Opening Bell 27.04.2015

Your world at 9am

world.2015-04-27

Equities

Major
DAX(DEU) +0.74%
CAC(FRA) +0.44%
UKX(GBR) +0.24%
NKY(JPN) -0.01%
SPX(USA) +0.23%
MINTs
JCI(IDN) -1.92%
INMEX(MEX) +0.88%
NGSEINDX(NGA) -0.03%
XU030(TUR) +2.23%
BRICS
IBOV(BRA) +1.63%
SHCOMP(CHN) +1.74%
NIFTY(IND) -1.11%
INDEXCF(RUS) +1.21%
TOP40(ZAF) +1.15%

Commodities

Energy
Natural Gas -2.33%
RBOB Gasoline +0.10%
WTI Crude Oil -0.35%
Heating Oil +0.09%
Brent Crude Oil -0.15%
Ethanol -1.54%
Metals
Silver 5000oz +0.00%
Copper +0.00%
Gold 100oz +0.00%
Palladium +0.49%
Platinum +0.19%

Currencies

USDEUR:+0.17% USDJPY:-0.05%

MINTs
USDIDR(IDN) +0.19%
USDMXN(MEX) +0.03%
USDNGN(NGA) -0.25%
USDTRY(TUR) +0.39%
BRICS
USDBRL(BRA) -0.65%
USDCNY(CHN) +0.05%
USDINR(IND) +0.38%
USDRUB(RUS) -0.22%
USDZAR(ZAF) -0.10%
Agricultural
Feeder Cattle +0.70%
Soybeans +0.15%
Sugar #11 +0.46%
Lean Hogs +0.45%
Lumber +1.30%
Orange Juice -3.92%
Wheat -2.61%
White Sugar +0.00%
Cattle +1.21%
Cocoa +0.00%
Coffee (Arabica) +0.93%
Coffee (Robusta) +0.00%
Corn -0.48%
Soybean Meal -0.22%
Cotton +0.00%

Credit Indices

Index Change
Markit CDX EM +0.37%
Markit CDX NA HY +0.03%
Markit CDX NA IG -0.41%
Markit iTraxx Asia ex-Japan IG -1.04%
Markit iTraxx Australia -0.95%
Markit iTraxx Europe +1.62%
Markit iTraxx Europe Crossover +5.25%
Markit iTraxx Japan -0.30%
Markit iTraxx SovX Western Europe -0.05%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -0.99%
Are we done yet?

Must reads

Brace yourself: there could be at least one IPO a week, with a total of Rs 25,000 crore being raised through IPOs this financial year. (ET, #IPO)

If you want to suppress volatility it’s likely you’ll suppress your returns as well. (TII)

Why are so many people farmers, who shouldn’t be? Farming in India is vastly inefficient and unproductive, and that millions of workers will need to move—sooner or later—to more productive manufacturing or service sector employment. (LiveMint, #economy)

Good luck!

Options Daily 27.04.2015

Summary: May NIFTY 8700 calls added 272,025 contracts while 10000 calls shed 7,250. On the Put side of the equation, the 8100 strike added 235,625 while the 8500’s shed 7,050.

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

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR BANKNIFTY Volatility 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.

Macro Update 25.04.2015

US Treasuries vs. Gilt Spread

The spread between 10yr US Treasuries and Indian Gilts have widened over the last couple of months…

ust-ind-10yr-spread.2011-01-18

Institutional Investments

… probably because FPIs were net sellers of debt so far this month. But foreign flows had slowed down in April last year as well, so not sure if this is a seasonal thing.

fii-investments

But Domestic institutional investors are in position to pick up the slack if the April swoon leads to a longer lull.

dii-investments

Oil

Fall in global oil prices were a tail-wind last year. But is the tide about to turn? Oil has been inching up since its January lows.

wti-brent crude oil

Gold

The fate of Gold is going to be decided by Janet Yellen. Rising rates are no friends of precious metals.

gold.usd

And Gold in Indian Rupees are back at Jan 2013 levels.

USDINR

If US rates go up, will the Rupee see 64? INR has been steadily losing ground to the dollar over the last year.

USDINRFutures

The Dollar Index (DXY) has shot up like a rocket this year. One can argue that INR has actually appreciated against other currencies.

DXY - Dollar Index

Outlook

Rising oil prices and the US dollar, combined with a sense of disappointment on the reforms front could flat-line markets. Poor monsoons could put further pressure on the inflation front, and not to mention the government balance-sheet as it would be forced to provide relief to drought-stricken farmers. Bulls do not have much to go on at this point given that valuations are stretched and the current earnings season has been a disappointment so far.

Weekly Recap: Paradox of Thrift

world.2015-4-17.2015-4-24

Equities

Major
DAX(DEU) +1.05%
CAC(FRA) +1.13%
UKX(GBR) +1.09%
NKY(JPN) +1.87%
SPX(USA) +2.18%
MINTs
JCI(IDN) +0.46%
INMEX(MEX) +1.18%
NGSEINDX(NGA) -1.48%
XU030(TUR) +3.81%
BRICS
IBOV(BRA) +4.90%
SHCOMP(CHN) +2.48%
NIFTY(IND) -3.49%
INDEXCF(RUS) +1.58%
TOP40(ZAF) +3.10%

Commodities

Energy
Heating Oil +2.53%
RBOB Gasoline +4.33%
Brent Crude Oil +2.97%
Ethanol -1.12%
Natural Gas -4.16%
WTI Crude Oil +3.44%
Metals
Copper -1.08%
Palladium -1.66%
Gold 100oz -2.15%
Silver 5000oz -3.07%
Platinum -3.70%

Currencies

USDEUR:-0.78% USDJPY:+0.13%

MINTs
USDIDR(IDN) +0.56%
USDMXN(MEX) +0.16%
USDNGN(NGA) -0.25%
USDTRY(TUR) +1.08%
BRICS
USDBRL(BRA) -3.55%
USDCNY(CHN) -0.05%
USDINR(IND) +1.92%
USDRUB(RUS) -2.42%
USDZAR(ZAF) +0.35%
Agricultural
Corn -4.14%
Cotton +5.64%
Feeder Cattle +1.27%
Wheat -1.57%
Soybean Meal -0.10%
Sugar #11 +0.00%
Coffee (Robusta) -0.22%
White Sugar +0.78%
Cattle +2.17%
Cocoa +1.29%
Coffee (Arabica) +1.83%
Lean Hogs +1.58%
Lumber +3.72%
Orange Juice -1.00%
Soybeans +0.03%

Credit Indices

Index Change
Markit CDX EM +0.02%
Markit CDX NA HY +0.02%
Markit CDX NA IG +0.08%
Markit iTraxx Asia ex-Japan IG +0.29%
Markit iTraxx Australia +2.10%
Markit iTraxx Europe +2.28%
Markit iTraxx Europe Crossover -0.19%
Markit iTraxx Japan -0.15%
Markit iTraxx SovX Western Europe +2.70%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -1.28%
With the Opposition (Congress, mostly) blocking pretty much every reform measure, the Modi magic is dead by a thousand cuts.
A weak Monsoon could stoke inflation and dampen rate-cut expectations.
Indian equity markets were a aberration in a sea of green…

Nifty Heatmap

CNX NIFTY.2015-4-17.2015-4-24

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index performance.2015-4-17.2015-4-24

Advance Decline

advance.decline.line2.2015-4-17.2015-4-24

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -3.87% 70/63
2 -2.51% 63/70
3 -2.25% 60/73
4 -3.61% 58/74
5 -3.80% 61/72
6 -3.02% 58/75
7 -3.28% 58/74
8 -3.48% 58/75
9 -3.61% 62/71
10 (mega) -3.65% 65/68
A clean vertical slice…

Top Winners and Losers

GLENMARK +3.61%
M&MFIN +5.70%
TATASTEEL +7.08%
BOSCHLTD -14.14%
MCDOWELL-N -11.16%
WIPRO -10.85%
Who would’ve thunk that Bosch can collapse like a mid-cap momentum stock?

ETF Performance

GOLDBEES +0.65%
INFRABEES -0.93%
BANKBEES -1.95%
JUNIORBEES -2.00%
CPSEETF -3.58%
NIFTYBEES -3.87%
PSUBNKBEES -5.98%
Gold held steady because the rupee collapsed…

Yield Curve

yield Curve.2015-4-17.2015-4-24

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB +0.08 +0.12%
GSEC SUB 1-3 -0.07 +0.03%
GSEC SUB 3-8 +0.02 -0.02%
GSEC SUB 8 +0.03 +0.05%
The curve barely budged…

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought for the weekend

When governments introduce austerity measures, they are trying to reduce their net borrowing – in effect, they are raising their savings rate. Such attempts to increase saving actually lead to lower, not higher, investment – and since saving equals investment, actual savings fall. So what we have here is an empirical confirmation of the existence of the paradox of thrift!

Source: Crowding In and the Paradox of Thrift

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…