Opening Bell 24.08.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.94%
CAC(FRA) +0.72%
UKX(GBR) +0.59%
NKY(JPN) +0.50%
SPX(USA) +0.20%
MINTs
JCI(IDN) -0.27%
INMEX(MEX) -1.28%
NGSEINDX(NGA) -0.02%
XU030(TUR) -0.78%
BRICS
IBOV(BRA) +0.41%
SHCOMP(CHN) -0.05%
NIFTY(IND) +0.04%
INDEXCF(RUS) +0.53%
TOP40(ZAF) +0.31%

Commodities

Energy
RBOB Gasoline -0.39%
Brent Crude Oil -0.82%
WTI Crude Oil -1.08%
Ethanol +0.00%
Heating Oil -0.33%
Natural Gas -0.14%
Metals
Copper +0.14%
Gold 100oz -0.34%
Palladium -0.09%
Platinum +0.00%
Silver 5000oz +0.00%

Currencies

USDEUR:+0.07% USDJPY:+0.10%

MINTs
USDIDR(IDN) +0.26%
USDMXN(MEX) -0.06%
USDNGN(NGA) +0.61%
USDTRY(TUR) -0.04%
BRICS
USDBRL(BRA) +1.07%
USDCNY(CHN) +0.21%
USDINR(IND) +0.14%
USDRUB(RUS) -0.22%
USDZAR(ZAF) -0.51%
Agricultural
Cocoa +0.00%
Soybean Meal -0.48%
Cattle +0.04%
Coffee (Arabica) +0.00%
Cotton -0.25%
Lean Hogs +0.45%
Lumber -0.77%
Orange Juice +0.00%
Soybeans -0.44%
Wheat +0.00%
Coffee (Robusta) +0.00%
Corn -0.30%
Feeder Cattle +0.07%
White Sugar +0.00%
Sugar #11 +0.00%

Out of 42 world ETFs listed in NYSE that we track, 19 are trading above their 10-day SMA and 39 are trading above their 50-day SMA.

Must Reads

Stung by negative growth, Indian Railways does U-turn, hikes freight rates
Stung by negative growth in freight revenue in the June quarter, Indian Railways on Tuesday hiked the cost of freight for several consumers of coal, the commodity that accounts for 45% of its receipts from transportation of goods.

Health Care Is a Business, Not a Right
“The health of Americans should not be a profit center. Health care is a right. Full stop.” That comes from the Twitter feed of personal finance writer Helaine Olen. But it could have issued straight from the heart of any progressive in the land.

Officers should also give ‘best advice’ to tax payers: CBDT
To clean up tax administration, CBDT Chairperson Rani Singh Nair today promised that the tax department will try to create a regime where people could fearlessly walk up to officers to seek best possible advice.

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

Good luck!

Options Daily 24.08.2016

NIFTY Summary:

  1. Sep 7000 calls added 2,09,700 contracts.
  2. Sep 9100 calls shed 73,425.
  3. Sep 8600 puts added 3,34,725.
  4. Sep 8200 puts shed 48,000.

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

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP 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

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP 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 17.50 17.50 17.50 17.50 17.50
σ 3.82 4.02 4.21 4.39 4.57

Marketwide OI

Securities under ban today: BANKINDIA, IBREALEST, INDIACEM, JINDALSTEL, JPASSOCIAT, JUSTDIAL, WOCKPHARMA.
market wide position limit chart

Opening Bell 23.08.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.47%
CAC(FRA) -0.24%
UKX(GBR) -0.44%
NKY(JPN) -0.22%
SPX(USA) -0.06%
MINTs
JCI(IDN) -0.78%
INMEX(MEX) +0.07%
NGSEINDX(NGA) +0.60%
XU030(TUR) -0.37%
BRICS
IBOV(BRA) -2.23%
SHCOMP(CHN) +0.35%
NIFTY(IND) -0.44%
INDEXCF(RUS) +0.99%
TOP40(ZAF) +0.26%

Commodities

Energy
Ethanol +0.00%
RBOB Gasoline -0.97%
Heating Oil -0.81%
Natural Gas -0.75%
WTI Crude Oil -1.31%
Brent Crude Oil -1.00%
Metals
Copper +0.00%
Gold 100oz -0.18%
Palladium -0.60%
Platinum -0.21%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.11% USDJPY:-0.08%

MINTs
USDIDR(IDN) -0.05%
USDMXN(MEX) -0.20%
USDNGN(NGA) -1.75%
USDTRY(TUR) -0.06%
BRICS
USDBRL(BRA) -0.13%
USDCNY(CHN) -0.05%
USDINR(IND) -0.12%
USDRUB(RUS) +0.14%
USDZAR(ZAF) -0.31%
Agricultural
Cocoa +0.00%
Soybean Meal -0.57%
Cotton +0.00%
Lean Hogs +0.00%
Lumber +0.00%
Orange Juice +0.00%
Soybeans -0.77%
Wheat -0.90%
Coffee (Arabica) +0.00%
Sugar #11 +0.00%
White Sugar +0.00%
Cattle +0.00%
Coffee (Robusta) +0.00%
Corn -0.60%
Feeder Cattle +0.00%

Out of 42 world ETFs listed in NYSE that we track, 14 are trading above their 10-day SMA and 41 are trading above their 50-day SMA.

Must Reads

Hey, PSU banks! New RBI chief Patel is coming hard after your $100bn pacifier
India’s state-run banks should have no illusion about their new boss. Urjit Patel, the incoming central bank chief, has every intention of taking away their $100 billion pacifier.

Monetary policy has nationalized the Japan stock market: CLSA

Slow e-commerce growth worries Flipkart
Flipkart has sounded the alarm for stalled growth in India’s e-commerce market while for the first time admitting that it has missed its own growth target.

Paradox of plenty
India’s per capita calorie demand has been falling for at least the last 30 years. Most people do a double-take when they hear that. One can’t debate the fact much: National Sample Surveys every five to seven years have documented this.

What is the actual post-tax return on different investments? Find out
Investment options without 80C benefits While bank FDs offer rates fixed periodically, future market situations will determine returns of debt and equity mutual funds. 1-year bank fixed deposits Interest rate: 8.0% Annualised return: 8.24% Post-tax (30.9%) return: 5.

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

Good luck!

Options Daily 23.08.2016

NIFTY Summary:

  1. Sep 9000 calls added 7,30,275 contracts.
  2. Aug 8000 calls shed 2,80,950.
  3. Sep 8300 puts added 3,89,700.
  4. Sep 8000 puts shed 1,77,675.

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

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP 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

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP 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(0,2)+GARCH(1,1) model:

VIX 15.16 16.19 16.82 16.82 16.82
σ 1.23 1.26 1.30 1.33 1.37

Marketwide OI

Securities under ban today: BANKINDIA, CEATLTD, IBREALEST, JINDALSTEL, JPASSOCIAT, JUSTDIAL, ORIENTBANK, WOCKPHARMA.
market wide position limit chart

Update 1: Mid N Small vs. Value Discovery

Back in January last year, we had taken a brief look at Invesco’s India Mid N Small Cap Fund and ICICI Prudential Value Discovery Fund and concluded that even through Religare is marginally better than ICICI, there was nothing there to swing the decision one way or the other. Here’s an update:

Between 2015-01-01 and 2016-08-11, Invesco India MID N SMALL CAP Fund has returned a cumulative 12.59% with an IRR of 7.64% vs. ICICI Prudential Value Discovery Fund’s cumulative return of 12.99% and an IRR of 7.88%. (http://svz.bz/2bf7jzy)

In terms of performance, they are still on top of each other. However, Value Discovery has had shallower draw-downs, making it an easier fund to hold.

Invesco India MID N SMALL CAP Fund and ICICI Prudential Value Discovery Fund drawdown

Invesco’s fund is way smaller than ICICI’s. For those who prefer a smaller fund, Invesco’s would be a way to go. However, overall, the status quo remains.