Opening Bell 29.05.2017

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.15%
CAC(FRA) -0.01%
UKX(GBR) +0.40%
NKY(JPN) +0.16%
SPX(USA) +0.03%
MINTs
JCI(IDN) -0.01%
INMEX(MEX) +0.63%
NGSEINDX(NGA) +2.10%
XU030(TUR) -0.23%
BRICS
IBOV(BRA) +1.36%
SHCOMP(CHN) +0.07%
NIFTY(IND) +0.90%
INDEXCF(RUS) -0.67%
TOP40(ZAF) -0.08%

Commodities

Energy
Heating Oil -0.15%
Natural Gas -2.18%
RBOB Gasoline -0.36%
Ethanol +1.60%
Brent Crude Oil -0.17%
WTI Crude Oil -0.24%
Metals
Copper -1.16%
Silver 5000oz +0.44%
Gold 100oz -0.16%
Palladium +0.67%
Platinum -0.02%

Currencies

USDEUR:+0.15% USDJPY:+0.04%

MINTs
USDIDR(IDN) +0.13%
USDMXN(MEX) -0.02%
USDNGN(NGA) +0.40%
USDTRY(TUR) -0.06%
BRICS
USDBRL(BRA) -0.46%
USDCNY(CHN) -0.19%
USDINR(IND) -0.27%
USDRUB(RUS) +0.37%
USDZAR(ZAF) -0.33%
Agricultural
Feeder Cattle -2.60%
Lumber +0.57%
Soybeans -1.33%
Cocoa +0.00%
Corn +1.22%
Soybean Meal -1.05%
White Sugar +0.00%
Coffee (Arabica) +1.35%
Cotton -0.01%
Lean Hogs +1.14%
Sugar #11 -3.96%
Wheat +0.00%
Cattle -1.05%
Coffee (Robusta) +0.00%
Orange Juice +2.24%

Must Reads

A bleak outlook
In March 1946, a three-man ‘Cabinet Mission’ arrived from England to seek to transfer power from British to Indian hands. They invited Mahatma Gandhi to come from Sevagram to meet them. Gandhi’s old patron and disciple, G.D. Birla, wanted to host him at his capacious house in the heart of New Delhi.

Govt willing to completely exit debt-plagued Air India: FM Jaitley
He said Air India has a thin market share but a massive debt overhang of Rs 50,000 crore. According to Directorate General of Civil Aviation, by December 2016, Air India’s domestic market share measured by the total number of passenger seats sold has dropped to 14.

Teenagers Everywhere Don’t Understand Money
You’re living in Zedland. Which is a better deal at the local market, loose tomatoes for 2.75 zeds per kilogram, or 22 zeds for a 10-kg box? Before you answer, rest assured that there is no Zedland and no currency called the zed.

Mossberg: The Disappearing Computer
Welcome to Mossberg, a weekly commentary and reviews column on The Verge and Recode by veteran tech journalist Walt Mossberg, now an Executive Editor at The Verge and Editor at Large of Recode.

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

Good luck!

Options Daily 29.05.2017

NIFTY Summary:

  1. Jun 9800 calls added 5,44,800 contracts.
  2. Jun 9400 calls shed 2,29,200.
  3. Jun 9500 puts added 15,22,275.
  4. Jun 9000 puts shed 1,98,975.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 109.94 372.85
5 98.96 332.48
10 86.16 292.96
20 78.15 273.30

NIFTY 50 NIFTY BANK
TrueRange 109.50 316.00
TrueHigh 9604.90 23408.35
TrueLow 9495.40 23092.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 109.94 372.85
5 98.96 332.48
10 86.16 292.96
20 78.15 273.30

NIFTY 50 NIFTY BANK
TrueRange 109.50 316.00
TrueHigh 9604.90 23408.35
TrueLow 9495.40 23092.35

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(0,3)+GARCH(1,1) model:

VIX 12.37 14.53 16.21 16.57 16.57
σ 1.96 1.98 2.01 2.03 2.05

2017-05-26 Implied Volatility Record

https://www.youtube.com/watch?v=Zmw34g1aoH0

Marketwide OI

market wide position limit chart

Options Weekly 27.05.2017

Summary: Jun NIFTY 9600 calls added 22,26,225 contracts while 9400 calls shed 2,29,200. On the Put side of the equation, the 9400 strike added 34,11,675 while the 8800’s shed 2,15,250.

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI 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

Opening Bell 26.05.2017

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.17%
CAC(FRA) -0.08%
UKX(GBR) +0.04%
NKY(JPN) -0.26%
SPX(USA) +0.44%
MINTs
JCI(IDN) +0.38%
INMEX(MEX) -0.19%
NGSEINDX(NGA) +0.64%
XU030(TUR) -0.73%
BRICS
IBOV(BRA) -0.05%
SHCOMP(CHN) -0.07%
NIFTY(IND) +1.59%
INDEXCF(RUS) -0.24%
TOP40(ZAF) -0.52%

Commodities

Energy
Natural Gas +0.41%
WTI Crude Oil -0.51%
Ethanol +0.00%
Brent Crude Oil -0.39%
Heating Oil -0.37%
RBOB Gasoline +0.30%
Metals
Copper +0.00%
Palladium -0.14%
Gold 100oz +0.00%
Silver 5000oz -0.30%
Platinum -0.18%

Currencies

USDEUR:+0.07% USDJPY:-0.21%

MINTs
USDIDR(IDN) +0.11%
USDMXN(MEX) +0.05%
USDNGN(NGA) +2.98%
USDTRY(TUR) +0.19%
BRICS
USDBRL(BRA) -0.07%
USDCNY(CHN) -0.16%
USDINR(IND) -0.09%
USDRUB(RUS) -0.35%
USDZAR(ZAF) +0.15%
Agricultural
Cocoa +0.00%
Corn -0.07%
Wheat -0.06%
Cattle +0.00%
Coffee (Robusta) +0.00%
Cotton +0.39%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Soybeans -0.37%
Lumber +0.00%
Orange Juice +0.00%
Soybean Meal -0.23%
White Sugar +0.00%
Coffee (Arabica) +0.00%
Sugar #11 +0.00%

Must Reads

Jeff Immelt’s record shows the pitfalls of capital allocation
BOSSES come in all shapes and sizes. One way to categorise them is to split them into two types: polishers and pickers. Polishers put their energy into products, improving and reimagining their design and production in a quest for perfection.

Axis Bank’s Bad Loans Battle
There is an unmistakable sternness in the voice of Manoj Jayaswal when he realises that it’s a telephone call from the media. In a conversation that lasts no more than a minute, he is curt and hangs up saying, “I am sorry, I cannot help you. Please do not disturb me.”

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

Good luck!

Options Daily 26.05.2017

NIFTY Summary:

  1. Jun 9800 calls added 9,34,650 contracts.
  2. Jun 7700 calls shed 13,050.
  3. Jun 9400 puts added 14,23,425.
  4. Jun 8700 puts shed 25,125.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 110.17 401.28
5 96.32 336.52
10 83.38 288.66
20 76.20 267.23

NIFTY 50 NIFTY BANK
TrueRange 162.75 731.50
TrueHigh 9523.30 23267.80
TrueLow 9360.55 22536.30

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

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

VIX 10.74 11.03 11.16 11.28 11.41
σ 0.81 0.81 0.82 0.82 0.83

2017-05-25 Implied Volatility Record

https://www.youtube.com/watch?v=S7pAgwxBkXQ

Marketwide OI

market wide position limit chart