Opening Bell 22.05.2015

Your world at 9am

world.2015-05-22

Equities

Major
DAX(DEU) +0.14%
CAC(FRA) +0.26%
UKX(GBR) +0.09%
NKY(JPN) -0.15%
SPX(USA) +0.23%
MINTs
JCI(IDN) -0.19%
INMEX(MEX) -0.41%
NGSEINDX(NGA) -0.21%
XU030(TUR) -1.55%
BRICS
IBOV(BRA) +0.38%
SHCOMP(CHN) +1.66%
NIFTY(IND) -0.03%
INDEXCF(RUS) +1.37%
TOP40(ZAF) -0.16%

Commodities

Energy
Heating Oil -0.29%
Natural Gas +0.24%
WTI Crude Oil -0.30%
Brent Crude Oil -0.30%
Ethanol +0.32%
RBOB Gasoline -0.04%
Metals
Palladium +0.54%
Platinum +0.15%
Silver 5000oz +0.00%
Gold 100oz +0.00%
Copper +0.00%

Currencies

USDEUR:-0.20% USDJPY:-0.17%

MINTs
USDIDR(IDN) +0.10%
USDMXN(MEX) -0.08%
USDNGN(NGA) -1.03%
USDTRY(TUR) -0.06%
BRICS
USDBRL(BRA) +1.19%
USDCNY(CHN) -0.01%
USDINR(IND) -0.29%
USDRUB(RUS) -0.23%
USDZAR(ZAF) -0.03%
Agricultural
Lean Hogs +0.00%
Lumber -0.26%
Soybean Meal -0.03%
Sugar #11 -0.64%
Corn -0.14%
Cotton +0.13%
Feeder Cattle +0.00%
Soybeans -0.27%
Cattle +0.00%
Cocoa +0.00%
Coffee (Arabica) -5.18%
Coffee (Robusta) +0.00%
Orange Juice +2.13%
Wheat +0.86%
White Sugar +0.00%

Credit Indices

Index Change
Markit CDX EM +0.23%
Markit CDX NA HY -0.06%
Markit CDX NA IG +0.52%
Markit iTraxx Asia ex-Japan IG -0.37%
Markit iTraxx Australia +0.29%
Markit iTraxx Europe +0.03%
Markit iTraxx Europe Crossover +0.00%
Markit iTraxx Japan -0.52%
Markit iTraxx SovX Western Europe -0.17%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -0.22%
The S&P 500 closed at a record high yesterday. Here’s what a trader had to say: “It doesn’t matter if we’re at an all-time high if there are just two guys trading a stock back and forth.” (Reuters)

Must reads

India to UN: It is our prerogative if we want to kill our forests and pollute our air. (ET)

Investments made by investors in NRIs, OCIs and PIOs from their rupee account (non-repatriation basis) in India will be treated as domestic investment. (DNA, #regulation)

FDI in e-commerce: nobody thought to ask the consumer. (LiveMint)

India’s microfinance industry increased its total loan portfolio 61% over the past financial year to a record high of $6bn — a remarkable turnround for an industry pushed to the brink of collapse five years ago. (FT) SKSMICRO 456.95 -2.70 (-0.59%)

Good luck and have a nice weekend!

Options Daily 22.05.2015

Summary: May NIFTY 8450 calls added 202,300 contracts while 8800 calls shed 608,800. On the Put side of the equation, the 8200 strike added 1,528,950 while the 8100’s shed 746,650.

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

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.

Practical Momentum – Conclusion

Recap

We began the exploration of a practical way to execute momentum using derivatives. We found that:

  1. A lookback period of one year works best (Part I)
  2. Because of survivorship bias, long-short underperforms long-only (Part II)
  3. Hedging with single-name put options doesn’t work(Part III)
  4. Larger long-only portfolios have smaller drawdowns and better performance than smaller long-only portfolios (Part III)

Conclusion

The way things stand, Momentum is best executed using a broad basket of stocks. There is no mechanical way to maintain a momentum driven derivative portfolio. You can explore long-only equity momentum here.

Opening Bell 21.05.2015

Your world at 9am

world.2015-05-21

Equities

Major
DAX(DEU) -0.04%
CAC(FRA) +0.31%
UKX(GBR) +0.17%
NKY(JPN) +0.46%
SPX(USA) -0.09%
MINTs
JCI(IDN) -0.09%
INMEX(MEX) -0.15%
NGSEINDX(NGA) -0.50%
XU030(TUR) -1.08%
BRICS
IBOV(BRA) -1.08%
SHCOMP(CHN) +0.87%
NIFTY(IND) +0.69%
INDEXCF(RUS) -1.36%
TOP40(ZAF) -0.31%

Commodities

Energy
WTI Crude Oil +0.17%
Ethanol +0.25%
RBOB Gasoline -0.30%
Natural Gas +0.62%
Brent Crude Oil +0.28%
Heating Oil +0.14%
Metals
Copper +0.56%
Silver 5000oz +0.00%
Gold 100oz +0.00%
Palladium +0.09%
Platinum +0.04%

Currencies

USDEUR:-0.24% USDJPY:-0.13%

MINTs
USDIDR(IDN) -0.17%
USDMXN(MEX) -0.08%
USDNGN(NGA) +0.00%
USDTRY(TUR) -0.03%
BRICS
USDBRL(BRA) -1.17%
USDCNY(CHN) -0.02%
USDINR(IND) +0.24%
USDRUB(RUS) +0.06%
USDZAR(ZAF) +0.03%
Agricultural
Coffee (Arabica) -2.68%
Coffee (Robusta) +0.00%
Cotton +0.05%
Lumber +0.59%
Orange Juice +1.76%
Wheat +0.10%
White Sugar +0.00%
Cocoa +0.00%
Corn +0.63%
Feeder Cattle +0.00%
Cattle +0.00%
Lean Hogs +0.00%
Soybean Meal +0.26%
Soybeans +0.24%
Sugar #11 -1.87%

Credit Indices

Index Change
Markit CDX EM -0.19%
Markit CDX NA HY -0.03%
Markit CDX NA IG +0.36%
Markit iTraxx Asia ex-Japan IG -0.35%
Markit iTraxx Australia +0.25%
Markit iTraxx Europe -1.05%
Markit iTraxx Europe Crossover -5.56%
Markit iTraxx Japan -0.22%
Markit iTraxx SovX Western Europe -0.03%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +1.26%
Is Thursday correction day?

Must reads

We now have a committee to look into the MAT issue. Wonderful. (BT)

Your take-home salary is set to see a sharp cut with a labour ministry proposal to include house rent, gratuity, traveling and other allowances as part of the “contributing wages” on which provident fund would be deducted. (IE)

Airtel had one look at what happened to American telcos once they became a “dumb pipe” and decided that Zero is worth the (small) backlash. (LiveMint) BHARTIARTL 393.15 -3.30 (-0.83%)

Good luck!

Options Daily 21.05.2015

Summary: May NIFTY 8800 calls added 175,925 contracts while 8300 calls shed 496,100. On the Put side of the equation, the 8400 strike added 1,149,175 while the 8000’s shed 377,825.

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

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

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