The charts posted earlier makes more sense when seen along with the change in OI. Here are the updated charts:
To be continued…
Author: shyam
I am trying to develop a framework for interpreting open-interest with a goal of attaching a probability distribution to expiry values of the Nifty. The first step is to chart the open interest of the nearest-to-expiry contract to see the market in action.
Friday Nifty OI Charts
Stay tuned…
Equities
The Nifty ended the week -0.54% (-1.01% in USD terms)
| MINTs | |
|---|---|
| JCI(IDN) | -0.21% |
| INMEX(MEX) | -0.56% |
| NGSEINDX(NGA) | -0.03% |
| XU030(TUR) | -1.65% |
| BRICS | |
|---|---|
| IBOV(BRA) | +3.45% |
| SHCOMP(CHN) | +2.01% |
| NIFTY(IND) | -0.54% |
| INDEXCF(RUS) | +1.09% |
| TOP40(ZAF) | +1.95% |
Commodities
| Energy | |
|---|---|
| Brent Crude Oil | +3.58% |
| Ethanol | -0.09% |
| Heating Oil | +4.00% |
| Natural Gas | +1.06% |
| RBOB Gasoline | +4.01% |
| WTI Crude Oil | +4.01% |
| Metals | |
|---|---|
| Copper | -0.98% |
| Gold 100oz | +1.85% |
| Palladium | -3.62% |
| Platinum | -1.21% |
| Silver 5000oz | +2.63% |
Currencies
| MINTs | |
|---|---|
| USDIDR(IDN) | -0.35% |
| USDMXN(MEX) | +0.76% |
| USDNGN(NGA) | -0.38% |
| USDTRY(TUR) | +2.02% |
| BRICS | |
|---|---|
| USDBRL(BRA) | -1.14% |
| USDCNY(CHN) | -0.64% |
| USDINR(IND) | +1.00% |
| USDRUB(RUS) | -0.02% |
| USDZAR(ZAF) | +0.82% |
| Agricultural | |
|---|---|
| Cattle | +4.81% |
| Cocoa | +1.08% |
| Coffee (Arabica) | +1.60% |
| Coffee (Robusta) | +4.04% |
| Corn | -2.14% |
| Cotton | +2.55% |
| Feeder Cattle | +3.65% |
| Lean Hogs | +0.77% |
| Lumber | +1.41% |
| Orange Juice | +1.01% |
| Soybean Meal | -4.22% |
| Soybeans | -2.21% |
| Sugar #11 | +0.24% |
| Wheat | -5.37% |
| White Sugar | +1.04% |
Nifty heatmap
Index Returns
Top winners and losers
While you were not looking, Asian Paints suddenly went from being a laggard to one of the best performers this week.
ETFs
| GOLDBEES | +1.57% |
| NIFTYBEES | +0.28% |
| PSUBNKBEES | -0.88% |
| BANKBEES | -1.58% |
| INFRABEES | -2.05% |
| JUNIORBEES | -2.89% |
A healthy correction or is the Iraq problem going to tip us over?
Investment Theme Performance
| Long Term Equity* | +4.11% |
| Market Elephants | +2.15% |
| Balance-sheet Strength | +1.44% |
| Efficient Growth | +0.91% |
| Enterprise Yield | +0.72% |
| IT 3rd Benchers | +0.50% |
| Momentum 200 | -0.63% |
| Growth with Moat | -0.84% |
| Financial Strength Value | -1.07% |
| Quality to Price | -1.32% |
| Consistent10* | -2.05% |
| Magic Formula Investing | -2.10% |
| Industrial Value | -2.81% |
| Market Fliers | -8.25% |
High beta meltdown and the revenge of a diversified portfolio. In the worlds of Howard Marks: “Almost everything about superior investing is a two edged sword: If you concentrate your portfolio, your mistakes will kill you. If you diversify, the payoff from your successes will be diminished.”
Sector Performance
Why are paper companies rallying?
Yield Curve
Advance Decline
Thought for the weekend
The strategy for winning in tennis is to avoid mistakes. The way to avoid mistakes is to be conservative and keep the ball in play, letting the other fellow have plenty of room in which to blunder his way to defeat, because he, being an amateur will play a losing game and not know it.
Source: Avoiding Stupidity is Easier than Seeking Brilliance
The 10yr yield has been a one way trade ever since the Modi effect took hold.
The curve has become flatter as well, with the 2s10s going back to 0.2 levels.
The entire curve has shifted down a few notches to make way for Modi. The curve above shows 2013-09-02 vs. 2014-06-11.
Stay updated on the latest news related to Indian interest rates here. Its curated.
During our back-testing for pair trading strategies, we found that we were most comfortable in going long the spread (when the spread is below its historical average) and betting on pairs within the same index. We have bundled all the assumptions into an easy to use pair trading “tip-sheet” that can be found here.
The pairs are computed at the end-of-day and live pair status is computed roughly once an hour. The p-value, beta and spread display both end-of-day data and live status side-by-side so that you can decide for yourself if going long the pair makes sense or not.
It is still rough around the edges – you cannot really add a pair to your portfolio and track like you can do with option strategies. But once it is fleshed out, it will be available exclusively to your trading/demat customers.
Pair trading equity futures is not for the faint of heart. The capital at risk is bigger than what most individual investors can stomach. But when done right, the returns are commensurate with the risks.