Opening Bell 29.04.2016

Your world at 9am

world.2016-04-29

Equities

Major
DAX(DEU) +0.21%
CAC(FRA) -0.04%
UKX(GBR) +0.04%
NKY(JPN) -3.61%
SPX(USA) -0.92%
MINTs
JCI(IDN) -0.24%
INMEX(MEX) -0.70%
NGSEINDX(NGA) +0.63%
XU030(TUR) +0.19%
BRICS
IBOV(BRA) -0.30%
SHCOMP(CHN) -0.19%
NIFTY(IND) -1.66%
INDEXCF(RUS) +1.82%
TOP40(ZAF) +0.21%

Commodities

Energy
Brent Crude Oil +0.00%
WTI Crude Oil +0.04%
Heating Oil +0.14%
RBOB Gasoline -0.73%
Ethanol +0.00%
Natural Gas -0.29%
Metals
Copper +1.12%
Gold 100oz +1.23%
Platinum +1.27%
Silver 5000oz +1.78%
Palladium +0.82%

Currencies

USDEUR:-0.30% USDJPY:-0.81%

MINTs
USDIDR(IDN) +0.19%
USDMXN(MEX) -0.20%
USDNGN(NGA) -0.03%
USDTRY(TUR) -0.06%
BRICS
USDBRL(BRA) -1.08%
USDCNY(CHN) -0.04%
USDINR(IND) +0.10%
USDRUB(RUS) -0.07%
USDZAR(ZAF) -0.17%
Agricultural
Cattle +0.00%
Coffee (Robusta) +0.00%
Corn -0.13%
Cotton -0.28%
Feeder Cattle +0.00%
Sugar #11 +0.00%
Wheat -0.68%
White Sugar +0.00%
Coffee (Arabica) +0.00%
Lean Hogs +0.00%
Cocoa +0.00%
Soybean Meal -0.48%
Soybeans -0.59%
Lumber +0.00%
Orange Juice +0.00%

Credit Indices

Index Change
Markit CDX EM +0.37%
Markit CDX NA HY +0.24%
Markit CDX NA IG -0.71%
Markit iTraxx Asia ex-Japan IG -0.22%
Markit iTraxx Australia +0.20%
Markit iTraxx Europe -0.59%
Markit iTraxx Europe Crossover -2.76%
Markit iTraxx Japan +0.26%
Markit MCDX (Municipal CDS) -0.33%
Out of 42 world ETFs listed in NYSE that we track, 17 are trading above their 10-day SMA and 37 are trading above their 50-day SMA. Also, there were 28 sigma events over the last 24 hours. Details here.

Must reads

Bank of Japan shocks markets by voting against more stimulus. Despite weak inflation and household spending, central bank decides against fresh measures to stimulate economy, pushing the yen up. (Guardian, Reuters, FT)

Those filing for bankruptcy could find their assets in other countries assessed under Indian laws. (BS)

RBI says it would be ‘prudent’ to regulate P2P lending businesses, proposes registering platforms as NBFCs. (LiveMint)

Infy’s bet on AI driven automation. (TOI) INFY 1,214.40 5.25 (0.00%)

Good luck and have a nice weekend!

Options Daily 29.04.2016

NIFTY Summary:

  1. May 8000 calls added 7,77,075 contracts.
  2. May 9100 calls shed 9,225.
  3. May 7700 puts added 15,30,600.
  4. May 6800 puts shed 8,100.

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

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

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(3,4)+GARCH(1,1) model:

VIX 16.69 16.71 16.77 16.82 16.87
σ 0.71 0.77 0.82 0.86 0.90

2016-04-28 Implied Volatility Record

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

Opening Bell 28.04.2016

Your world at 9am

world.2016-04-28

Equities

Major
DAX(DEU) +0.39%
CAC(FRA) +0.58%
UKX(GBR) +0.56%
NKY(JPN) +1.41%
SPX(USA) +0.16%
MINTs
JCI(IDN) +0.23%
INMEX(MEX) +1.25%
NGSEINDX(NGA) -0.06%
XU030(TUR) -0.56%
BRICS
IBOV(BRA) +2.63%
SHCOMP(CHN) -0.62%
NIFTY(IND) +0.22%
INDEXCF(RUS) -0.61%
TOP40(ZAF) +0.24%

Commodities

Energy
Ethanol +0.00%
Heating Oil -0.12%
RBOB Gasoline -0.23%
WTI Crude Oil -0.18%
Natural Gas -0.51%
Brent Crude Oil -0.21%
Metals
Gold 100oz -0.82%
Copper -0.07%
Palladium +0.06%
Platinum -0.56%
Silver 5000oz -0.80%

Currencies

USDEUR:-0.12% USDJPY:-1.90%

MINTs
USDIDR(IDN) -0.00%
USDMXN(MEX) +0.29%
USDNGN(NGA) +0.11%
USDTRY(TUR) +0.21%
BRICS
USDBRL(BRA) -0.07%
USDCNY(CHN) -0.12%
USDINR(IND) -0.11%
USDRUB(RUS) -0.08%
USDZAR(ZAF) +0.62%
Agricultural
Sugar #11 +0.00%
Wheat -0.37%
Coffee (Arabica) +0.00%
Cocoa +0.00%
Lean Hogs +0.00%
Soybean Meal -0.65%
Soybeans -0.74%
White Sugar +0.00%
Cattle +0.00%
Coffee (Robusta) +0.00%
Corn -0.39%
Cotton +0.00%
Feeder Cattle +0.00%
Lumber +0.00%
Orange Juice +0.00%

Credit Indices

Index Change
Markit CDX EM +0.21%
Markit CDX NA HY +0.06%
Markit CDX NA IG -0.08%
Markit iTraxx Asia ex-Japan IG -1.39%
Markit iTraxx Australia +1.92%
Markit iTraxx Europe -0.30%
Markit iTraxx Europe Crossover -0.35%
Markit iTraxx Japan +0.83%
Markit MCDX (Municipal CDS) -0.34%
Out of 42 world ETFs listed in NYSE that we track, 28 are trading above their 10-day SMA and 41 are trading above their 50-day SMA. Also, there were 20 sigma events over the last 24 hours. Details here.

Must reads

Nestlé spent three decades building a beloved noodle brand in India. Then the world’s biggest food and beverage company stumbled into a public relations debacle that cost it half a billion dollars. (Fortune) NESTLEIND 5,803.60 -104.45 (-0.02%)

Infy embraces blockchain. (ET) INFY 1,214.40 5.25 (0.00%)

India to see severe shortage of jobs in the next 35 years. Guns, germs or steel? (LiveMint, #economy)

Growth without productivity is unsustainable. (FT)

In an apparent rejection of the basic principles of the U.S. economy, a new poll shows that most young people do not support capitalism. (WaPo)

Good luck!

Options Daily 28.04.2016

NIFTY Summary:

  1. May 8200 calls added 5,04,075 contracts.
  2. May 8100 calls shed 34,575.
  3. May 7000 puts added 6,39,000.
  4. May 7200 puts shed 10,125.

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

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR BANKNIFTY Volatility 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 16.42 16.51 16.56 16.60 16.65
σ 0.73 0.79 0.84 0.88 0.92

2016-04-27 Implied Volatility Record

https://www.youtube.com/watch?v=5BZSDuuQ4F8

Options Daily 27.04.2016

NIFTY Summary:

  1. May 8100 calls added 4,98,750 contracts.
  2. May 8600 calls shed 5,325.
  3. May 7800 puts added 4,96,275.
  4. May 7300 puts shed 1,54,875.

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

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR BANKNIFTY Volatility 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 16.61 16.66 16.70 16.75 16.79
σ 0.74 0.80 0.85 0.88 0.91

2016-04-26 Implied Volatility Record

https://www.youtube.com/watch?v=DKuFILwfb0c