Opening Bell 06.05.2016

Your world at 9am

world.2016-05-06

Equities

Major
DAX(DEU) +0.24%
CAC(FRA) -0.11%
UKX(GBR) +0.09%
NKY(JPN) -0.88%
SPX(USA) -0.02%
MINTs
JCI(IDN) +0.21%
INMEX(MEX) -0.44%
NGSEINDX(NGA) -0.59%
XU030(TUR) -0.98%
BRICS
IBOV(BRA) -1.68%
SHCOMP(CHN) -0.13%
NIFTY(IND) +0.38%
INDEXCF(RUS) -0.99%
TOP40(ZAF) +0.14%

Commodities

Energy
Heating Oil -0.33%
Brent Crude Oil -0.49%
Ethanol +0.00%
RBOB Gasoline -0.25%
Natural Gas +0.39%
WTI Crude Oil -0.47%
Metals
Platinum +0.33%
Copper -0.05%
Gold 100oz +0.46%
Palladium +0.23%
Silver 5000oz +0.00%

Currencies

USDEUR:+0.00% USDJPY:-0.13%

MINTs
USDIDR(IDN) +0.07%
USDMXN(MEX) +0.14%
USDNGN(NGA) +0.08%
USDTRY(TUR) +0.17%
BRICS
USDBRL(BRA) -0.40%
USDCNY(CHN) -0.07%
USDINR(IND) +0.00%
USDRUB(RUS) -0.04%
USDZAR(ZAF) +0.19%
Agricultural
Wheat +0.11%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Soybean Meal +0.00%
White Sugar +0.00%
Cattle +0.00%
Corn +0.34%
Lumber +0.00%
Orange Juice +0.00%
Soybeans +0.20%
Sugar #11 +0.00%
Cocoa +0.00%
Cotton +0.00%

Credit Indices

Index Change
Markit CDX EM -0.24%
Markit CDX NA HY -0.35%
Markit CDX NA IG +2.04%
Markit iTraxx Asia ex-Japan IG +2.49%
Markit iTraxx Australia +1.92%
Markit iTraxx Europe +2.51%
Markit iTraxx Europe Crossover +7.77%
Markit iTraxx Japan +0.00%
Markit MCDX (Municipal CDS) -1.83%
Out of 42 world ETFs listed in NYSE that we track, 4 are trading above their 10-day SMA and 22 are trading above their 50-day SMA. Also, there were 17 sigma events over the last 24 hours. Details here.

Must reads

Bank licenses to be available on-tap. (LiveMint, #regulation)

Bankruptcy code bill passed in LS. (FP, DNA)

Ranbaxy’s Singh brothers told to pay Rs 2,562 crore fine to Daiichi. (BS)

Weekly Options contracts on BANKNIFTY Index shall be made available for trading from May 27, 2016. (NSE)

Sentient Technologies, an artificial intelligence company, plans to open its experimental hedge fund using “evolutionary” algorithmic trading to outside investors as early as this year. (FT)

Good luck and have a nice weekend!

Options Daily 06.05.2016

NIFTY Summary:

  1. May 7900 calls added 6,42,525 contracts.
  2. May 8000 calls shed 1,95,300.
  3. May 7000 puts added 3,34,725.
  4. May 7900 puts shed 1,33,050.

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.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(1,2)+GARCH(1,1) model:

VIX 17.24 17.34 17.40 17.46 17.52
σ 0.75 0.81 0.85 0.89 0.93

2016-05-05 Implied Volatility Record

https://www.youtube.com/watch?v=CadtOjoFsRU

Opening Bell 05.05.2016

Your world at 9am

world.2016-05-05

Equities

Major
DAX(DEU) -0.99%
CAC(FRA) -1.09%
UKX(GBR) -1.19%
NKY(JPN) -3.11%
SPX(USA) -0.59%
MINTs
JCI(IDN) +0.21%
INMEX(MEX) -0.73%
NGSEINDX(NGA) -0.58%
XU030(TUR) -2.14%
BRICS
IBOV(BRA) +0.56%
SHCOMP(CHN) -0.47%
NIFTY(IND) -0.52%
INDEXCF(RUS) -1.41%
TOP40(ZAF) +0.02%

Commodities

Energy
Heating Oil +1.36%
Brent Crude Oil +1.52%
RBOB Gasoline +1.43%
Ethanol +0.00%
WTI Crude Oil +2.01%
Natural Gas +0.09%
Metals
Gold 100oz +0.68%
Silver 5000oz +0.51%
Palladium +1.27%
Copper +0.00%
Platinum +0.45%

Currencies

USDEUR:+0.01% USDJPY:+0.07%

MINTs
USDIDR(IDN) +0.49%
USDMXN(MEX) -0.41%
USDNGN(NGA) -0.12%
USDTRY(TUR) -0.63%
BRICS
USDBRL(BRA) -0.27%
USDCNY(CHN) -0.11%
USDINR(IND) +0.19%
USDRUB(RUS) -0.16%
USDZAR(ZAF) -0.57%
Agricultural
Cattle +0.00%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Wheat -0.11%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Cotton +0.00%
Sugar #11 +0.00%
Cocoa +0.00%
Corn +0.33%
Lumber +0.00%
Soybean Meal -0.09%
Soybeans -0.02%
Orange Juice +0.00%
White Sugar +0.00%

Credit Indices

Index Change
Markit CDX EM -0.36%
Markit CDX NA HY -0.56%
Markit CDX NA IG +3.39%
Markit iTraxx Asia ex-Japan IG +2.64%
Markit iTraxx Australia +0.67%
Markit iTraxx Europe +2.58%
Markit iTraxx Europe Crossover +9.91%
Markit iTraxx Japan +0.00%
Markit MCDX (Municipal CDS) +0.50%
Out of 42 world ETFs listed in NYSE that we track, 2 are trading above their 10-day SMA and 24 are trading above their 50-day SMA. Also, there were 23 sigma events over the last 24 hours. Details here.

Must reads

The government is considering setting up an independent panel to help state-owned banks negotiate settlements with big businesses on bad loans. (NDTV)

Buybacks >> Dividends. (LiveMint, StockViz)

The robots are out to take the surgeon’s job: a robotic surgical system outperformed humans and robot-assisted human operators in a soft-tissue procedure. (TC)

Technology is making “work” far less labor-intensive, even services jobs. Embrace the helicopter money. It may be the only money you get. (WSJ)

Contrast in EM household savings rates: People in emerging Asia typically saved 41.5% of their income last year while those in Latin America put aside just 17.6%, and sub-Saharan Africans just 13.7%. (FT)

China is so screwed that it has resorted to forcing economists to take a brighter view. (FT, WSJ)

Brazil will have the world’s first sex-themed amusement park, complete with penis-shaped bumper cars, go-go dancers aboard a “train of pleasure,” and a movie theater with vibrating seats. (NYP)

Good luck!

Options Daily 05.05.2016

NIFTY Summary:

  1. May 8100 calls added 9,22,050 contracts.
  2. May 7000 calls shed 1,15,575.
  3. May 7500 puts added 2,86,875.
  4. May 7700 puts shed 4,10,400.

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.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(4,0)+GARCH(1,1) model:

VIX 17.46 17.53 17.58 17.62 17.66
σ 0.73 0.79 0.83 0.87 0.90

2016-05-04 Implied Volatility Record

https://www.youtube.com/watch?v=Kf22nYohWY0

Opening Bell 04.05.2016

Your world at 9am

world.2016-05-04

Equities

Major
DAX(DEU) -1.94%
CAC(FRA) -1.59%
UKX(GBR) -0.90%
NKY(JPN) -3.11%
SPX(USA) -0.87%
MINTs
JCI(IDN) -0.52%
INMEX(MEX) -0.35%
NGSEINDX(NGA) +3.20%
XU030(TUR) -3.30%
BRICS
IBOV(BRA) -2.43%
SHCOMP(CHN) -0.36%
NIFTY(IND) -0.75%
INDEXCF(RUS) -0.85%
TOP40(ZAF) -1.98%

Commodities

Energy
RBOB Gasoline +0.15%
Brent Crude Oil -0.18%
WTI Crude Oil -0.07%
Heating Oil +0.28%
Natural Gas +0.19%
Ethanol +0.00%
Metals
Copper -0.43%
Platinum -0.84%
Gold 100oz -0.67%
Palladium -0.71%
Silver 5000oz -1.28%

Currencies

USDEUR:+0.11% USDJPY:+0.47%

MINTs
USDIDR(IDN) +0.47%
USDMXN(MEX) +0.22%
USDNGN(NGA) -0.04%
USDTRY(TUR) +0.14%
BRICS
USDBRL(BRA) +1.62%
USDCNY(CHN) +0.04%
USDINR(IND) -0.04%
USDRUB(RUS) +0.64%
USDZAR(ZAF) +0.39%
Agricultural
Cattle +0.00%
Orange Juice +0.00%
Soybean Meal -0.65%
Cocoa +0.00%
Cotton +0.00%
Lean Hogs +0.00%
Soybeans -0.51%
Feeder Cattle +0.00%
Sugar #11 +0.00%
Wheat +0.22%
White Sugar +0.00%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Corn -1.26%
Lumber +0.00%

Credit Indices

Index Change
Markit CDX EM +0.08%
Markit CDX NA HY +0.02%
Markit CDX NA IG +0.51%
Markit iTraxx Asia ex-Japan IG +0.00%
Markit iTraxx Australia +0.51%
Markit iTraxx Europe +0.00%
Markit iTraxx Europe Crossover +0.00%
Markit iTraxx Japan +3.80%
Markit MCDX (Municipal CDS) +2.33%
Out of 42 world ETFs listed in NYSE that we track, 2 are trading above their 10-day SMA and 33 are trading above their 50-day SMA. Also, there were 49 sigma events over the last 24 hours. Details here.

Must reads

Efficient functioning and reduction in operational costs has helped national carrier Air India turn from a loss-making airline into an “operational profit unit.” WTF? (NDTV)

Willful defaulters owed the country’s public sector banks a staggering Rs 66,190 crore at the end of 2015, up 138% from the level three years ago. (FE) PSUBNKBEES 0.00 0.00 (0.00%)

IMF: high growth rates are not reducing inequality in India and China. (LiveMint)

Has the US Dollar entered a bear market? (Barrons)

Innovation is an accretive process. At first it is lonely and difficult, then it becomes commonplace. The innovation becomes a background noise, a sort of base level that everyone must rise above to sell product and, in many cases, the base product gets so complex that it becomes the new normal. (TC)

Good luck!