16 14.31 12.38 13.31 13.31
2014-11-03 14.41 15.93 13.01 13.12 13.12
2014-10-27 17.24 17.87 13.72 14.03 14.03
2014-10-20 22.11 22.16 15.56 16.11 16.11
2014-10-13 21.16 31.06 20.23 21.99 21.99
2014-10-06 14.46 22.06 14.05 21.24 21.24
2014-09-29 16.96 17.98 14.44 14.55 14.55
2014-09-22 13.14 16.69 13.13 14.85 14.85
2014-09-15 13.54 14.53 11.52 12.11 12.11
2014-09-08 12.64 14.27 12.4 13.31 13.31
2014-09-02 12.32 13.41 11.7 12.09 12.09
2014-08-25 11.58 12.73 11.24 12.09 12.09
2014-08-18 12.85 13.51 11.47 11.47 11.47
2014-08-11 15.16 15.16 11.89 13.15 13.15
2014-08-04 16.64 17.3 14.69 15.77 15.77
2014-07-28 12.93 17.57 12.12 17.03 17.03
2014-07-21 12.85 13.62 11.41 12.69 12.69
2014-07-14 11.6 15.38 10.59 12.06 12.06
2014-07-07 11.15 13.23 11.01 12.08 12.08
2014-06-30 11.75 11.81 10.28 10.32 10.32
2014-06-23 11.26 12.51 10.87 11.26 11.26
2014-06-16 12.65 12.89 10.34 10.85 10.85
2014-06-09 11.23 12.81 10.93 12.18 12.18
2014-06-02 11.69 12.34 10.73 10.73 10.73
2014-05-27 11.69 11.86 11.32 11.4 11.4
2014-05-19 13.17 13.3 11.36 11.36 11.36
2014-05-12 12.46 13.77 11.88 12.44 12.44
2014-05-05 13.95 14.49 12.87 12.92 12.92
2014-04-28 14.27 15.28 12.83 12.91 12.91
2014-04-21 14.1 14.67 12.9 14.06 14.06
2014-04-14 16.14 17.5 13.07 13.36 13.36
2014-04-07 14.96 17.85 13.7 17.03 17.03
2014-03-31 13.88 14.55 12.6 13.96 13.96
2014-03-24 14.7 16.07 13.46 14.41 14.41
2014-03-17 16.39 16.4 13.77 15 15
2014-03-10 14.76 18.22 13.84 17.82 17.82
2014-03-03 16.47 16.78 13.51 14.11 14.11
2014-02-24 14.83 14.83 13.49 14 14

28. The Relationship of the SPX and the VIX®
Index
The Relationship of the SPX and the VIX®
Index
The chart below shows the daily closing prices for the S&P 500 and VIX during
the third quarter of 2012. The blue line and left scale represent the S&P 500 while
the red line and right scale represent VIX. This chart is a typical example of how
the S&P 500 and VIX move relative to each other on a daily basis.
The table below examines price behavior from January 1, 2000 to September 28,
2012. During this time period the S&P 500 closed higher on 1692 trading days,
and of those days, VIX closed lower on just over 82% of the time. Also, during this
period, the SPX closed lower on 1514 trading days, and of those days, VIX closed
higher over 78% of the time. Altogether, during the period covered in the table,
VIX moved in the opposite direction of the S&P 500 about 80% of the time.
S&P 500 Up VIX Index Down Percent Opposite
1692 1390 82.15%
S&P 500 Down VIX Index UP Percent Opposite
1514 1187 78.40%