Category: Your Money

Theme Recap 25.01.2020

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 25.01.2020

Summary: Jan NIFTY 12200 calls added 19,03,275 contracts while 12200 calls shed 6,46,725. On the Put side of the equation, the 12200 strike added 15,87,825 while the 12000’s shed 8,15,775.

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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 24.01.2020

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.94%
CAC(FRA) -0.65%
UKX(GBR) -0.85%
NKY(JPN) -0.05%
SPX(USA) +0.11%
MINTs
JCI(IDN) -0.03%
INMEX(MEX) -0.49%
NGSEINDX(NGA) -0.02%
XU030(TUR) -0.30%
BRICS
IBOV(BRA) +0.96%
SHCOMP(CHN) -2.75%
NIFTY(IND) +0.61%
INDEXCF(RUS) -0.01%
TOP40(ZAF) -1.86%

Commodities

Energy
Brent Crude Oil +0.00%
Natural Gas +0.47%
RBOB Gasoline +0.20%
Ethanol +0.00%
Heating Oil -0.09%
WTI Crude Oil +0.09%
Metals
Copper +0.00%
Gold 100oz +0.00%
Palladium +0.49%
Platinum -0.26%
Silver 5000oz +0.00%

Currencies

USDEUR:+0.06% USDJPY:-0.02%

MINTs
USDIDR(IDN) -0.38%
USDMXN(MEX) +0.01%
USDNGN(NGA) +0.35%
USDTRY(TUR) +0.00%
BRICS
USDBRL(BRA) -0.26%
USDCNY(CHN) +0.57%
USDINR(IND) +0.11%
USDRUB(RUS) +0.00%
USDZAR(ZAF) -0.10%
Agricultural
Corn -0.44%
Soybean Meal -0.10%
Wheat -0.26%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Lean Hogs +0.00%
White Sugar +0.00%
Cattle +0.00%
Coffee (Arabica) +0.00%
Soybeans -0.08%
Cocoa +0.00%
Cotton +0.19%
Lumber +0.00%
Orange Juice +0.00%
Sugar #11 +0.00%

Out of 43 world ETFs listed in NYSE that we track, 15 are trading above their 10-day SMA and 38 are trading above their 50-day SMA.

Must Reads

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Europe has good and bad reasons for wanting more babies
IT TAKES SURPRISINGLY little effort to get a Eurocrat to talk about sex. The European Commission plugs its various exchange programmes with cartoons of young people dreaming of meeting hot Spanish ladies and hunky French men.

Sebi to enhance social media surveillance
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But r<g may jeopardise central bank independence
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Underutilized Fixed Assets – kwokchain
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Banned cryptocurrency to uphold integrity of banking system: RBI
The central bank, through senior advocate Shyam Divan, argued that though there was no formal ban on cryptocurrencies under any law in existence in India, it had consistently been warning all those dealing with virtual currencies of the risks inherent in them.

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

Good luck!

Options Daily 24.01.2020

NIFTY Summary:

  1. Jan 13000 calls added 4,93,125 contracts.
  2. Jan 12300 calls shed 95,700.
  3. Jan 12100 puts added 8,16,675.
  4. Jan 12500 puts shed 49,125.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 109.08 480.33
5 109.34 470.58
10 108.68 445.37
20 105.98 411.38

NIFTY 50 NIFTY BANK
TrueRange 94.90 465.90
TrueHigh 12189.00 31087.25
TrueLow 12094.10 30621.35

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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(0,0)+GARCH(1,1) model:

VIX 14.15 14.15 14.15 14.15 14.15
σ 1.71 1.71 1.70 1.70 1.70

Marketwide OI

Securities under ban today: YESBANK.
market wide position limit chart

FRED Scan 24.01.2020

Economic Policy Uncertainty Index for United States

Economic Policy Uncertainty Index for United States

CBOE Silver ETF Volatility Index

CBOE Silver ETF Volatility Index

ICE BofAML US Corp Master Total Return Index Value

ICE BofAML US Corp Master Total Return Index Value

ICE BofAML US Corporate BBB Effective Yield

ICE BofAML US Corporate BBB Effective Yield

Dow Jones Utility Average

Dow Jones Utility Average

Ultra-Low-Sulfur No. 2 Diesel Fuel Prices: U.S. Gulf Coast

Ultra-Low-Sulfur No. 2 Diesel Fuel Prices: U.S. Gulf Coast

10-Year 1-1/8% Treasury Inflation-Indexed Note, Due 1/15/2021

10-Year 1-1/8% Treasury Inflation-Indexed Note, Due 1/15/2021