Category: Your Money

Theme Recap 13.04.2019

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 13.04.2019

Summary: Apr NIFTY 11700 calls added 15,69,525 contracts while 11700 calls shed 1,75,575. On the Put side of the equation, the 11600 strike added 15,51,750 while the 11100’s shed 24,000.

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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 12.04.2019

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.25%
CAC(FRA) +0.66%
UKX(GBR) -0.05%
NKY(JPN) +0.60%
SPX(USA) +0.00%
MINTs
JCI(IDN) +0.06%
INMEX(MEX) -0.97%
NGSEINDX(NGA) +0.50%
XU030(TUR) -1.06%
BRICS
IBOV(BRA) -1.25%
SHCOMP(CHN) -0.20%
NIFTY(IND) +0.11%
INDEXCF(RUS) -0.01%
TOP40(ZAF) -0.42%

Commodities

Energy
Brent Crude Oil +0.28%
Heating Oil +0.25%
Natural Gas +0.41%
RBOB Gasoline +0.25%
Ethanol +0.00%
WTI Crude Oil +0.35%
Metals
Silver 5000oz +0.00%
Copper +0.00%
Palladium +0.87%
Gold 100oz +0.00%
Platinum +0.56%

Currencies

USDEUR:-0.30% USDJPY:+0.08%

MINTs
USDIDR(IDN) +0.07%
USDMXN(MEX) -0.13%
USDNGN(NGA) +0.21%
USDTRY(TUR) +0.10%
BRICS
USDBRL(BRA) +0.92%
USDCNY(CHN) +0.01%
USDINR(IND) +0.17%
USDRUB(RUS) -0.07%
USDZAR(ZAF) -0.16%
Agricultural
Coffee (Robusta) +0.00%
Corn -0.07%
Cotton +0.30%
White Sugar +0.00%
Wheat +0.33%
Cattle +0.00%
Lean Hogs +0.00%
Orange Juice +0.00%
Sugar #11 +0.00%
Cocoa +0.00%
Coffee (Arabica) +0.00%
Feeder Cattle +0.00%
Lumber +0.00%
Soybean Meal -0.03%
Soybeans -0.06%

Out of 43 world ETFs listed in NYSE that we track, 35 are trading above their 10-day SMA and 37 are trading above their 50-day SMA.

Must Reads

The Life Cycle of Wealth
In his book The Ages of the Investor, William Bernstein describes a mythical employer named Uncle Fred who offers investors a retirement savings scheme determined by the flip of the coin. One side of the coin results in a +30% annual gain while the other side gives you a -10% loss in a given year.

Quantitative Investment Research
Mud, Muscle, and Markets | Quantitative long-term Investment Research based on Machine Learning

Why India is one of world’s most protectionist countries
The world’s largest democratic exercise begins today. Nine hundred million Indians are registered to vote in general elections taking place over the next five weeks. Much is at stake.

ATF burden clips Indian carriers’ wings
The profits of most Indian carriers have been squeezed over the past year, and Jet Airways has faced a near-collapse over the past few months.

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

Good luck!

Options Daily 12.04.2019

NIFTY Summary:

  1. Apr 12500 calls added 7,61,250 contracts.
  2. Apr 12150 calls shed 75.
  3. Apr 11000 puts added 7,01,100.
  4. Apr 11600 puts shed 9,17,925.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 95.82 355.46
5 102.90 385.17
10 106.45 396.35
20 106.55 390.38

NIFTY 50 NIFTY BANK
TrueRange 56.15 212.00
TrueHigh 11606.70 29852.25
TrueLow 11550.55 29640.25

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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(1,3)+GARCH(1,1) model:

VIX 20.85 20.75 20.74 20.74 20.73
σ 0.73 0.73 0.73 0.73 0.73

Marketwide OI

Securities under ban today: DHFL, DLF, IDBI, JETAIRWAYS, PCJEWELLER, RPOWER, WOCKPHARMA.
market wide position limit chart