Opening Bell 27.02.2017

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -1.20%
CAC(FRA) -0.94%
UKX(GBR) -0.38%
NKY(JPN) -1.16%
SPX(USA) +0.15%
MINTs
JCI(IDN) -0.20%
INMEX(MEX) -0.21%
NGSEINDX(NGA) -0.62%
XU030(TUR) -1.03%
BRICS
IBOV(BRA) -1.18%
SHCOMP(CHN) -0.17%
NIFTY(IND) +0.14%
INDEXCF(RUS) -0.63%
TOP40(ZAF) -1.16%

Commodities

Energy
Heating Oil -0.10%
Ethanol +0.00%
RBOB Gasoline -0.11%
WTI Crude Oil +0.31%
Brent Crude Oil +0.41%
Natural Gas -2.83%
Metals
Platinum +0.24%
Gold 100oz -0.01%
Palladium -0.06%
Copper -0.21%
Silver 5000oz +0.14%

Currencies

USDEUR:-0.04% USDJPY:+0.05%

MINTs
USDIDR(IDN) +0.09%
USDMXN(MEX) -0.27%
USDNGN(NGA) -1.26%
USDTRY(TUR) -0.24%
BRICS
USDBRL(BRA) +1.54%
USDCNY(CHN) +0.09%
USDINR(IND) -0.22%
USDRUB(RUS) -0.48%
USDZAR(ZAF) -0.16%
Agricultural
Cattle +0.00%
Cocoa +0.00%
Soybean Meal +0.36%
Soybeans +0.25%
Coffee (Arabica) -2.79%
Lean Hogs +0.00%
Lumber +0.00%
White Sugar +0.00%
Corn +0.21%
Cotton +0.00%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Orange Juice -2.26%
Sugar #11 -1.64%
Wheat -0.17%

Out of 42 world ETFs listed in NYSE that we track, 14 are trading above their 10-day SMA and 35 are trading above their 50-day SMA.

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

Good luck!

Options Daily 27.02.2017

NIFTY Summary:

  1. Mar 9100 calls added 5,64,000 contracts.
  2. Feb 8900 calls shed 31,84,650.
  3. Mar 8400 puts added 7,10,100.
  4. Mar 7700 puts shed 19,200.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 64.32 235.82
5 68.90 257.82
10 72.83 265.06
20 75.50 264.93

NIFTY 50 NIFTY BANK
TrueRange 55.25 183.50
TrueHigh 8982.15 21011.90
TrueLow 8926.90 20828.40
Avg. True Range

NIFTY.50 NIFTY.BANK
3 64.32 235.82
5 68.90 257.82
10 72.83 265.06
20 75.50 264.93

NIFTY 50 NIFTY BANK
TrueRange 55.25 183.50
TrueHigh 8982.15 21011.90
TrueLow 8926.90 20828.40

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

MAR 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 17.24 17.24 17.24 17.24 17.24
σ 4.03 4.22 4.40 4.57 4.74

2017-02-23 Implied Volatility Record

https://www.youtube.com/watch?v=QaOWnuXq9LI

Marketwide OI

Options Weekly 25.02.2017

Summary: Mar NIFTY 9100 calls added 18,48,075 contracts while 8900 calls shed 1,75,500. On the Put side of the equation, the 8800 strike added 15,18,975 while the 8300’s shed 69,600.

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

Opening Bell 23.02.2017

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.26%
CAC(FRA) +0.15%
UKX(GBR) +0.38%
NKY(JPN) -0.35%
SPX(USA) -0.11%
MINTs
JCI(IDN) +0.07%
INMEX(MEX) -0.96%
NGSEINDX(NGA) -0.01%
XU030(TUR) -0.47%
BRICS
IBOV(BRA) -0.67%
SHCOMP(CHN) -0.31%
NIFTY(IND) +0.21%
INDEXCF(RUS) -1.01%
TOP40(ZAF) -1.06%

Commodities

Energy
Brent Crude Oil +0.93%
Ethanol +0.00%
Heating Oil +0.79%
RBOB Gasoline +0.81%
Natural Gas +0.85%
WTI Crude Oil +0.95%
Metals
Copper +0.00%
Silver 5000oz +0.00%
Gold 100oz +0.33%
Palladium -0.01%
Platinum -0.01%

Currencies

USDEUR:+0.01% USDJPY:-0.03%

MINTs
USDIDR(IDN) -0.06%
USDMXN(MEX) -0.03%
USDNGN(NGA) +0.20%
USDTRY(TUR) +0.03%
BRICS
USDBRL(BRA) -1.03%
USDCNY(CHN) +0.01%
USDINR(IND) -0.07%
USDRUB(RUS) -0.17%
USDZAR(ZAF) +0.34%
Agricultural
Coffee (Robusta) +0.00%
White Sugar +0.00%
Cattle +0.00%
Cocoa +0.00%
Feeder Cattle +0.00%
Sugar #11 +0.00%
Coffee (Arabica) +0.00%
Orange Juice +0.00%
Soybeans +0.24%
Wheat +0.45%
Corn +0.13%
Cotton +0.00%
Lean Hogs +0.00%
Lumber +0.00%
Soybean Meal +0.18%

Out of 42 world ETFs listed in NYSE that we track, 29 are trading above their 10-day SMA and 36 are trading above their 50-day SMA.

Must Reads

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India’s growth is projected to slow to 6.6 % in 2016-17 fiscal due to the strains that have emerged in the economy as a result of “temporary disruptions” caused by demonetisation, the IMF said on Wednesday.

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

Good luck!