Opening Bell 26.05.2015

Your world at 9am

world.2015-05-26

Equities

Major
DAX(DEU) -0.42%
CAC(FRA) -0.50%
UKX(GBR) +0.26%
NKY(JPN) +0.01%
SPX(USA) -0.22%
MINTs
JCI(IDN) +0.94%
INMEX(MEX) -0.11%
NGSEINDX(NGA) -0.35%
XU030(TUR) -1.48%
BRICS
IBOV(BRA) +0.43%
SHCOMP(CHN) +1.30%
NIFTY(IND) -1.05%
INDEXCF(RUS) -0.62%
TOP40(ZAF) -0.08%

Commodities

Energy
Ethanol +0.70%
Natural Gas -1.70%
RBOB Gasoline +0.84%
WTI Crude Oil +0.17%
Brent Crude Oil +0.00%
Heating Oil +0.49%
Metals
Palladium +0.11%
Platinum +0.05%
Copper +0.30%
Silver 5000oz +0.29%
Gold 100oz +0.00%

Currencies

USDEUR:+0.31% USDJPY:+0.16%

MINTs
USDIDR(IDN) +0.02%
USDMXN(MEX) +0.01%
USDNGN(NGA) -0.06%
USDTRY(TUR) +0.05%
BRICS
USDBRL(BRA) +0.10%
USDCNY(CHN) +0.03%
USDINR(IND) +0.07%
USDRUB(RUS) -0.02%
USDZAR(ZAF) +0.19%
Agricultural
Cattle +0.10%
Cocoa +0.00%
Coffee (Arabica) -1.05%
Coffee (Robusta) +0.00%
Soybeans +0.57%
Sugar #11 -1.28%
Corn +0.42%
Cotton +0.39%
Lumber +1.22%
Feeder Cattle -0.55%
Orange Juice +0.72%
Soybean Meal -0.23%
Lean Hogs +0.27%
Wheat +0.34%
White Sugar +0.00%

Must reads

After the Land Bill amendment got Congressed, NDA had to hit the pause button on Labor reforms. The biggest take away from this is that Congress will never act in India’s best interests, whether in power or outside it. (LiveMint)

Jaitly: “The parallel economy has to be squeezed.” (BT)

Given the splendid job that bank employees are doing, they have been rewarded with a 15% wage hike that will impose an additional burden of up to Rs 8,370 crore on lenders. (IE)

Vodafone plans India’s largest IPO yet, likely to raise $4 bn next year. (FP, #IPO)

RBI may cut rate by 25 bps in the monetary policy review on June 2, but CRR reduction unlikely. (BS, #rates)

Good luck!

Options Daily 26.05.2015

Summary: Jun NIFTY 8500 calls added 244,000 contracts while 9200 calls shed 56,175. On the Put side of the equation, the 8000 strike added 318,550 while the 7600’s shed 2,325.

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

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

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

Opening Bell 25.05.2015

Your world at 9am

world.2015-05-25

Equities

Major
DAX(DEU) -0.42%
CAC(FRA) -0.07%
UKX(GBR) +0.26%
NKY(JPN) +0.53%
SPX(USA) -0.22%
MINTs
JCI(IDN) +0.04%
INMEX(MEX) -0.54%
NGSEINDX(NGA) -0.54%
XU030(TUR) -0.86%
BRICS
IBOV(BRA) -1.33%
SHCOMP(CHN) +2.83%
NIFTY(IND) +0.45%
INDEXCF(RUS) +0.38%
TOP40(ZAF) -0.06%

Commodities

Energy
Ethanol -0.32%
RBOB Gasoline +0.77%
Brent Crude Oil +0.18%
Heating Oil +0.27%
WTI Crude Oil +0.22%
Natural Gas -1.56%
Metals
Silver 5000oz +0.00%
Gold 100oz +0.00%
Copper +0.00%
Palladium -0.36%
Platinum -0.23%

Currencies

USDEUR:+0.23% USDJPY:+0.12%

MINTs
USDIDR(IDN) +0.27%
USDMXN(MEX) +0.09%
USDNGN(NGA) -0.06%
USDTRY(TUR) +0.08%
BRICS
USDBRL(BRA) +1.84%
USDCNY(CHN) +0.01%
USDINR(IND) -0.19%
USDRUB(RUS) -0.20%
USDZAR(ZAF) +0.16%
Agricultural
Soybeans -1.07%
Sugar #11 -1.28%
Corn -1.17%
Cotton -0.66%
Lumber +1.37%
Lean Hogs +0.09%
Wheat -1.20%
White Sugar +0.00%
Cattle -0.10%
Cocoa +0.00%
Coffee (Arabica) -1.05%
Coffee (Robusta) +0.00%
Feeder Cattle +0.54%
Orange Juice +0.72%
Soybean Meal +0.07%

Credit Indices

Index Change
Markit CDX EM +0.22%
Markit CDX NA HY +0.10%
Markit CDX NA IG -0.45%
Markit iTraxx Asia ex-Japan IG +0.38%
Markit iTraxx Australia -0.23%
Markit iTraxx Europe +1.36%
Markit iTraxx Europe Crossover +2.59%
Markit iTraxx Japan +0.02%
Markit iTraxx SovX Western Europe -0.23%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -2.10%
Welcome to hangover day…

Must reads

The wait for Achche din gets longer. (DNA, #economy)

The civil aviation ministry has dropped its plan to regulate airfares. (ET)

M&M’s GenZe electric scooter: designed in Silicon Valley and made in Ann Arbor, Michigan. (FT)

The lenders have so far been able to recover just about Rs.1,000 crore from Kingfisher Airlines out of their over Rs.7,500 crore exposure. United Bank of India says they have lost hope. (LiveMint) UNITEDBNK 24.65 -0.30 (-1.20%)

There’s a new book out that you should read: ‘Losing the Signal’ examines Research In Motion’s efforts to take on Apple’s game-changing smartphone. (WSJ, #innovation)

Good luck!

Weekly Recap: How Mobile disrupted Airfreight

world.2015-05-15.2015-05-22

Equities

Major
DAX(DEU) +3.21%
CAC(FRA) +2.99%
UKX(GBR) +1.02%
NKY(JPN) +2.69%
SPX(USA) +0.34%
MINTs
JCI(IDN) +1.68%
INMEX(MEX) -0.92%
NGSEINDX(NGA) -0.49%
XU030(TUR) -2.35%
BRICS
IBOV(BRA) -5.07%
SHCOMP(CHN) +8.10%
NIFTY(IND) +2.38%
INDEXCF(RUS) -1.53%
TOP40(ZAF) -0.10%

Commodities

Energy
Ethanol -6.26%
WTI Crude Oil +0.69%
Heating Oil -2.32%
Natural Gas -4.60%
RBOB Gasoline +0.78%
Brent Crude Oil -1.96%
Metals
Gold 100oz -0.95%
Palladium -1.45%
Platinum -1.95%
Copper -4.41%
Silver 5000oz -2.29%

Currencies

USDEUR:+3.96% USDJPY:+1.85%

MINTs
USDIDR(IDN) +0.57%
USDMXN(MEX) +1.67%
USDNGN(NGA) +0.76%
USDTRY(TUR) +0.86%
BRICS
USDBRL(BRA) +3.75%
USDCNY(CHN) -0.15%
USDINR(IND) +0.01%
USDRUB(RUS) +1.27%
USDZAR(ZAF) +1.00%
Agricultural
Feeder Cattle +0.59%
Orange Juice +5.82%
Soybean Meal +0.30%
Soybeans -2.83%
Sugar #11 -4.12%
Wheat +0.98%
White Sugar -4.33%
Cattle -0.21%
Cocoa +2.18%
Coffee (Arabica) -7.87%
Coffee (Robusta) -3.06%
Corn -1.37%
Cotton -5.07%
Lumber +14.50%
Lean Hogs +0.66%

Credit Indices

Index Change
Markit CDX EM +0.21%
Markit CDX NA HY -0.07%
Markit CDX NA IG +0.44%
Markit iTraxx Asia ex-Japan IG -3.17%
Markit iTraxx Australia -0.76%
Markit iTraxx Europe -0.88%
Markit iTraxx Europe Crossover -6.29%
Markit iTraxx Japan -1.17%
Markit iTraxx SovX Western Europe -0.04%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +1.77%
A moment of silence to whoever shorted the market thinking the NIFTY will go to 7600. May your capital rest in peace.

Nifty Heatmap

CNX NIFTY.2015-05-15.2015-05-22

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index performance.2015-05-15.2015-05-22

Sector Performance

sector performance.2015-05-15.2015-05-22

Advance Decline

advance.decline.line2.2015-05-15.2015-05-22

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) -1.51% 66/62
2 -0.05% 69/59
3 +2.14% 76/51
4 +2.33% 73/55
5 +2.22% 72/55
6 +1.23% 69/59
7 +2.07% 62/66
8 +2.42% 68/59
9 +1.44% 68/60
10 (mega) +2.14% 61/67
Ob-La-Di, Ob-La-Da…

Top Winners and Losers

ADANIENT +7.59%
HCLTECH +7.69%
TECHM +7.88%
TATASTEEL -6.26%
BHARATFORG -3.69%
OIL -3.58%
Tech broke through disappointing results while investors were served a reminder of the problems plaguing old-economy stocks…

ETF Performance

CPSEETF +1.97%
NIFTYBEES +1.73%
JUNIORBEES +1.66%
INFRABEES +1.05%
BANKBEES +0.98%
PSUBNKBEES -0.66%
GOLDBEES -0.91%
Look at the divergence between BANKBEES and PSUBNKBEES…

Yield Curve

yield Curve.2015-05-15.2015-05-22

Bond Indices

Sub Index Change in YTM Total Return(%)
GSEC TB -0.18 +0.20%
GSEC SUB 1-3 -0.01 +0.33%
GSEC SUB 3-8 -0.04 +0.42%
GSEC SUB 8 -0.04 +0.56%
Lower inflation + tepid economy = rate cut?

Investment Theme Performance

Equity Mutual Funds

Bond Mutual Funds

Thought for the weekend

From the mid-1980’s when PC’s and other hi-tech products first started being assembled in Asia, in places like Taiwan, Hong Kong, Singapore, Thailand and Malaysia, through 2010, after China had achieved the dominant manufacturing position it holds, the airfreight markets became increasingly reliant on the market for getting hi-tech goods built and assembled in Asia to North America and also to Europe.

The iPads and other Android-based and Windows-devices both usurped and combined many of the functions previously reserved for the PC platform or other dedicated electronic devices. Emerging from the Great Recession, these increasingly smaller, more powerful, alternative devices with their myriads of “apps” began to offer multiple capabilities on one platform that delivered capabilities which had previously taken multiple devices to deliver. This factor also significantly changed the dynamics of the airfreight markets.

Source: Avondale Asset Management

Index Update 23.05.2015

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 2015-05-22 png

index momentum best 50 2015-05-22 png

index momentum worst 365 2015-05-22 png

index momentum worst 50 2015-05-22 png

Refactored Index Performance

50-day performance, from March 10, 2015 through May 22, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
5.69
2015-Jan-27
CNX BANK SHORT
10.32
2015-Jan-27
CNX ENERGY SHORT
29.07
2008-Jan-14
CNX FMCG SHORT
9.54
2015-Feb-25
CNX INFRA SHORT
49.37
2008-Jan-09
CNX IT SHORT
87.72
2000-Feb-21
CNX MEDIA SHORT
29.01
2008-Jan-04
CNX METAL SHORT
56.14
2008-Jan-04
CNX MNC SHORT
3.97
2015-Mar-12
CNX NIFTY SHORT
5.97
2015-Mar-03
CNX PHARMA SHORT
8.25
2015-Apr-08
CNX PSE SHORT
26.16
2008-Jan-04
CNX REALTY SHORT
89.23
2008-Jan-14
Pharma and banks seem to be perking up.
And boy-oh-boy! MNCs have more or less covered their draw-down.