Opening Bell 03.05.2016

Your world at 9am

world.2016-05-03

Equities

Major
DAX(DEU) +0.84%
CAC(FRA) +0.31%
UKX(GBR) -1.27%
NKY(JPN) -3.11%
SPX(USA) +0.78%
MINTs
JCI(IDN) +0.37%
INMEX(MEX) -0.30%
NGSEINDX(NGA) +0.39%
XU030(TUR) -1.76%
BRICS
IBOV(BRA) -0.65%
SHCOMP(CHN) +1.61%
NIFTY(IND) -0.56%
INDEXCF(RUS) -0.85%
TOP40(ZAF) -0.69%

Commodities

Energy
RBOB Gasoline -0.17%
Brent Crude Oil +0.81%
Natural Gas +0.24%
WTI Crude Oil +0.69%
Ethanol +0.00%
Heating Oil +0.58%
Metals
Platinum -0.11%
Gold 100oz -0.17%
Copper -0.66%
Palladium -0.18%
Silver 5000oz +0.14%

Currencies

USDEUR:+0.01% USDJPY:-0.23%

MINTs
USDIDR(IDN) +0.10%
USDMXN(MEX) -0.12%
USDNGN(NGA) -0.03%
USDTRY(TUR) -0.06%
BRICS
USDBRL(BRA) +1.92%
USDCNY(CHN) -0.08%
USDINR(IND) +0.19%
USDRUB(RUS) -0.32%
USDZAR(ZAF) -0.07%
Agricultural
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Corn +0.45%
Feeder Cattle +0.00%
Lean Hogs +0.00%
White Sugar +0.00%
Lumber +0.00%
Sugar #11 +0.00%
Cocoa +0.00%
Cotton +0.00%
Orange Juice +0.00%
Soybean Meal -0.23%
Soybeans +0.34%
Cattle +0.00%
Wheat +0.00%

Out of 42 world ETFs listed in NYSE that we track, 21 are trading above their 10-day SMA and 38 are trading above their 50-day SMA. Also, there were 21 sigma events over the last 24 hours. Details here.

Must reads

Passenger vehicles sales up 16% in April. (FE)

Mines and Minerals Bill clears Rajya Sabha. A flood of M&A to come? (ET)

The Reserve Bank of India has told banks not to clear long-term credit in the garb of working capital loans of up to 10 years to stressed accounts. (LiveMint, #regulation)

That was quick: robo-advisor growth rates in the US are falling rapidly, to just 1/3rd their levels of one year ago. (Kitces)

Saudi Arabia’s post-oil future: “It’s been like a father telling his 40-year-old son that it’s time to go out and get a job.” (Economist)

Good luck!

Options Daily 03.05.2016

NIFTY Summary:

  1. May 8000 calls added 7,89,450 contracts.
  2. May 7500 calls shed 1,10,175.
  3. May 7500 puts added 2,68,200.
  4. May 7700 puts shed 2,73,525.

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

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

VIX 17.15 17.13 17.19 17.25 17.31
σ 0.75 0.81 0.87 0.92 0.96

Opening Bell 02.05.2016

Your world at 9am

world.2016-05-02

Equities

Major
DAX(DEU) -2.73%
CAC(FRA) -2.82%
UKX(GBR) -1.27%
NKY(JPN) -3.62%
SPX(USA) -0.51%
MINTs
JCI(IDN) -1.09%
INMEX(MEX) +0.56%
NGSEINDX(NGA) +0.39%
XU030(TUR) -0.15%
BRICS
IBOV(BRA) -0.74%
SHCOMP(CHN) -0.25%
NIFTY(IND) +0.03%
INDEXCF(RUS) -0.85%
TOP40(ZAF) -0.69%

Commodities

Energy
Heating Oil -1.00%
Natural Gas -1.97%
Brent Crude Oil -0.89%
WTI Crude Oil -0.81%
Ethanol +0.65%
RBOB Gasoline -0.34%
Metals
Platinum -0.26%
Palladium -0.23%
Silver 5000oz +0.15%
Copper -0.48%
Gold 100oz +0.40%

Currencies

USDEUR:-0.14% USDJPY:+0.08%

MINTs
USDIDR(IDN) +0.05%
USDMXN(MEX) -0.03%
USDNGN(NGA) +0.00%
USDTRY(TUR) -0.09%
BRICS
USDBRL(BRA) -1.52%
USDCNY(CHN) +0.03%
USDINR(IND) -0.29%
USDRUB(RUS) -0.04%
USDZAR(ZAF) -0.25%
Agricultural
Feeder Cattle +0.00%
Soybean Meal +0.24%
Wheat +0.21%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Corn -0.13%
Lean Hogs +0.61%
Sugar #11 +0.00%
Cocoa +0.00%
Cotton +0.00%
Lumber -1.80%
Orange Juice +0.00%
Soybeans +0.17%
White Sugar +0.00%
Cattle +1.22%

Credit Indices

Index Change
Markit CDX EM -0.48%
Markit CDX NA HY -0.51%
Markit CDX NA IG +3.55%
Markit iTraxx Asia ex-Japan IG +0.75%
Markit iTraxx Australia +0.31%
Markit iTraxx Europe +2.71%
Markit iTraxx Europe Crossover +9.98%
Markit iTraxx Japan +2.44%
Markit MCDX (Municipal CDS) -1.33%
Out of 42 world ETFs listed in NYSE that we track, 20 are trading above their 10-day SMA and 36 are trading above their 50-day SMA. Also, there were 5 sigma events over the last 24 hours. Details here.

Must reads

Suckers: Just 1% of India’s population pay taxes, but 100% of them pay bribes. (TOI)

SBI may be told to merge five associate banks. (ET) SBIN 185.45 -0.55 (-0.00%)

Earnings recovery? Analysis of 76 firms that have announced March quarter results shows 64.5% of them beat analysts’ estimates. (LiveMint)

Big data economics: the amount of hassle is precisely calibrated to just how much you are willing to pay. (NYT)

Exercise alone is almost useless for weight loss because it accounts for only a small portion of daily calorie burn. It can cause physiological changes that help us conserve energy. (Vox)

Good luck!

Options Daily 02.05.2016

NIFTY Summary:

  1. May 7900 calls added 10,96,125 contracts.
  2. May 7600 calls shed 67,725.
  3. May 7300 puts added 13,34,325.
  4. May 8200 puts shed 70,125.

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

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(5,4)+GARCH(1,1) model:

VIX 16.55 16.60 16.61 16.66 16.70
σ 0.72 0.79 0.84 0.88 0.92

Monthly Recap: April Angst

world.2016-03-31.2016-04-29

Equities

Major
DAX(DEU) +0.74%
CAC(FRA) +1.00%
UKX(GBR) +1.08%
NKY(JPN) -0.55%
SPX(USA) +0.22%
MINTs
JCI(IDN) -0.14%
INMEX(MEX) +0.12%
NGSEINDX(NGA) -0.96%
XU030(TUR) +2.39%
BRICS
IBOV(BRA) +7.81%
SHCOMP(CHN) -2.18%
NIFTY(IND) +1.44%
INDEXCF(RUS) +4.38%
TOP40(ZAF) +0.72%

Commodities

Energy
Natural Gas +9.63%
Brent Crude Oil +19.35%
WTI Crude Oil +18.78%
Ethanol +7.67%
Heating Oil +16.52%
RBOB Gasoline +12.21%
Metals
Gold 100oz +4.91%
Silver 5000oz +16.23%
Palladium +9.91%
Copper +3.65%
Platinum +10.43%

Currencies

USDEUR:-0.56% USDJPY:-5.32%

MINTs
USDIDR(IDN) -0.45%
USDMXN(MEX) -0.99%
USDNGN(NGA) -0.03%
USDTRY(TUR) -0.91%
BRICS
USDBRL(BRA) -4.40%
USDCNY(CHN) +0.38%
USDINR(IND) +0.12%
USDRUB(RUS) -3.34%
USDZAR(ZAF) -3.57%
Agricultural
Cattle -13.57%
Lean Hogs +14.21%
Soybean Meal +22.41%
Feeder Cattle -10.82%
Wheat +1.48%
Coffee (Arabica) -5.56%
Coffee (Robusta) +5.78%
Corn +11.55%
Cotton +8.51%
Lumber -5.54%
Orange Juice -12.86%
Soybeans +12.23%
Sugar #11 +6.16%
Cocoa +7.24%
White Sugar +5.30%

Credit Indices

Index Change
Markit CDX EM +0.60%
Markit CDX NA HY +0.89%
Markit CDX NA IG -4.40%
Markit iTraxx Asia ex-Japan IG -6.15%
Markit iTraxx Australia -9.74%
Markit iTraxx Europe -1.61%
Markit iTraxx Europe Crossover -9.50%
Markit iTraxx Japan -21.20%
Markit MCDX (Municipal CDS) +0.33%
An eventful month with the RBI cutting rates, ICICI dropping a bomb, BOJ holding off on more QE and oil recovering…

International ETFs (USD)

global.etf.performance.2016-03-31.2016-04-29

Nifty Heatmap

NIFTY 50.2016-03-31.2016-04-29

Index Returns

index.performance.2016-03-31.2016-04-29

Market Cap Decile Performance

deciles.perf.2016-04-29

Top Winners and Losers

UPL +12.60%
DLF +12.85%
VEDL +15.53%
NHPC -14.49%
BHARATFORG -8.59%
UBL -7.88%
High beta stocks rebounded from Jan/Feb lows…

ETF Performance

GOLDBEES +5.98%
BANKBEES +3.70%
JUNIORBEES +3.05%
INFRABEES +2.94%
CPSEETF +2.69%
PSUBNKBEES +1.03%
NIFTYBEES +0.49%
Is infra the next story?

Yield Curve

yieldCurve.2016-03-31.2016-04-29

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.05 +0.77%
5 10 -0.06 +0.92%
10 15 -0.04 +0.94%
15 20 -0.12 +1.75%
20 30 -0.08 +1.50%
Bonds rebounded…

Investment Theme Performance

Midcap recovery under way…

Equity Mutual Funds

Bond Mutual Funds

Institutional flows

FII’s seen renewing their love affair with Indian bonds…

fii-investments.2014-01-01.2016-04-29

dii-investments.2014-01-01.2016-04-29

US Treasuries

Gilts are in the process of normalizing.
ust-ind-10yr-spread.2014-01-01

Is spread between 2s and 10s calling a bluff on a Fed rate hike?

ust-yield-curve.2s10s

Thought to sum up the month

Chance plays a far larger role in life outcomes than most people realize. And yet, the luckiest among us appear especially unlikely to appreciate our good fortune. Wealthy people overwhelmingly attribute their own success to hard work rather than to factors like luck or being in the right place at the right time.

That’s troubling, because seeing ourselves as self-made—rather than as talented, hardworking, and lucky—leads us to be less generous and public-spirited. It may even make the lucky less likely to support the conditions (such as high-quality public infrastructure and education) that made their own success possible.

Source: Why Luck Matters More Than You Might Think

What I read this month

What I Learned Losing a Million Dollars:
_20160501_111546

Amazon