royce2892 / bankthenifty

Hi, This is a minor data analysis of Nitfy 50 data from the past 20 years till Feb 26 2020. I have tried to calculate percentage changes weekly, monthly, daily, friday to thursday, monday to thursday, wednesday to thursday and friday to thursday. I believe this can help us to make better option expiry calls and puts writing. This is by no means an exhaustive study, so be careful if you use the results for trading

NIFTY 20 YEARS ANALYSIS

Hi, This is a data analysis of Nitfy 50 data from the past 20 years till Feb 26 2020.
I have tried to calculate percentage changes weekly, monthly, daily, friday to thursday, monday to thursday, wednesday to thursday and friday to thursday.
I believe this can help us to make better option expiry calls and puts writing.
This is by no means an exhaustive study, so be careful if you use the results for trading

Results can also be found in the results.txt page

AVERAGE CHANGES IN 20 YEARS

WEEKLY = 2.45%
FRI TO THU = 1.97%
MON TO THU = 1.71%
TUE TO THU = 1.44%
WED TO THU = 1.07%
MONTHLY = 5.29%

DAILY CHANGE FOR PAST 20 YEARS

UNDER 1 = 65.36%
UNDER 2 = 23.40%
UNDER 3 = 6.80%
UNDER 4 = 2.54%
UNDER 5 = 0.82%
UNDER 7.5 = 0.88%
UNDER 10 = 0.12%
ABOVE 10 = 0.08%
SWEET SPOT UNDER 2 = 88.76%
SWEET SPOT ABOVE 2 = 11.24%

WEEKLY CHANGE FOR PAST 20 YEARS

UNDER 1 = 29.52%
UNDER 2 = 26.51%
UNDER 3 = 17.27%
UNDER 4 = 11.24%
UNDER 5 = 5.82%
UNDER 6 = 4.22%
UNDER 7 = 2.21%
UNDER 8 = 0.70%
UNDER 10 = 1.10%
UNDER 15 = 0.80%
ABOVE 15 = 0.50%
SWEET SPOT UNDER 5 = 90.36%
SWEET SPOT ABOVE 5 = 9.64%

MONDAY TO THURSDAY CHANGE FOR PAST 20 YEARS

UNDER 1 = 42.33%
UNDER 2 = 27.51%
UNDER 3 = 15.77%
UNDER 4 = 6.77%
UNDER 5 = 2.96%
UNDER 6 = 1.48%
UNDER 7 = 1.06%
UNDER 8 = 0.63%
UNDER 10 = 0.63%
UNDER 15 = 0.63%
ABOVE 15 = 0.21%
SWEET SPOT UNDER 4 = 92.38%
SWEET SPOT ABOVE 4 = 7.62%
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TUESDAY TO THURSDAY CHANGE FOR PAST 20 YEARS

UNDER 1 = 50.16%
UNDER 2 = 27.82%
UNDER 3 = 11.70%
UNDER 4 = 4.43%
UNDER 5 = 2.32%
UNDER 6 = 1.37%
UNDER 7 = 0.63%
UNDER 8 = 0.74%
UNDER 10 = 0.32%
UNDER 15 = 0.42%
ABOVE 15 = 0.11%
SWEET SPOT UNDER 3 = 89.67%
SWEET SPOT ABOVE 3 = 10.33%

WEDNESDAY TO THURSDAY CHANGE FOR PAST 20 YEARS

UNDER 1 = 62.59%
UNDER 2 = 25.08%
UNDER 3 = 6.85%
UNDER 4 = 2.95%
UNDER 5 = 0.63%
UNDER 6 = 0.63%
UNDER 7 = 0.63%
UNDER 8 = 0.11%
UNDER 10 = 0.21%
UNDER 15 = 0.21%
ABOVE 15 = 0.11%
SWEET SPOT UNDER 3 = 94.52%
SWEET SPOT ABOVE 3 = 5.48%

FRIDAY TO THURSDAY CHANGE FOR PAST 20 YEARS

UNDER 1 = 34.89%
UNDER 2 = 28.83%
UNDER 3 = 16.28%
UNDER 4 = 10.32%
UNDER 5 = 4.04%
UNDER 6 = 1.70%
UNDER 7 = 1.17%
UNDER 8 = 1.06%
UNDER 10 = 0.53%
UNDER 15 = 0.96%
ABOVE 15 = 0.21%
SWEET SPOT UNDER 5 = 94.36%
SWEET SPOT ABOVE 5 = 5.64%

WEEKLY OPEN TO LOW CHANGE FOR PAST 20 YEARS

UNDER 1 = 27.41%
UNDER 2 = 20.98%
UNDER 3 = 18.88%
UNDER 4 = 14.06%
UNDER 5 = 6.73%
UNDER 6 = 4.82%
UNDER 7 = 2.11%
UNDER 8 = 2.11%
UNDER 10 = 1.51%
UNDER 15 = 1.00%
ABOVE 15 = 0.30%
SWEET SPOT UNDER 5 = 88.05%
SWEET SPOT ABOVE 5 = 11.95%

WEEKLY OPEN TO HIGH CHANGE FOR PAST 20 YEARS

UNDER 1 = 42.67%
UNDER 2 = 21.99%
UNDER 3 = 12.45%
UNDER 4 = 8.13%
UNDER 5 = 5.02%
UNDER 6 = 2.61%
UNDER 7 = 2.31%
UNDER 8 = 1.61%
UNDER 10 = 1.20%
UNDER 15 = 1.31%
ABOVE 15 = 0.60%
SWEET SPOT UNDER 5 = 90.26%
SWEET SPOT ABOVE 5 = 9.74%
</b

MONTHLY CHANGE FOR PAST 20 YEARS

UNDER 2 = 23.68%
UNDER 4 = 21.93%
UNDER 6 = 20.18%
UNDER 8 = 15.79%
UNDER 10 = 8.33%
UNDER 12 = 4.39%
UNDER 14 = 2.19%
UNDER 16 = 0.88%
UNDER 18 = 0.00%
UNDER 20 = 0.88%
ABOVE 20 = 1.32%
SWEET SPOT UNDER 10 = 89.91%
SWEET SPOT ABOVE 10 = 10.09%

MONTHLY OPEN TO LOW CHANGE FOR PAST 20 YEARS

UNDER 2 = 25.00%
UNDER 4 = 17.98%
UNDER 6 = 14.47%
UNDER 8 = 17.11%
UNDER 10 = 10.09%
UNDER 12 = 7.02%
UNDER 14 = 3.95%
UNDER 16 = 1.32%
UNDER 18 = 0.88%
UNDER 20 = 0.88%
ABOVE 20 = 0.88%
SWEET SPOT UNDER 10 = 84.65%
SWEET SPOT ABOVE 10 = 15.35%

MONTHLY OPEN TO HIGH CHANGE FOR PAST 20 YEARS

UNDER 2 = 42.11%
UNDER 4 = 19.74%
UNDER 6 = 10.96%
UNDER 8 = 8.33%
UNDER 10 = 9.65%
UNDER 12 = 3.95%
UNDER 14 = 0.88%
UNDER 16 = 0.88%
UNDER 18 = 0.88%
UNDER 20 = 0.44%
ABOVE 20 = 1.75%
SWEET SPOT UNDER 10 = 90.79%
SWEET SPOT ABOVE 10 = 9.21%