Author: stockviz

Index Update 25.04.2015

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2015-04-24 png

index momentum best 50 2015-04-24 png

index momentum worst 365 2015-04-24 png

index momentum worst 50 2015-04-24 png

Refactored Index Performance

50-day performance, from February 10, 2015 through April 24, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.28
2015-Jan-27
CNX BANK SHORT
12.42
2015-Jan-27
CNX ENERGY SHORT
29.16
2008-Jan-14
CNX FMCG SHORT
7.58
2015-Feb-25
CNX INFRA SHORT
48.62
2008-Jan-09
CNX MEDIA SHORT
28.84
2008-Jan-04
CNX METAL SHORT
55.32
2008-Jan-04
CNX MNC SHORT
6.69
2015-Mar-12
CNX NIFTY SHORT
7.68
2015-Mar-03
CNX PHARMA SHORT
11.72
2015-Apr-08
CNX PSE SHORT
25.79
2008-Jan-04
ENERGY, INFRA, MEDIA, METAL and PSE sub-indices are well below their 2008 boom-era heights. Banks and Pharma have been badly hit this year. Will MNCs provide cover?
Our trend model is short on all indices right now, probably indicating that the market is over-sold…

Correlation Update 25.04.2015

Nifty one year daily return correlations

Nifty one year daily return correlations

Nifty one month daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one year daily return correlations

Midcap one month daily return correlations

Midcap one month daily return correlations

A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.

Options Daily 24.04.2015

Summary: Apr NIFTY 8500 calls added 642,550 contracts while 8600 calls shed 205,900. On the Put side of the equation, the 8300 strike added 1,185,625 while the 8600’s shed 313,625.
Our trend model is NEUTRAL on the NIFTY and LONG on the BANKNIFTY.

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

Options Daily 23.04.2015

Summary: Apr NIFTY 8300 calls added 760,175 contracts while 8800 calls shed 449,250. On the Put side of the equation, the 8000 strike added 622,050 while the 8300’s shed 395,575.
Our trend model is NEUTRAL on the NIFTY and LONG on the BANKNIFTY.

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.