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Derivatives / Use of AVWAP - Positional Traders
« Last post by resh on July 01, 2025, 09:53:26 PM »
We all know that AVWAP is one of the best measures and is used by financial Institutions as well to take short term view.

But the question is What are the Major Anchor Points ?

1. Major Highs and Lows
All-time high (ATH) or recent significant high
Major market low (e.g., COVID crash low in March 2020)
2. Yearly Anchors
Start of Calendar / Financial Year
3. Breakouts or Breakdown Points
Large technical breakouts from consolidations or resistance
Breakdowns from key supports or ranges

How is AVWAP used by various market participants ?
3 months (short-term trend)
6 months (medium-term institutional view)
1 year or YTD (long-term trend, often aligns with mutual fund views)

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Derivatives / VIX - 9/11 BlackSwan
« Last post by resh on June 24, 2025, 10:46:26 PM »
VIX had closed around 25 on Sep 4th 2001.

On the 17th Sept 2001, it shot up to 44 and closed at 42. The it eventually shot up to 48 on Sept 21 2001 and then stayed above 30 till Nov-12-2001 i.e for Full 2 Months.

Source: https://finance.yahoo.com/quote/%5EVIX/history/?period1=999475200&period2=1024876800
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Derivatives / Re: 9/11 Blackswan impact on Options Traders
« Last post by resh on June 24, 2025, 10:37:40 PM »
What Google Gemini had to say about September 14th 2001 Expiry is this,

While specific official announcements from the CBOE (the primary exchange for SPX options) regarding the exact alternative settlement procedures for the September 14, 2001, expiry are difficult to pinpoint directly from readily available summaries, we can infer the likely process based on how such unprecedented situations are usually handled:

Suspension of Normal Settlement: The standard settlement at the market open on September 14th was impossible due to the closure.

Delayed Settlement based on Reopening Price: It is highly probable that the settlement of these options was delayed and based on the opening prices of the S&P 500 index when the markets eventually reopened on Monday, September 17, 2001. This would be the most logical and fair approach to determine the intrinsic value of the options given the extraordinary circumstances.

Adjustments and Communications: Exchanges would have issued official notices and procedures to inform market participants about the revised settlement process. This would involve:
        Confirming the new "settlement date" (likely September 17th).
        Specifying the exact S&P 500 index value to be used for settlement (the opening value on the new settlement day).
        Providing instructions for clearing and settlement firms to handle the cash adjustments for option holders and writers.
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Derivatives / 9/11 Blackswan impact on Options Traders
« Last post by resh on June 24, 2025, 10:29:48 PM »
After the 9/11 terr0rist attacks in 2001, the U.S. stock markets, including the CBOE (Chicago Board Options Exchange), were closed for: 4 full trading days — from Tuesday, September 11 through Friday, September 14, 2001. All major markets in USA resumed normal trading on Monday Sept 17th 2001

What happened to Options expiring on Friday, Sept 14 2001 ?
In 2001 there was only Weekly Expiry for S&P which was Friday of the Week.

Because the exchanges were closed and no opening prices could be determined, the CBOE and OCC (Options Clearing Corporation) moved the expiration forward: SPX options that were originally set to expire on Friday, September 14, 2001, instead expired on Monday, September 17, 2001 — the day markets reopened.

The SPX settlement value (SET) was calculated using Monday's opening prices instead of Friday’s, since that was the next available data point. This adjustment was coordinated by CBOE and OCC to ensure fair and orderly settlement.

Source:ChatGPT
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Derivatives / S&P Options on CBOE
« Last post by resh on June 24, 2025, 09:35:58 PM »
The majority of S&P options, especially those on the S&P 500 Index, are mostly traded on the Chicago Board Options Exchange (CBOE).

When were the Zero DTE Options on S&P Introduced for Trading ?
In the year 2005, CBOE introduced Friday SPX Weekly Expiry. After 11 years, in 2016 added Monday and Wednesday expiration in addition to Friday. Finally, in 2022, filled in Tuesday and Thursday expiration, making SPX options available every trading day of the week.

S&P 500 Index is the largest traded in daily volume ~2.9 million
VIX   has a daily volume of ~500,000–700,000

All are mostly traded on CBOE.

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India Stocks and Shares / Why Physical Gold Prices Rising
« Last post by chetan on February 16, 2025, 02:48:45 PM »
Precious Metals, Gold and Silver are pouring into U.S. warehouses at an unprecedented rate since the pandemic. Years of central-bank accumulation in emerging markets may have led to a physical metal shortage in the West. However, a less likely theory suggests that the U.S.A could be gearing up to revalue its gold reserves.

The recent surge of gold and silver into Comex warehouses in the US has sparked speculation that the country may be on the brink of revaluing its reportedly substantial gold reserves—currently priced at $42 an ounce—to align with the market rate, which is now approaching $3,000. It is a theory that cannot be entirely dismissed.

A shortage of physical gold is likely the primary cause. The fundamental difference between paper gold and physical gold. Futures represent paper gold—providing a claim on the physical metal but as the notional value of the paper market far exceeds the available physical and deliverable gold, it would be a disaster if everyone sought to claim the underlying asset at the same time.

This explains why US silver and gold stocks in Comex warehouses have surged higher. And with Gold price is rising relentlessly, the move is dragging in more momentum traders and hedge funds who are buying paper gold, pushing the futures price ever higher above the spot price, and putting further pressure on the underlying supply.

Bullion Banks, act as arbitragers and take the opposing side of long futures positions meaning they are short and responsible for delivering gold upon contract expiry usually face no issues, as these contracts are typically rolled over. Traders have rolled down their Short Positions leaving only the Bullion Banks to handle the carnage.

Where is the Gold Coming From ?
There has been a sharp increase in gold trading volumes on the Shanghai Futures Exchange and does not publish any inventory data. However, the LBMA—the central hub of the gold market—does, and its inventories are declining. So somebody is selling physical gold from London Vaults. Central banks have been on a buying spree since the GFC, and that accelerated after the Russia-Ukraine war. The confiscation of Russia’s reserve assets has led to a decline in dollar reserve assets which has been matched by a near-identical rise in gold reserves.

Nobody wants to Lend / Lease Gold
To ease the situation, Gold can be lent just like the reverse repo rate. But central banks are becoming more reluctant to lend out their holdings. Emerging Market banks don’t want to put it back in the system they have just repatriated it from; and Developed Markets banks may have relied on hypothecated gold that has now been repatriated.

Keep an hawk eyes on the changes in gold market as they are reflective of the major and ongoing shifts seen in the geopolitical tectonic plates over the past few years.
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Mutual Funds in India / HDFC AMC Manager Salary / Remuneration 2024
« Last post by resh on February 16, 2025, 01:21:31 PM »
Here are the Top fund Managers and their Pay Packets in HDFC Mutual Fund Asset management Company as on 31-03-2024.

All Figures in Rs Lakhs.

NAVNEET MUNOT    Managing Director and Chief Executive Officer    832.71
CHIRAG SETALVAD    Head - Equities    498.3
ROSHI JAIN    Senior Fund Manager - Equities    392.05
GOPAL LAXMINARAYAN AGRAWAL    Senior Fund Manager - Equity    331.34
SHOBHIT MEHROTRA    Head - Fixed Income    301.82
ANIL BAMBOLI    Senior Fund Manager - Fixed Income    290.32
RAHUL JAGDISH BAIJAL    Senior Fund Manager – Equities    256.35
ANUPAM JOSHI    Fund Manager - Fixed Income    231.9
NAVEEN GOGIA    Co - Head - Sales and Distribution, Co - Head - International Business and Head - Public Relations    222.9
SIMAL KANUGA    Head - PMS Sales, New Initiatives and Product Development,   207.95
RAJIV MANIAR    Co - Head - Sales and Distribution    207.8
V SURESH BABU    Head - Operations    198.26
SUPRIYA HEMANT SAPRE    Chief Compliance Officer    193.18
NAOZAD KAIKOBAD SIRWALLA    Chief Financial Officer    190.13
ALOK SHEOPURKAR    Head - Human Resources    170.54
MITUL CHANDRAKANT PATEL    Head - PMS Investments    170.54
SRINIVASAN RAMAMURTHY    Fund Manager - Equity    163.19
ANAND A. LADDHA    Fund Manager - Equities and Senior Equity Analyst    157.42
AMIT SINHA    Fund Manager and Senior Equity Analyst    157.16
ABHISHEK PODDAR    Senior Equity Analyst and Fund Manager    156.73
MUDEITA PATRAO    Head - Digital    155.82
SAMEER SEKSARIA    Head - Corporate Client Services    153.66
RAKESH SETHIA    Senior Equity Analyst    152.66
ARUN AGARWAL    Deputy Vice President - Equities    132.84
AKSHAY DHANAK    Chief Information Technology Officer    129.63
VIKASH AGARWAL    Dealer - Fixed Income and Fund Manager    128.18
PRAVEEN JAIN    Fund Manager, Senior Credit Analyst and Dealer (Backup) - Fixed Income    127.65
ASHOK KANAWALA    Head - Distribution Alliances and Product Strategy    123.29
PRIYA RANJAN    Fund Manager and Senior Equity Analyst    120.93
G SRIKANTH    Zonal Business Head - South    120.25
JASMIN MEHTA    Zonal Business Head - West    119.03
KABIR MANSUKHANI    Assistant Vice President - International Business    118.78
MANAS KUMAR    Head Products and Business Development - International Business    115.04
SYLVIA FURTADO    Company Secretary and Head - Legal    105.33
RAJAT MALHOTRA    Zonal Head - North    104.64
VAIBHAV JOSHI    Deputy Vice President - Operations    76.88
ANISH CHOPRA    National Lead - HDFC Bank Channel    71.78
SUBHASHREE VIJAYARAGHAVAN    Fund Manager - Credit Alternatives    58.03
PANKAJ CHAUDHARY    Principal - Credit Alternatives    39.24
MOONMOON ROY    Vice President - Human Resources    36.08
SHAH ASHISH NARENDRA    Senior Equity Analyst    32.68
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Equity Investments, Fundamental Research and Sectors Review / Re: Nifty FY 2024 2025 EPS
« Last post by chetan on February 16, 2025, 12:58:36 PM »
How are we doing on FY 2025-2025 Nifty EPS ?

BNP Paribas now expects NIFTY EPS to Close at 1,087 as earnings slow down in the aftermath of fractured mandate for Modi Govt

IIFL Equity Research now expects the NIFTY EPS to be 1,040 down from 1,073

Kotak Institutional Equities now expect it to fall to Rs 1,031 from earlier expectation of Rs 1,089

JM Financial has revised NIFTY EPS for Fy 25 to be just Rs 1,022

Looking at all the expectations from top Research desks, we may end up at 1,050 which means Nifty traded at highly ridiculous valuation without any significant growth.

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JM Financial estimates it to be Rs 1,130
SBI Funds estimates NIFTY EPS to be Rs 1,097 (significant moderation)
Motilal Oswal in its recent report estimates NIFTY EPS to be Rs 1,132 and Rs 1,315 for FY 2025-2026



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Equity Investments, Fundamental Research and Sectors Review / Nifty FY 2024 2025 EPS
« Last post by resh on January 16, 2024, 08:23:16 PM »
Here are the Nifty FY 2024 2025 EPS Estimates from various research houses.

CLSA - Rs 1,090
Kotak Institutional Equity - Rs 1,089
Motilal Oswal - Rs 1,100
ICCICI Direct  - Rs 1,100 and Rs 1,250 fro FY 2025-26
IIFL Equity Research - Rs 1,073
Axis Securities - Rs 1,060 and Rs 1,187 for FY 2025-26
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