Options Weekly 23.07.2016

Summary: Jul NIFTY 8600 calls added 17,51,325 contracts while 8500 calls shed 12,24,000. On the Put side of the equation, the 8500 strike added 18,21,375 while the 8500’s shed 10,79,625.

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

Opening Bell 22.07.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.14%
CAC(FRA) -0.08%
UKX(GBR) -0.43%
NKY(JPN) -0.89%
SPX(USA) -0.36%
MINTs
JCI(IDN) -0.48%
INMEX(MEX) -0.36%
NGSEINDX(NGA) -0.79%
XU030(TUR) -4.56%
BRICS
IBOV(BRA) +0.11%
SHCOMP(CHN) -0.42%
NIFTY(IND) -0.65%
INDEXCF(RUS) +0.66%
TOP40(ZAF) +0.16%

Commodities

Energy
Brent Crude Oil +0.28%
Natural Gas -0.71%
Heating Oil +0.43%
Ethanol +0.00%
WTI Crude Oil +0.13%
RBOB Gasoline +0.13%
Metals
Palladium +0.13%
Platinum -0.11%
Gold 100oz +0.02%
Silver 5000oz +0.00%
Copper +0.27%

Currencies

USDEUR:+0.04% USDJPY:+0.04%

MINTs
USDIDR(IDN) +0.05%
USDMXN(MEX) +0.22%
USDNGN(NGA) +1.62%
USDTRY(TUR) +0.03%
BRICS
USDBRL(BRA) +0.36%
USDCNY(CHN) -0.08%
USDINR(IND) +0.03%
USDRUB(RUS) +0.02%
USDZAR(ZAF) +0.12%
Agricultural
Cattle +0.00%
Coffee (Arabica) +0.00%
Lumber +0.00%
Sugar #11 +0.00%
Cocoa +0.00%
Coffee (Robusta) +0.00%
Corn -0.15%
Feeder Cattle +0.00%
Cotton +0.00%
Orange Juice +0.00%
Soybean Meal -0.65%
Soybeans -0.48%
Wheat +0.36%
White Sugar +0.00%
Lean Hogs +0.00%

Out of 42 world ETFs listed in NYSE that we track, 33 are trading above their 10-day SMA and 32 are trading above their 50-day SMA.
Also, there were 13 sigma events over the last 24 hours. Details here.

Must Reads

Lens on cash deposits, property deals: Income-tax office to issue 7 lakh notices
MUMBAI | NEW DELHI: The government is mounting pressure on taxpayers to come clean. The income-tax office will shortly issue 7 lakh notices to fish out details on cash dealings, property purchases and conspicuous consumption from earnings that are suspected to have escaped tax.

Donald Trump Remarks on NATO Trigger Alarm Bells in Europe
LONDON — Donald Trump set off alarm bells in European capitals Thursday after suggesting he might not honor the core tenet of the NATO military alliance. Trump said the U.S.

Ringside view: Cozy deals between mutual funds and companies
The incestuous relationship between lenders and companies — a widely-debated topic for decades — has come back into focus of late amid piling bad debts. The spotlight has forced most banks to shut the liquidity tap to dubious corporate borrowers.

Amazon Tiptoes Into Banking Business Through Student Loans
Amazon.com Inc. is stepping into the student-loan marketplace. The online retailer has entered into a partnership with San Francisco lender Wells Fargo & Co. in which the bank’s student-lending arm will offer interest-rate discounts to select Amazon shoppers.

Big Tobacco Gets Crushed by Tiny Uruguay
Six years ago, when Philip Morris International took Uruguay to court over the country’s aggressive anti-smoking policies, few people would have bet on the gauchos.

Good luck!

Options Daily 22.07.2016

NIFTY Summary:

  1. Jul 8650 calls added 7,12,800 contracts.
  2. Jul 9000 calls shed 1,54,650.
  3. Jul 8200 puts added 3,21,000.
  4. Jul 8500 puts shed 8,18,850.

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

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL 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
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(2,1)+GARCH(1,1) model:

VIX 15.79 15.86 15.93 15.99 16.04
σ 0.70 0.72 0.75 0.76 0.78

Marketwide OI

Securities under ban today: BANKINDIA, CANBK, IBREALEST, INDIACEM, JINDALSTEL, JPASSOCIAT, ORIENTBANK, PNB, RCOM, WOCKPHARMA.
market wide position limit chart

Opening Bell 21.07.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +1.61%
CAC(FRA) +1.15%
UKX(GBR) +0.47%
NKY(JPN) +1.22%
SPX(USA) +0.43%
MINTs
JCI(IDN) +0.31%
INMEX(MEX) +0.97%
NGSEINDX(NGA) -0.94%
XU030(TUR) -1.64%
BRICS
IBOV(BRA) -0.21%
SHCOMP(CHN) +0.19%
NIFTY(IND) +0.44%
INDEXCF(RUS) -0.04%
TOP40(ZAF) -0.03%

Commodities

Energy
Natural Gas -0.49%
Ethanol -0.96%
Heating Oil +0.27%
Brent Crude Oil +0.42%
RBOB Gasoline +0.18%
WTI Crude Oil +0.33%
Metals
Palladium -0.84%
Platinum -0.78%
Gold 100oz -0.45%
Silver 5000oz -1.31%
Copper +0.36%

Currencies

USDEUR:-0.08% USDJPY:+0.22%

MINTs
USDIDR(IDN) +0.02%
USDMXN(MEX) -0.02%
USDNGN(NGA) -0.17%
USDTRY(TUR) -0.26%
BRICS
USDBRL(BRA) +0.31%
USDCNY(CHN) +0.03%
USDINR(IND) +0.13%
USDRUB(RUS) -0.04%
USDZAR(ZAF) -0.06%
Agricultural
Cattle +0.00%
Coffee (Arabica) +0.00%
Corn +0.89%
Lean Hogs +0.00%
Soybean Meal +0.51%
Soybeans +0.56%
White Sugar +0.00%
Feeder Cattle +0.00%
Sugar #11 +0.00%
Wheat +0.61%
Cotton -0.24%
Cocoa +0.00%
Coffee (Robusta) +0.00%
Lumber +0.00%
Orange Juice +0.00%

Credit Indices

Index Change
Markit CDX EM -0.14%
Markit CDX NA HY -0.01%
Markit CDX NA IG +0.19%
Markit iTraxx Asia ex-Japan IG +1.34%
Markit iTraxx Australia +0.92%
Markit iTraxx Europe +0.27%
Markit iTraxx Europe Crossover +3.24%
Markit iTraxx Japan +3.01%
Markit MCDX (Municipal CDS) +0.00%
Out of 42 world ETFs listed in NYSE that we track, 36 are trading above their 10-day SMA and 32 are trading above their 50-day SMA.
Also, there were 3 sigma events over the last 24 hours. Details here.

Must Reads

Investors Think the Bank of Japan Will Pull the Trigger Next Week
Twice investors have been burned this year by the Bank of Japan’s hesitance to inject more stimulus into its flagging economy. Consider them undeterred, though.

LPG savings due to DBT less than Rs 2000 cr: CAG may punch holes in govt claim
A CAG report on LPG subsidy is on the way, which is likely to punch holes in the NDA government’s claims about savings from its much-talked about direct benefit transfer (DBT) scheme, according to a report in The Hindu newspaper on Wednesday.

Europe’s next crisis is Renzi and the banks – POLITICO
Matteo Renzi, the new broom of Italian politics, is in danger of being swept away.

Dollar Shave Club and The Disruption of Everything – Stratechery by Ben Thompson
Probably the most important fact when it comes to analyzing Unilever’s purchase of Dollar Shave Club is the $1 billion price: in the world of consumer packaged goods (CPG) it is shockingly low.

Good luck!

Options Daily 21.07.2016

NIFTY Summary:

  1. Jul 8700 calls added 2,60,850 contracts.
  2. Jul 8500 calls shed 4,95,525.
  3. Jul 8500 puts added 8,11,050.
  4. Jul 7800 puts shed 1,31,775.

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

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL 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
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(3,0)+GARCH(1,1) model:

VIX 16.07 16.11 16.17 16.22 16.28
σ 0.70 0.71 0.73 0.74 0.75

Marketwide OI

Securities under ban today: BANKINDIA, CANBK, IBREALEST, JINDALSTEL, ORIENTBANK, PNB, RCOM.
market wide position limit chart