File size: 5,037 Bytes
037a5b7 | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 | # Quant Research Notes
This note explains why the supplementary data in `Alt Data` was added and which papers or official data sources motivated it.
## What was added
- `Alt Data/options/raw/`
- Original NIFTY and BANKNIFTY daily option-chain data moved out of the root folder.
- `Alt Data/options/processed/`
- Daily option features such as put-call ratios, open-interest changes, OI-weighted strikes, near-expiry ATM fields, and ATM straddle proxies.
- `Alt Data/external/raw/fred/`
- Daily external macro and cross-market series from FRED.
- `Alt Data/external/processed/external_daily_panel.csv`
- Aligned external panel with level, change, and return-style features where appropriate.
- `Alt Data/institutional/raw/`
- Daily institutional cash and F&O flow extracts plus NSE participant-wise derivatives archives.
- `Alt Data/institutional/processed/institutional_daily_panel.csv`
- Daily FII/DII cash buy-sell, index futures positioning, and index options positioning features.
## Why these data types matter
- Options open interest and option-chain structure:
- Forward-looking positioning often shows up in put/call OI, OI changes, and near-expiry ATM behavior.
- Institutional flow and participant positioning:
- FII and DII cash flows capture who supplied or absorbed equity risk each day, while participant-wise index futures and index options positioning exposes directional buildup and hedge pressure.
- Implied or volatility-linked information:
- Volatility-sensitive features help both return and realized-volatility modeling.
- Macro and financial conditions:
- Rates, dollar strength, FX, and energy prices often improve regime detection and market-state modeling.
- Global equity spillovers:
- U.S. and Asia index moves commonly feed into next-session Indian index behavior.
## Papers used to guide the additions
1. `Implied Volatility-Augmented GARCH Models: Evidence from the Indian Equity Market`
- SSRN: <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5586330>
- Why it matters: motivates volatility-linked option information for NIFTY research.
2. `On options-driven realized volatility forecasting: Information gains via rough volatility model`
- arXiv: <https://arxiv.org/abs/2604.02743>
- Why it matters: supports combining realized-volatility features with option-derived signals.
3. `Nifty Index Options: Open Interest Analysis of Options Chain`
- DOI mirror / metadata page: <https://www.researchgate.net/publication/355301566_Nifty_Index_Options_Open_Interest_Analysis_of_Options_Chain>
- Why it matters: supports retaining and engineering option-chain open-interest information for NIFTY.
4. `Forecasting Individual Stock Returns Using Macroeconomic and Technical Variables`
- SSRN PDF landing page: <https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID3768866_code2747161.pdf?abstractid=3339603&mirid=1&type=2>
- Why it matters: supports combining technical features with macro variables rather than using price history alone.
5. `Stock prices and Macroeconomic indicators: Investigating a correlation in Indian context`
- arXiv: <https://arxiv.org/abs/2112.08071>
- Why it matters: supports adding exchange-rate, oil, gold, and rate-style macro context in Indian-market research.
## Official data sources used
- FRED S&P 500: <https://fred.stlouisfed.org/series/SP500>
- FRED NASDAQ Composite: <https://fred.stlouisfed.org/series/NASDAQCOM>
- FRED Dow Jones Industrial Average: <https://fred.stlouisfed.org/series/DJIA>
- FRED Nikkei 225: <https://fred.stlouisfed.org/series/NIKKEI225>
- FRED 10-Year Treasury Yield: <https://fred.stlouisfed.org/series/DGS10>
- FRED Effective Federal Funds Rate: <https://fred.stlouisfed.org/series/FEDFUNDS>
- FRED Indian Rupees to One U.S. Dollar: <https://fred.stlouisfed.org/series/DEXINUS>
- FRED Europe Brent Spot Price FOB: <https://fred.stlouisfed.org/series/DCOILBRENTEU>
- FRED CBOE VIX: <https://fred.stlouisfed.org/series/VIXCLS>
- FRED Broad U.S. Dollar Index: <https://fred.stlouisfed.org/series/DTWEXBGS>
- NSE participant-wise open interest archive: <https://archives.nseindia.com/content/nsccl/fao_participant_oi_01012024.csv>
- NSE participant-wise trading volume archive: <https://archives.nseindia.com/content/nsccl/fao_participant_vol_01012024.csv>
- NSE FII/DII report landing page: <https://www.nseindia.com/reports/fii-dii?segment=capital-market>
- Moneycontrol cash activity page: <https://www.moneycontrol.com/markets/fii-dii-data/cash/>
- Moneycontrol F&O activity page: <https://www.moneycontrol.com/markets/fii-dii-data/futures-and-options/>
## Practical use
- Start with `Data/processed/panels/daily_master_panel.csv` for daily modeling.
- Use `Data/processed/features/<timeframe>/` for single-asset intraday experiments.
- Join `Alt Data/options/processed/*.csv` into targeted option-flow studies when you want option-led predictors.
- Join `Alt Data/institutional/processed/institutional_daily_panel.csv` when you want daily institutional flow and positioning context.
|