Category: Your Money

Theme Recap 25.05.2019

A quick look at the results of some of our most popular investment strategies over the last 200-days.

Static Momentum Themes

Static Momentum Themes 200-day performance

Dynamic Momentum Themes

Dynamic Momentum Themes 200-day performance

Value Themes

Value Themes 200-day performance

Machine Learning Themes

Machine Learning Themes 200-day performance

Neural Network Themes

Neural Network Themes 200-day performance

*BRK denotes returns after assuming a brokerage of 0.1% and an STT of 0.1%

A complete list of Themes and investment strategies can be found here.

Options Weekly 25.05.2019

Summary: May NIFTY 12500 calls added 36,64,650 contracts while 12000 calls shed 12,83,925. On the Put side of the equation, the 11700 strike added 16,81,425 while the 10800’s shed 7,57,500.

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

Opening Bell 24.05.2019

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -1.78%
CAC(FRA) -1.81%
UKX(GBR) -1.41%
NKY(JPN) -0.69%
SPX(USA) -1.19%
MINTs
JCI(IDN) +0.18%
INMEX(MEX) -0.21%
NGSEINDX(NGA) +1.07%
XU030(TUR) +1.20%
BRICS
IBOV(BRA) -0.48%
SHCOMP(CHN) +0.16%
NIFTY(IND) -0.69%
INDEXCF(RUS) -0.01%
TOP40(ZAF) -1.84%

Commodities

Energy
Brent Crude Oil +1.15%
Ethanol +0.00%
Heating Oil +0.55%
Natural Gas +0.27%
RBOB Gasoline +0.57%
WTI Crude Oil +1.09%
Metals
Copper +0.45%
Gold 100oz +0.00%
Palladium +0.10%
Platinum +0.28%
Silver 5000oz -0.19%

Currencies

USDEUR:+0.00% USDJPY:-0.08%

MINTs
USDIDR(IDN) -0.08%
USDMXN(MEX) -0.00%
USDNGN(NGA) -0.21%
USDTRY(TUR) +0.40%
BRICS
USDBRL(BRA) +0.01%
USDCNY(CHN) +0.05%
USDINR(IND) -0.40%
USDRUB(RUS) -0.00%
USDZAR(ZAF) +0.09%
Agricultural
Corn +0.19%
Lean Hogs +0.00%
Lumber +0.00%
White Sugar +0.00%
Cattle +0.00%
Sugar #11 +0.00%
Wheat -0.48%
Cocoa +0.00%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Cotton +0.31%
Orange Juice +0.00%
Feeder Cattle +0.00%
Soybean Meal -0.10%
Soybeans -0.12%

Out of 43 world ETFs listed in NYSE that we track, 20 are trading above their 10-day SMA and 9 are trading above their 50-day SMA.

Must Reads

The lessons of Bahrain, a state that tried to wean itself off oil
THE ORANGE helmets are a burst of colour in the desert, where drab aluminium potlines stretch for almost a mile across the sands. Workers at Alba, Bahrain’s aluminium smelter, are finishing a $3bn expansion. A country of just 1.5m people will soon produce 1.

India’s stealth privatisation
IN 2007 INDIA combined two troubled state-run champions, Indian Airlines for domestic flights and Air India for international ones, in the hope that consolidation would produce higher profits and happier flyers. Instead, the merger created unhappy unions, shabbier service and mounting losses.

Why Are Other Investors So Biased?
If you ask a fund manager why they believe that their investment philosophy can generate excess returns, they will almost inevitably state that they are seeking to exploit the behavioural biases exhibited by other investors that create pricing inefficiencies.

Opinion | Why ‘liberals’ fully deserved to lose this battle
So, as sociologist Yogendra Yadav said in an interview to Mint a few days ago, India is “entering a long and dark tunnel” for the next five years. Journalist Kapil Komireddi wrote in The Guardian, Narendra Modi will now take the country into “a dark place”.

Check out our Global Macro Dashboard for currency, commodity, bonds and credit charts.

Good luck!

Options Daily 24.05.2019

NIFTY Summary:

  1. May 12500 calls added 18,98,925 contracts.
  2. May 11300 calls shed 1,08,450.
  3. May 11600 puts added 3,31,350.
  4. May 10800 puts shed 5,71,575.

Our trend model indicates a LONG on the NIFTY and LONG on the BANKNIFTY.

Avg. True Range

NIFTY.50 NIFTY.BANK
3 268.50 896.77
5 232.68 766.91
10 188.66 622.93
20 156.25 532.08

NIFTY 50 NIFTY BANK
TrueRange 426.65 1412.65
TrueHigh 12041.15 31705.00
TrueLow 11614.50 30292.35

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(1,1)+GARCH(1,1) model:

VIX 19.79 19.79 19.79 19.79 19.79
σ 4.45 4.41 4.37 4.34 4.30

Marketwide OI

Securities under ban today: ADANIPOWER, IDBI.
market wide position limit chart