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

Total Returns

Price vs. Total Return indices

Investors often use the NIFTY 50 index as a benchmark while comparing investments. It is probably fair if you are making price comparisons. However, investment vehicles like mutual funds reinvest the dividends that they get on their holdings. So a more appropriate benchmark there is the NIFTY Total Return (NIFTY 50 TR) index.

The NIFTY 50 TR index is an index with the same constituents as the NIFTY 50 but with dividends reinvested back into the index.

total returns index equation

The Dividend Impact on Returns

To give you an idea of how dividends impact long-term returns, here’s a cumulative wealth chart of the NIFTY 50 TR Index vs. the Nifty 50 (Price) Index:

nifty-tr-returns

From the beginning of the year 2000 through to the end of August-2016, the Total Return was roughly 6x while the Price return was 4.5x. Here is how dividend reinvestment has boosted returns through the years:

nifty-dividend-returns

A 1.6% dividend boost sounds trivial until you look at the cumulative effect of it over the years.

Should benchmarks be handicapped?

When you see mutual fund returns compared with “price” indices (all NIFTY indices are price indices unless they are explicitly mentioned to be total return,) you should handicap those returns by ~1.5-2% every year to get an idea of whether the fund actually outperformed the index.

It is tragic that the NSE has maintained a total return index only for the NIFTY 50. With the rising popularity of other asset classes and strategies, it makes sense to provide a Total Return index for every Price index that they publish. We briefly touched upon this while we looked at the MNC asset class. The NIFTY MNC Index, being a price index, missed a lot of performance information. We had to compare an MNC Fund to another Midcap Fund to get a better idea of relative performance. (Read the whole thing here: The MNC Fund Gravy Train, Part II)

Code for the above charts are on Github

Opening Bell 23.09.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +2.28%
CAC(FRA) +2.27%
UKX(GBR) +1.12%
NKY(JPN) -0.12%
SPX(USA) +0.65%
MINTs
JCI(IDN) -0.05%
INMEX(MEX) +2.37%
NGSEINDX(NGA) -0.17%
XU030(TUR) +2.61%
BRICS
IBOV(BRA) +1.03%
SHCOMP(CHN) -0.15%
NIFTY(IND) +1.03%
INDEXCF(RUS) +1.38%
TOP40(ZAF) +2.31%

Commodities

Energy
Brent Crude Oil -0.80%
Heating Oil -0.60%
WTI Crude Oil -1.10%
Ethanol +0.00%
Natural Gas +0.17%
RBOB Gasoline -1.48%
Metals
Copper +0.00%
Gold 100oz +0.00%
Palladium -1.32%
Platinum -0.53%
Silver 5000oz +0.00%

Currencies

USDEUR:+0.09% USDJPY:+0.41%

MINTs
USDIDR(IDN) +0.05%
USDMXN(MEX) +0.30%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.09%
BRICS
USDBRL(BRA) +0.43%
USDCNY(CHN) +0.08%
USDINR(IND) -0.53%
USDRUB(RUS) +0.22%
USDZAR(ZAF) +0.12%
Agricultural
Cocoa +0.00%
Lean Hogs +0.00%
Orange Juice +0.00%
Wheat -0.43%
Corn -0.45%
Cotton -0.65%
Lumber +0.00%
Sugar #11 +0.00%
Cattle +0.00%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
White Sugar +0.00%
Coffee (Arabica) +0.00%
Soybean Meal -0.39%
Soybeans -0.54%

Out of 42 world ETFs listed in NYSE that we track, 40 are trading above their 10-day SMA and 34 are trading above their 50-day SMA.

Must Reads

After Uri strike, India must impose measured costs on terror exporters
From Atal Bihari Vajpayee’s Lahore Declaration to Manmohan Singh’s peace-at-any-price doctrine and Narendra Modi’s Lahore visit statement, India’s readiness to trust Pakistan’s anti-terrorism assurances draws attention to the adage: Fool me once, shame on you. Fool me twice, shame on me.

How Twitter is helping India reboot public services, publicly
Raheel Khursheed is full of beans. We are meeting him in a cafe in Khan Market, Lutyens Delhi’s fashionable high street hangout, and it isn’t just the black coffee that has the Twitter India head of news, politics and government all excited.

Hedge-Fund Son Thought Hedge-Fund Dad’s Trades Were Pretty Fishy
On July 28, 2010, at approximately 6:59 a.m. EDT, APL publicly announced for the first time that it was selling Elk City for $682 million. As a result, on that day, APL’ s stock price increased approximately 31% and other APL-related securities greatly increased in value.

How to not spend it
TWO decades after Norway’s government paid a first deposit into its sovereign-wealth fund, the country is learning how to manage a behemoth.

Oil bet gone wrong: rusting tankers and rigs clog up Asian waters
JOHOR, Malaysia Some 15 km (9 miles) from the bustling port of Singapore,a rusting tanker as big as the world’s largest aircraft carriers lies idle in a muddy estuary flanked by mangrove trees on the coast of southern Malaysia.

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

Good luck!