Opening Bell 04.08.2015

Your world at 9am

world.2015-08-04

Equities

Major
DAX(DEU) +1.19%
CAC(FRA) +0.75%
UKX(GBR) -0.11%
NKY(JPN) -0.10%
SPX(USA) -0.28%
MINTs
JCI(IDN) -0.32%
INMEX(MEX) +0.15%
NGSEINDX(NGA) +0.22%
XU030(TUR) -2.23%
BRICS
IBOV(BRA) -1.43%
SHCOMP(CHN) +0.69%
NIFTY(IND) +0.12%
INDEXCF(RUS) -0.32%
TOP40(ZAF) -0.94%

Commodities

Energy
Brent Crude Oil +0.55%
RBOB Gasoline +0.81%
Ethanol +0.00%
Heating Oil +0.53%
WTI Crude Oil +0.75%
Natural Gas +1.09%
Metals
Palladium -1.29%
Platinum -1.76%
Copper -0.32%
Gold 100oz -0.55%
Silver 5000oz +0.00%

Currencies

USDEUR:+0.04%
USDJPY:+0.04%

MINTs
USDIDR(IDN) -0.05%
USDMXN(MEX) -0.03%
USDNGN(NGA) +0.11%
USDTRY(TUR) -0.05%
BRICS
USDBRL(BRA) +0.87%
USDCNY(CHN) -0.00%
USDINR(IND) -0.14%
USDRUB(RUS) +0.14%
USDZAR(ZAF) +0.06%
Agricultural
Coffee (Arabica) -1.32%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Cocoa +0.00%
Lumber +0.00%
Soybean Meal +0.26%
Soybeans -0.41%
Sugar #11 -2.51%
Cattle +0.00%
Corn +0.48%
Cotton -0.37%
Lean Hogs +0.00%
White Sugar +0.00%
Orange Juice +0.00%
Wheat +0.70%

Must reads

The government capitulates. The new land bill is worse than the one it tried to replace. So basically, everybody work from home. (FP)

Apropos, our central bank sets interest rates based on the monsoons. (LiveMint, #rates)

Commodity currencies are off to the worst start to a year since the financial crisis amid signs of a slowdown in China. The Canadian, Australian and New Zealand dollars plunged against the almighty US Dollar. (Bloomberg) And the carnage in commodities continues. (FT)

em.blocs

A new way of looking at EM (FT):

  1. South-east bloc: essentially self-financing and so not keenly exposed to the global liquidity cycle. The lowest risk in terms of capital preservation and volatility.
  2. North-west bloc: deficit-running countries that export primarily minerals and agricultural products.
  3. North-east bloc: essentially oil-exporting.
  4. South-west bloc: deficit-running, manufacturing exporters.

Good luck!

Options Daily 04.08.2015

Summary: Aug NIFTY 9000 calls added 537,000 contracts while 8700 calls shed 92,100. On the Put side of the equation, the 8200 strike added 284,875 while the 9100’s shed 9,625.

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

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

Opening Bell 03.08.2015

Your world at 9am

world.2015-08-03

Equities

Major
DAX(DEU) +0.46%
CAC(FRA) +0.72%
UKX(GBR) +0.41%
NKY(JPN) -0.48%
SPX(USA) -0.23%
MINTs
JCI(IDN) -0.18%
INMEX(MEX) +0.73%
NGSEINDX(NGA) -0.84%
XU030(TUR) +2.17%
BRICS
IBOV(BRA) +1.94%
SHCOMP(CHN) -2.42%
NIFTY(IND) +1.32%
INDEXCF(RUS) +1.97%
TOP40(ZAF) +0.55%

Commodities

Energy
Ethanol -0.60%
Brent Crude Oil -0.50%
RBOB Gasoline -0.36%
Natural Gas +1.03%
WTI Crude Oil -0.53%
Heating Oil -0.26%
Metals
Gold 100oz -0.14%
Silver 5000oz -0.11%
Copper -0.74%
Palladium +0.27%
Platinum -0.29%

Currencies

USDEUR:+0.02% USDJPY:+0.09%

MINTs
USDIDR(IDN) -0.33%
USDMXN(MEX) +0.03%
USDNGN(NGA) +0.15%
USDTRY(TUR) +0.04%
BRICS
USDBRL(BRA) +1.47%
USDCNY(CHN) -0.00%
USDINR(IND) +0.15%
USDRUB(RUS) -0.02%
USDZAR(ZAF) -0.00%
Agricultural
Cattle +0.83%
Feeder Cattle +0.01%
Lumber -0.55%
Wheat -0.45%
Cocoa +0.00%
Coffee (Arabica) +0.80%
Lean Hogs -1.23%
Orange Juice +0.45%
White Sugar +0.00%
Coffee (Robusta) +0.00%
Corn -0.88%
Cotton +0.22%
Soybean Meal -0.17%
Soybeans -0.33%
Sugar #11 -1.06%

Credit Indices

Index Change
Markit CDX EM -0.28%
Markit CDX NA HY -0.06%
Markit CDX NA IG +0.22%
Markit iTraxx Asia ex-Japan IG +1.09%
Markit iTraxx Australia +0.61%
Markit iTraxx Europe -0.42%
Markit iTraxx Europe Crossover -2.52%
Markit iTraxx Japan +0.20%
Markit iTraxx SovX Western Europe -0.15%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +0.21%
All eyes on the RBI this week…

Must reads

EPFO plans to give an option to its subscribers to choose from various investment products where they want their money to be invested. Why don’t just bite the bullet and create a 401k structure instead of this hodgepodge? (NDTV)

Amazon India has started a pilot programme to sell refurbished phones from top brands like Xiaomi and Samsung. This just killed a dozen startups. (HT)

Govt asks ISPs to block porn websites. What’s worse: the only way to find out whether this was a government block would be to file a Right to Information request with the telecom department. It will be interesting to see if incidences of harassment increases after the ban. (LiveMint)

The Chicago Police Department has a “Heat List” of people most likely to commit violent crimes created with a predictive algorithm. (Techcrunch)

When it comes to investing, the Internet has created a huge assembly of commentary of dubious value. There is gold among the dross, but for the most part it is a cacophony of cranks and gurus. Thankfully, the Internet never forgets. (WaPo)

Brazil’s economy is in the shitter. (FT)

Good luck!

Options Daily 03.08.2015

Summary: Aug NIFTY 8800 calls added 517,050 contracts while 8500 calls shed 256,600. On the Put side of the equation, the 8400 strike added 924,650 while the 8900’s shed 33,250.

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

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI 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.

Macro Update July 2015

US TREASURIES VS. GILT SPREAD

The spread between 10yr US Treasuries and Indian Gilts remained within a tight range this month.

ust-ind-10yr-spread.2011-01-18

Long term US Treasury yields compressed.

ust-yield-curve.2015-06-30

Institutional investments

FIIs were net buyers in July. A welcome relief after June’s selloff.

fii-investments.2014-01-01.2015-07-31

DIIs joined the bandwagon as well.

dii-investments.2014-01-01.2015-07-31

Oil

Oil got shellacked.

wti-brent.2011-01-18

Gold

Gold got shellacked too.

gold.usd

Copper

Copper got shellacked three.

copper.usd

US Dollar

Here is the rally in US Dollar charted:

usd_fut_chart

Outlook

The fall in commodity prices should be a huge windfall for the Indian economy. However, the pace of reforms have come below expectations. The Monsoon Session of the parliament has been a disappointing mess. This has resulted in extended valuations in quality stocks. With a US rate-hike expected in September, we may see a bit of a wobble that might prove to be an excellent time to “buy the dip.”