Opening Bell 27.09.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -2.19%
CAC(FRA) -1.80%
UKX(GBR) -1.32%
NKY(JPN) -0.33%
SPX(USA) -0.86%
MINTs
JCI(IDN) -0.87%
INMEX(MEX) -1.03%
NGSEINDX(NGA) +0.06%
XU030(TUR) -3.92%
BRICS
IBOV(BRA) -1.10%
SHCOMP(CHN) -0.01%
NIFTY(IND) -1.23%
INDEXCF(RUS) -0.69%
TOP40(ZAF) -1.05%

Commodities

Energy
Ethanol +0.00%
Heating Oil -0.25%
RBOB Gasoline -0.21%
WTI Crude Oil -0.13%
Brent Crude Oil -0.32%
Natural Gas +0.57%
Metals
Gold 100oz +0.00%
Palladium +0.04%
Platinum -0.04%
Silver 5000oz +0.00%
Copper -0.73%

Currencies

USDEUR:+0.07% USDJPY:+0.39%

MINTs
USDIDR(IDN) -0.94%
USDMXN(MEX) -1.72%
USDNGN(NGA) +0.24%
USDTRY(TUR) -0.10%
BRICS
USDBRL(BRA) -0.05%
USDCNY(CHN) +0.01%
USDINR(IND) -0.06%
USDRUB(RUS) -0.14%
USDZAR(ZAF) -0.44%
Agricultural
Cocoa +0.00%
Corn +0.00%
Orange Juice +0.00%
Soybean Meal +0.47%
Soybeans +0.29%
Sugar #11 +0.00%
Wheat +0.25%
White Sugar +0.00%
Cattle +0.00%
Coffee (Arabica) +0.00%
Cotton +0.00%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.00%

Out of 42 world ETFs listed in NYSE that we track, 28 are trading above their 10-day SMA and 18 are trading above their 50-day SMA.

Must Reads

Indus Water Treaty explained
The Indus Water Treaty (IWT) is a water sharing arrangement, signed in Karachi on September 19, 1960, by then Prime Minster Jawaharlal Nehru and Pakistan’s President General Ayub Khan.

Walmart, Flipkart may gang up on Amazon
NEW DELHI: The world’s biggest retailer Walmart Stores Inc is exploring an equity partnership with Flipkart to take on common rival Amazon in India, two persons directly aware of the development said.

Comments on investment philosophy – part one of hopefully a few…
This is the first of several investment think pieces I have in my head dealing with investment philosophy, where markets are now and maybe even a stock or two… They are surprisingly hard to write so these posts might come slowly…

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

Good luck!

Options Daily 27.09.2016

NIFTY Summary:

  1. Oct 9000 calls added 4,94,400 contracts.
  2. Oct 9300 calls shed 56,475.
  3. Oct 8700 puts added 4,53,750.
  4. Sep 8800 puts shed 13,93,275.

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

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP BANKNIFTY Volatility chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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(0,2)+GARCH(1,1) model:

VIX 16.10 16.61 16.72 16.72 16.72
σ 1.27 1.31 1.34 1.37 1.41

Marketwide OI

Securities under ban today: CEATLTD, DLF, HDIL, IBREALEST, IDBI, JETAIRWAYS, JINDALSTEL, JISLJALEQS, RCOM, RELCAPITAL, WOCKPHARMA.
market wide position limit chart

Opening Bell 26.09.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.44%
CAC(FRA) -0.47%
UKX(GBR) -0.03%
NKY(JPN) -0.84%
SPX(USA) -0.57%
MINTs
JCI(IDN) -0.42%
INMEX(MEX) -0.66%
NGSEINDX(NGA) +0.29%
XU030(TUR) -0.14%
BRICS
IBOV(BRA) -0.50%
SHCOMP(CHN) -0.64%
NIFTY(IND) -0.40%
INDEXCF(RUS) -0.67%
TOP40(ZAF) +0.29%

Commodities

Energy
Brent Crude Oil +0.85%
WTI Crude Oil +0.74%
Ethanol -0.19%
Natural Gas +0.68%
RBOB Gasoline +0.62%
Heating Oil +0.55%
Metals
Gold 100oz +0.00%
Palladium -1.56%
Copper +0.00%
Platinum -1.24%
Silver 5000oz -0.88%

Currencies

USDEUR:-0.04% USDJPY:-0.07%

MINTs
USDIDR(IDN) -0.02%
USDMXN(MEX) +0.37%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.74%
BRICS
USDBRL(BRA) +0.73%
USDCNY(CHN) +0.01%
USDINR(IND) -0.01%
USDRUB(RUS) +0.08%
USDZAR(ZAF) +0.26%
Agricultural
Cocoa +0.00%
Coffee (Arabica) -1.97%
Orange Juice -0.20%
Soybean Meal +0.20%
Soybeans +0.34%
Sugar #11 +0.45%
Wheat +0.43%
Corn -0.15%
Feeder Cattle -0.09%
Lean Hogs -0.05%
Lumber +0.68%
Cattle +0.54%
Coffee (Robusta) +0.00%
Cotton +0.00%
White Sugar +0.00%

Out of 42 world ETFs listed in NYSE that we track, 38 are trading above their 10-day SMA and 29 are trading above their 50-day SMA.

Must Reads

Income inequality is cyclical
For the past 30 years or so, income inequality has been on the rise across the globe. It has increased in the United States, China, Russia — even in Sweden and Finland, long thought to be paragons of equality.

Mukesh Ambani’s Reliance Jio charges mobile association COAI with bias, wants charter overhauled
KOLKATA: Mukesh Ambani’s Reliance Jio Infocomm has lashed out against the style of functioning of the Cellular Operators Association of India (COAI), and demanded a comprehensive overhaul of the GSM industry body’s rules, regulations and processes.

Mistry’s elephant
CHIEF executives in the West share some familiar gripes: quarterly-results-obsessed analysts who make it impossible to think about the long term; activists pressing for change before investments come to fruition; and sluggish economic growth.

Religion in US ‘worth more than Google and Apple combined’
Religion in the United States is worth $1.2tn a year, making it equivalent to the 15th largest national economy in the world, according to a study.

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

Good luck!

Options Daily 26.09.2016

NIFTY Summary:

  1. Oct 9000 calls added 2,93,625 contracts.
  2. Oct 9500 calls shed 38,550.
  3. Oct 8600 puts added 2,74,350.
  4. Oct 8100 puts shed 22,425.

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

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP BANKNIFTY Volatility chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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(0,0)+GARCH(1,1) model:

VIX 17.44 17.44 17.44 17.44 17.44
σ 4.36 4.53 4.68 4.84 4.99

Marketwide OI

Securities under ban today: CEATLTD, DLF, HDIL, IBREALEST, IDBI, JINDALSTEL, RELCAPITAL, WOCKPHARMA.
market wide position limit chart

Options Weekly 24.09.2016

Summary: Sep NIFTY 9000 calls added 14,50,950 contracts while 8800 calls shed 14,95,650. On the Put side of the equation, the 8800 strike added 23,39,250 while the 8700’s shed 11,47,275.

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot