Opening Bell 29.07.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.43%
CAC(FRA) -0.59%
UKX(GBR) -0.44%
NKY(JPN) -0.40%
SPX(USA) +0.16%
MINTs
JCI(IDN) +0.48%
INMEX(MEX) +0.36%
NGSEINDX(NGA) -0.56%
XU030(TUR) +0.10%
BRICS
IBOV(BRA) -0.33%
SHCOMP(CHN) -0.26%
NIFTY(IND) +0.59%
INDEXCF(RUS) +0.81%
TOP40(ZAF) -1.03%

Commodities

Energy
Ethanol +0.00%
Natural Gas -0.42%
WTI Crude Oil -0.19%
Heating Oil +0.00%
Brent Crude Oil -0.19%
RBOB Gasoline -0.43%
Metals
Gold 100oz +0.17%
Platinum +0.18%
Copper +0.00%
Palladium +0.37%
Silver 5000oz +0.69%

Currencies

USDEUR:-0.06% USDJPY:-0.76%

MINTs
USDIDR(IDN) -0.02%
USDMXN(MEX) -0.01%
USDNGN(NGA) -0.04%
USDTRY(TUR) -0.04%
BRICS
USDBRL(BRA) +0.92%
USDCNY(CHN) -0.04%
USDINR(IND) +0.03%
USDRUB(RUS) -0.25%
USDZAR(ZAF) -0.28%
Agricultural
Soybeans +0.60%
Sugar #11 +0.00%
Wheat +0.24%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Cotton -0.53%
Orange Juice +0.00%
Soybean Meal +0.23%
Cocoa +0.00%
Corn +0.23%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.00%
White Sugar +0.00%
Cattle +0.00%

Must Reads

GST Bill: Odd numbers
The Centre is keen on passing the Goods and Services Bill in the current session of Parliament. The Bill, officially known as The Constitution (122nd Amendment) (GST) Bill, 2014, requires amending the Constitution to bring a goods and service tax that will subsume all indirect taxes.

The Unbearable Transience of Alpha
In 2004 I enjoyed my 15 minutes of fame for an article I wrote called The Tao of Alpha, in which I explained the concept of alpha as a zero-sum game.

Of elections and inflation in India

Good luck!

Options Daily 29.07.2016

NIFTY Summary:

  1. Aug 8900 calls added 7,65,075 contracts.
  2. Aug 9800 calls shed 75.
  3. Aug 8600 puts added 10,70,475.
  4. Aug 7600 puts shed 28,425.

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

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG 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 17.53 17.53 17.53 17.53 17.53
σ 2.70 2.98 3.24 3.48 3.70

Marketwide OI

Opening Bell 28.07.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.70%
CAC(FRA) +1.19%
UKX(GBR) +0.39%
NKY(JPN) -0.69%
SPX(USA) -0.12%
MINTs
JCI(IDN) -0.18%
INMEX(MEX) -0.10%
NGSEINDX(NGA) +0.93%
XU030(TUR) +1.83%
BRICS
IBOV(BRA) +0.12%
SHCOMP(CHN) -0.08%
NIFTY(IND) +0.29%
INDEXCF(RUS) +0.01%
TOP40(ZAF) +0.18%

Commodities

Energy
Heating Oil +0.57%
Brent Crude Oil +0.32%
WTI Crude Oil +0.38%
Ethanol +0.00%
Natural Gas +0.23%
RBOB Gasoline +0.65%
Metals
Gold 100oz +0.82%
Platinum +1.19%
Palladium +0.26%
Copper +1.08%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.15% USDJPY:-0.55%

MINTs
USDIDR(IDN) -0.18%
USDMXN(MEX) -0.11%
USDNGN(NGA) -0.08%
USDTRY(TUR) -0.19%
BRICS
USDBRL(BRA) -0.43%
USDCNY(CHN) -0.12%
USDINR(IND) -0.16%
USDRUB(RUS) +0.21%
USDZAR(ZAF) -0.35%
Agricultural
Soybeans +0.59%
Orange Juice +0.00%
White Sugar +0.00%
Cocoa +0.00%
Corn +0.67%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.00%
Soybean Meal +0.67%
Cattle +0.00%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Cotton -0.15%
Sugar #11 +0.00%
Wheat +0.90%

Must Reads

What a Trump Presidency Means for Asian Stocks
This is an extract of a longer research report by Nomura’s Asia global markets research team entitled “Trumping Asia”.

Funds chase stressed assets down the rabbit hole
Stressed asset funds are the flavour of the season. On Wednesday, State Bank of India (SBI) said that it has signed a memorandum of understanding with Brookfield Asset Management to purchase distressed assets.

Alibaba wants a pie of not just e-commerce in India, but also its $1.3 trillion retail market
For Alibaba, India is a big market, and that’s not a secret. But what does its management really think of India’s e-commerce market? That’s the question on everybody’s mind.

Maybe Negative Yields Are a Sign of Prosperity
Just when it seemed that negative yields could not spread any further, they did. Corporate bonds paying negative interest rates now account for about $512 billion of market value, bringing the world close to a total of nearly $10 trillion in securities with yields below zero.

PM Abe’s plan for $265 billion stimulus puts pressure on BOJ to ease
TOKYO Japan’s prime minister unveiled a surprisingly large $265 billion stimulus package on Wednesday to reflate the world’s third-largest economy, adding pressure on the central bank to match the measures with monetary stimulus later this week.

Good luck!

Options Daily 28.07.2016

NIFTY Summary:

  1. Aug 8000 calls added 3,59,625 contracts.
  2. Aug 9400 calls shed 41,100.
  3. Aug 8400 puts added 3,67,500.
  4. Aug 7600 puts shed 37,650.

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

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL BANKNIFTY Volatility chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG 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 17.53 17.53 17.53 17.53 17.53
σ 2.45 2.76 3.04 3.29 3.53

Marketwide OI

Securities under ban today: CANBK, IBREALEST, JINDALSTEL, JPASSOCIAT, KSCL.
market wide position limit chart

Opening Bell 27.07.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.49%
CAC(FRA) +0.15%
UKX(GBR) +0.21%
NKY(JPN) +1.39%
SPX(USA) +0.03%
MINTs
JCI(IDN) +1.11%
INMEX(MEX) -0.28%
NGSEINDX(NGA) +1.14%
XU030(TUR) -0.69%
BRICS
IBOV(BRA) -0.16%
SHCOMP(CHN) -0.60%
NIFTY(IND) -0.52%
INDEXCF(RUS) +0.35%
TOP40(ZAF) +0.52%

Commodities

Energy
Natural Gas -1.11%
Heating Oil -0.48%
WTI Crude Oil -0.23%
Brent Crude Oil -0.25%
Ethanol +0.00%
RBOB Gasoline -0.13%
Metals
Copper +0.00%
Gold 100oz +0.00%
Platinum -0.14%
Palladium -0.62%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.12% USDJPY:+1.06%

MINTs
USDIDR(IDN) -0.18%
USDMXN(MEX) -0.13%
USDNGN(NGA) -0.08%
USDTRY(TUR) -0.05%
BRICS
USDBRL(BRA) -0.30%
USDCNY(CHN) -0.01%
USDINR(IND) +0.09%
USDRUB(RUS) +0.16%
USDZAR(ZAF) +0.00%
Agricultural
Cattle +0.00%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Corn +0.38%
Soybean Meal -0.12%
Lean Hogs +0.00%
Orange Juice +0.00%
White Sugar +0.00%
Cocoa +0.00%
Cotton +0.00%
Feeder Cattle +0.00%
Lumber +0.00%
Soybeans +0.73%
Sugar #11 +0.00%
Wheat +0.54%

Must Reads

Changes to India’s child labour law will disadvantage tribals, lower-castes – U.N.
NEW DELHI (Thomson Reuters Foundation) – The United Nations says changes to India’s child labour law which permit children to work for their families and reduce the number of banned occupations for adolescents will disadvantage vulnerable groups such as tribals and lower-caste communities.

India’s Drug Approvals Near Record Despite FDA Inspection Blitz
The U.S. Food and Drug Administration has become something of a bogeyman for India’s stock market. An inspection blitz on Indian drug factories that supply to the U.S.

States don’t agree on rate, GST uncertain
The crucial revenue neutral rate (RNR) of taxation as well as capping of the GST rate in the Bill did not find favour with many states during a meeting of the Empowered Committee of State Finance Ministers. An RNR of 15-15.

Global trade is not growing slower – it’s not growing at all, finds a new report
Falling rates of global trade growth have attracted much comment by analysts and officials, giving rise to a literature on the ‘global trade slowdown’ (Hoekman 2015, Constantinescu et al. 2016). The term ‘slowdown’ gives the impression of world trade losing momentum, but growing nonetheless.

Forget Brexit, Quitaly is Europe’s next worry
First it was Grexit, then it was Brexit. Now the looming threat for Europe is Quitaly, the fear that Italy might decide it has had enough of the single currency and go back to the lira.

Another Thing to Blame the Fed For: Emerging-Market Crises
The Federal Reserve and its monetary policy are probably more to blame for the emerging-market crises than these developing countries themselves, according to a new study by the Institute of International Finance.

Good luck!