Category: Your Money

Options Daily 22.06.2018

NIFTY Summary:

  1. Jun 10800 calls added 6,96,075 contracts.
  2. Jun 11100 calls shed 2,60,775.
  3. Jun 10450 puts added 1,06,725.
  4. Jun 10700 puts shed 5,29,575.
Avg. True Range

NIFTY.50 NIFTY.BANK
3 77.99 236.19
5 79.54 245.61
10 86.68 284.18
20 94.33 323.57

NIFTY 50 NIFTY BANK
TrueRange 83.70 228.00
TrueHigh 10809.60 26682.95
TrueLow 10725.90 26454.95

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN 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(2,2)+GARCH(1,1) model:

VIX 12.47 12.55 12.58 12.66 12.70
σ 0.58 0.62 0.65 0.67 0.68

Marketwide OI

Securities under ban today: CGPOWER, DHFL, INFIBEAM, JPASSOCIAT.
market wide position limit chart

FRED Scan 22.06.2018

Total Value of Issues, with a Maturity Between 5 and 9 Days, Used in Calculating the AA Nonfinancial Commercial Paper Rates

Total Value of Issues, with a Maturity Between 5 and 9 Days, Used in Calculating the AA Nonfinancial Commercial Paper Rates

ICE BofAML Financial Emerging Markets Corporate Plus Sub-Index Option-Adjusted Spread

ICE BofAML Financial Emerging Markets Corporate Plus Sub-Index Option-Adjusted Spread

Federal Funds Target Range – Upper Limit

Federal Funds Target Range - Upper Limit

Bank Prime Loan Rate

Bank Prime Loan Rate

Opening Bell 21.06.2018

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.14%
CAC(FRA) -0.34%
UKX(GBR) +0.31%
NKY(JPN) +0.79%
SPX(USA) +0.17%
MINTs
JCI(IDN) +0.19%
INMEX(MEX) +0.64%
NGSEINDX(NGA) -0.17%
XU030(TUR) +0.04%
BRICS
IBOV(BRA) +1.02%
SHCOMP(CHN) +0.12%
NIFTY(IND) +0.58%
INDEXCF(RUS) -0.01%
TOP40(ZAF) +0.75%

Commodities

Energy
Ethanol +0.00%
Heating Oil +0.08%
Natural Gas +0.20%
Brent Crude Oil -0.28%
WTI Crude Oil -0.09%
RBOB Gasoline +0.00%
Metals
Gold 100oz +0.00%
Platinum -1.01%
Copper +0.00%
Palladium +0.21%
Silver 5000oz +0.00%

Currencies

USDEUR:+0.12% USDJPY:+0.21%

MINTs
USDIDR(IDN) +0.00%
USDMXN(MEX) +0.11%
USDNGN(NGA) -0.01%
USDTRY(TUR) +0.42%
BRICS
USDBRL(BRA) +0.69%
USDCNY(CHN) +0.28%
USDINR(IND) +0.17%
USDRUB(RUS) +0.15%
USDZAR(ZAF) -0.01%
Agricultural
Coffee (Arabica) +0.00%
Orange Juice +0.00%
Soybean Meal -0.12%
Sugar #11 +0.00%
Cocoa +0.00%
Cotton +0.28%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.00%
Soybeans -0.53%
Wheat -0.56%
White Sugar +0.00%
Cattle +0.00%
Coffee (Robusta) +0.00%
Corn -0.71%

Out of 43 world ETFs listed in NYSE that we track, 4 are trading above their 10-day SMA and 7 are trading above their 50-day SMA.

Must Reads

Powerless Placebos
The most important study on the placebo effect is Hróbjartsson and Gøtzsche’s Is The Placebo Powerless?, updated three years later by a systematic review and seven years later with a Cochrane review.

Lessons from a momentum fund manager
In the 1980s, Gerald Tsai was out on a boating and fishing weekend with his son Christopher. In the midst of a conversation about Wall Street and investing, the elder Tsai told his son to throw a cup of water into the wind.

G.E. Dropped From the Dow After More Than a Century
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Lavasa, a billionaire’s dream project, becomes a nightmare for bankers
Lavasa was conceived by Hindustan Construction Company chief Ajit Gulabchand as India’s first private hill city in 2000. Photo: Bloomberg Mumbai: This onetime hilltop paradise is becoming for some a hell on earth. The days of zero crime are over.

The ghost societies of Greater Noida
Time has stood still for the ghost housing societies of Greater Noida.

Hunting for Alpha
Imagine there is a small-cap company listed in London, Frankfurt or New York.

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

Good luck!

FRED Scan 21.06.2018

ICE BofAML High Yield US Emerging Markets Liquid Corporate Plus Sub-Index Total Return Index Value

ICE BofAML High Yield US Emerging Markets Liquid Corporate Plus Sub-Index Total Return Index Value

ICE BofAML High Yield US Emerging Markets Liquid Corporate Plus Sub-Index Option-Adjusted Spread

ICE BofAML High Yield US Emerging Markets Liquid Corporate Plus Sub-Index Option-Adjusted Spread

Federal Funds Target Range – Upper Limit

Federal Funds Target Range - Upper Limit

Bank Prime Loan Rate

Bank Prime Loan Rate

Opening Bell 20.06.2018

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -1.22%
CAC(FRA) -1.10%
UKX(GBR) -0.36%
NKY(JPN) +0.04%
SPX(USA) -0.40%
MINTs
JCI(IDN) -2.22%
INMEX(MEX) -0.26%
NGSEINDX(NGA) -0.67%
XU030(TUR) +1.61%
BRICS
IBOV(BRA) +2.26%
SHCOMP(CHN) -1.09%
NIFTY(IND) -0.83%
INDEXCF(RUS) -0.01%
TOP40(ZAF) -1.93%

Commodities

Energy
Brent Crude Oil +0.29%
Ethanol +0.00%
Heating Oil +0.07%
Natural Gas +0.48%
RBOB Gasoline -0.09%
WTI Crude Oil +0.45%
Metals
Silver 5000oz +0.00%
Platinum -0.36%
Copper +0.00%
Palladium +0.37%
Gold 100oz -0.09%

Currencies

USDEUR:+0.09% USDJPY:+0.05%

MINTs
USDIDR(IDN) +0.00%
USDMXN(MEX) -0.02%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.16%
BRICS
USDBRL(BRA) +0.05%
USDCNY(CHN) -0.12%
USDINR(IND) +0.58%
USDRUB(RUS) -0.06%
USDZAR(ZAF) -0.20%
Agricultural
Coffee (Robusta) +0.00%
Sugar #11 +0.00%
Cotton +1.50%
Feeder Cattle +0.00%
Lean Hogs +0.00%
White Sugar +0.00%
Coffee (Arabica) +0.00%
Orange Juice +0.00%
Wheat +0.73%
Cattle +0.00%
Cocoa +0.00%
Corn +0.07%
Lumber +0.00%
Soybean Meal -0.03%
Soybeans +0.11%

Out of 43 world ETFs listed in NYSE that we track, 2 are trading above their 10-day SMA and 4 are trading above their 50-day SMA.

Must Reads

Paul Tudor Jones warns the next recession will be ‘really frightening’
Legendary global macro trader Paul Tudor Jones is warning that asset prices are too high. And furthermore, he’s concerned about what the next recession might look like.

From rust belt to robot belt: Turning AI into jobs in the US heartland
The vast vacant lot along the Monongahela River has been a scar from Pittsburgh’s industrial past for decades. It was once the site of the Jones and Laughlin steelworks, one of the largest such facilities in the city back when steel was the dominant industry there.

India’s Subprime Mortgage Mania Can Quickly Turn To Panic
However, while Dewan itself is rated highly locally, some of the newer players are not. Also, the preferred risk-sharing mode for affordable mortgage loans is not pass-through certificates but bilateral deals, for which data is also not publicly available.

Inferring the Statistics of Buffett’s Alpha
This post is available as a PDF download here. When an event with the smallest odds meets a long enough horizon, or large enough sample size, the occurrence becomes a near certainty.

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

Good luck!