Index Update 06.02.2016

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 2016-02-05 png

index momentum best 50 2016-02-05 png

index momentum worst 365 2016-02-05 png

index momentum worst 50 2016-02-05 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-02-05 png

Refactored Index Performance

50-day performance, from November 26, 2015 through February 05, 2016:

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
17.62
2015-Jan-27
NIFTY BANK SHORT
26.24
2015-Jan-27
NIFTY COMMODITIES SHORT
38.78
2008-Jan-04
NIFTY CONSUMPTION SHORT
10.38
2015-Aug-05
NIFTY ENERGY LONG
32.92
2008-Jan-14
NIFTY FIN SERVICE SHORT
22.73
2015-Jan-28
NIFTY FMCG LONG
12.69
2015-Feb-25
NIFTY INFRA SHORT
61.52
2008-Jan-09
NIFTY IT LONG
88.24
2000-Feb-21
NIFTY MEDIA SHORT
18.97
2008-Jan-04
NIFTY METAL SHORT
70.09
2008-Jan-04
NIFTY MNC SHORT
18.01
2015-Aug-10
NIFTY PHARMA SHORT
15.75
2015-Apr-08
NIFTY PSE SHORT
38.71
2008-Jan-04
NIFTY PSU BANK LONG
59.05
2010-Nov-05
NIFTY REALTY SHORT
92.16
2008-Jan-14
NIFTY SERV SECTOR SHORT
17.71
2015-Mar-03
The only bright spot was FMCG – probably aided by a flight to safety. It is brutal out there…

Options Weekly 06.02.2016

Summary: Feb NIFTY 7600 calls added 25,12,200 contracts while 7300 calls shed 4,05,225. On the Put side of the equation, the 7400 strike added 28,04,625 while the 7100’s shed 11,51,475.

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

FEB NIFTY Volatility

FEB NIFTY Volatility chart

FEB BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

Opening Bell 05.02.2016

Your world at 9am

world.2016-02-05

Equities

Major
DAX(DEU) -0.44%
CAC(FRA) +0.04%
UKX(GBR) +1.06%
NKY(JPN) -1.49%
SPX(USA) +0.15%
MINTs
JCI(IDN) +2.00%
INMEX(MEX) +1.45%
NGSEINDX(NGA) -0.38%
XU030(TUR) +1.85%
BRICS
IBOV(BRA) +3.11%
SHCOMP(CHN) -0.19%
NIFTY(IND) +0.57%
INDEXCF(RUS) +2.38%
TOP40(ZAF) +1.94%

Commodities

Energy
Brent Crude Oil +0.29%
Natural Gas +0.81%
Heating Oil +0.06%
RBOB Gasoline -0.10%
Ethanol +0.00%
WTI Crude Oil +0.32%
Metals
Gold 100oz -0.21%
Platinum +0.28%
Silver 5000oz +0.16%
Copper +0.00%
Palladium +0.11%

Currencies

USDEUR:+0.13% USDJPY:+0.06%

MINTs
USDIDR(IDN) -0.14%
USDMXN(MEX) -0.08%
USDNGN(NGA) +0.01%
USDTRY(TUR) +0.11%
BRICS
USDBRL(BRA) -0.15%
USDCNY(CHN) -0.01%
USDINR(IND) -0.74%
USDRUB(RUS) -0.02%
USDZAR(ZAF) +0.25%
Agricultural
Lean Hogs +0.00%
Soybeans +0.26%
Wheat -0.16%
Cocoa +0.00%
Lumber +0.00%
Soybean Meal +0.22%
Cattle +0.00%
Coffee (Arabica) +0.00%
Cotton +0.35%
Feeder Cattle +0.00%
Orange Juice +0.00%
Sugar #11 +0.00%
White Sugar +0.00%
Coffee (Robusta) +0.00%
Corn +0.07%

Credit Indices

Index Change
Markit CDX EM +0.62%
Markit CDX NA HY +0.50%
Markit CDX NA IG -0.62%
Markit iTraxx Asia ex-Japan IG +4.13%
Markit iTraxx Australia +4.31%
Markit iTraxx Europe +6.20%
Markit iTraxx Europe Crossover +14.21%
Markit iTraxx Japan +3.87%
Markit MCDX (Municipal CDS) +1.00%
TGIF!!!

Must reads

Foreign direct investment (FDI) in the country more than doubled to about USD 4.5 billion in December 2015. (FE, #economy)

South Korea is hurting European shares and the HK dollar. Can’t make this shit up. (FT)

The lifecycle of a fintech startup. End game: Fintech is absorbed into the bureaucracy of banking. (FT)

With Uber, Ola and others reducing transportation to a commodity and technology redefining personal mobility, auto manufacturers rethink their sales plans. (LiveMint)

Indian IT: third straight year of declining growth projections. (ET)

Good luck and have a nice weekend!

Options Daily 05.02.2016

NIFTY Summary:

  1. Feb 7600 calls added 8,98,725 contracts.
  2. Feb 7900 calls shed 1,78,650.
  3. Feb 7400 puts added 3,97,200.
  4. Feb 7500 puts shed 1,51,650.

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

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

FEB NIFTY Volatility

FEB NIFTY Volatility chart

FEB BANKNIFTY Volatility

FEB 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(2,3)+GARCH(1,1) model:

VIX 18.10 18.12 18.09 18.07 18.04
σ 0.84 0.87 0.90 0.92 0.93

Opening Bell 04.02.2016

Your world at 9am

world.2016-02-04

Equities

Major
DAX(DEU) -1.53%
CAC(FRA) -1.33%
UKX(GBR) -1.43%
NKY(JPN) -0.71%
SPX(USA) +0.50%
MINTs
JCI(IDN) +1.38%
INMEX(MEX) +0.53%
NGSEINDX(NGA) -0.96%
XU030(TUR) +1.24%
BRICS
IBOV(BRA) +2.57%
SHCOMP(CHN) +1.36%
NIFTY(IND) -1.26%
INDEXCF(RUS) -0.68%
TOP40(ZAF) +1.11%

Commodities

Energy
Brent Crude Oil +0.94%
RBOB Gasoline +1.31%
Ethanol +0.00%
Heating Oil +1.08%
Natural Gas -0.20%
WTI Crude Oil +1.24%
Metals
Copper +0.00%
Palladium -0.48%
Platinum +0.69%
Silver 5000oz +0.00%
Gold 100oz +0.06%

Currencies

USDEUR:+0.17% USDJPY:+0.08%

MINTs
USDIDR(IDN) -0.69%
USDMXN(MEX) -0.03%
USDNGN(NGA) +0.00%
USDTRY(TUR) -0.03%
BRICS
USDBRL(BRA) -2.36%
USDCNY(CHN) +0.02%
USDINR(IND) +0.13%
USDRUB(RUS) +0.02%
USDZAR(ZAF) +0.19%
Agricultural
Coffee (Arabica) +0.00%
Cotton -0.71%
Lean Hogs +0.00%
Soybeans +0.29%
Wheat +0.05%
Cocoa +0.00%
Corn +0.13%
Orange Juice +0.00%
White Sugar +0.00%
Cattle +0.00%
Feeder Cattle +0.00%
Coffee (Robusta) +0.00%
Lumber +0.00%
Soybean Meal +0.30%
Sugar #11 +0.00%

Credit Indices

Index Change
Markit CDX EM -0.83%
Markit CDX NA HY -1.00%
Markit CDX NA IG +4.38%
Markit iTraxx Asia ex-Japan IG +3.58%
Markit iTraxx Australia +2.71%
Markit iTraxx Europe +5.00%
Markit iTraxx Europe Crossover +17.05%
Markit iTraxx Japan +2.62%
Markit MCDX (Municipal CDS) +5.60%
So… Risk ON again?

Must reads

Gadkari commits Rs 1 lakh cr for Karnataka “roads.” (FP)

Indian mainstream media finally sniffs out the Baltic Dry Index and panics. (BS)

Amazon vs. Big Basket – the fight begins! (TOI)

Indian household inflation expectation remains above 10%. (MC, #inflation)

Andhra Pradesh to centre: invoke compulsory licence or cancel Bt cotton patent. Question is, who, in his right mind, will ever introduce GM strains in India next? (LiveMint) MONSANTO 2,100.00 25.90 (1.25%) KSCL 348.00 14.45 (4.33%)

The lower oil prices stay, the more pain Saudi Arabia will feel. (WSJ)

Some asteroids are worth more than $100 trillion. (TC)

Good luck!