Options Weekly 29.05.2016

Summary: Jun NIFTY 8400 calls added 23,55,000 contracts while 8100 calls shed 5,57,325. On the Put side of the equation, the 7900 strike added 32,20,800 while the 7200’s shed 2,10,900.

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

Options Daily 27.05.2016

NIFTY Summary:

  1. Jun 8300 calls added 9,99,675 contracts.
  2. Jun 8000 calls shed 64,275.
  3. Jun 7900 puts added 16,55,700.
  4. Jun 7600 puts shed 1,70,100.

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

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

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

VIX 15.48 15.59 15.66 15.71 15.75
σ 0.76 0.82 0.87 0.90 0.94

Marketwide OI

Opening Bell 26.05.2016

Your world at 9am

world.2016-05-26

Equities

Major
DAX(DEU) +1.47%
CAC(FRA) +1.13%
UKX(GBR) +0.70%
NKY(JPN) +0.35%
SPX(USA) +0.70%
MINTs
JCI(IDN) +0.01%
INMEX(MEX) +0.54%
NGSEINDX(NGA) +3.78%
XU030(TUR) -1.13%
BRICS
IBOV(BRA) +0.28%
SHCOMP(CHN) -0.78%
NIFTY(IND) +2.40%
INDEXCF(RUS) +0.78%
TOP40(ZAF) +1.47%

Commodities

Energy
Brent Crude Oil +0.64%
Ethanol +0.00%
WTI Crude Oil +0.50%
Heating Oil +0.11%
Natural Gas -1.05%
RBOB Gasoline +0.38%
Metals
Copper +0.00%
Silver 5000oz +0.15%
Palladium +1.62%
Gold 100oz +0.00%
Platinum +0.88%

Currencies

USDEUR:-0.21% USDJPY:-0.49%

MINTs
USDIDR(IDN) -0.21%
USDMXN(MEX) -0.10%
USDNGN(NGA) -0.04%
USDTRY(TUR) +0.01%
BRICS
USDBRL(BRA) +0.33%
USDCNY(CHN) -0.02%
USDINR(IND) -0.62%
USDRUB(RUS) -0.04%
USDZAR(ZAF) -0.26%
Agricultural
Coffee (Robusta) +0.00%
Orange Juice +0.00%
Soybean Meal +0.49%
Soybeans -0.02%
Corn -0.06%
Cotton +0.22%
Feeder Cattle +0.00%
Lumber +0.00%
Wheat +0.27%
White Sugar +0.00%
Cattle +0.00%
Coffee (Arabica) +0.00%
Sugar #11 +0.00%
Cocoa +0.00%
Lean Hogs +0.00%

Credit Indices

Index Change
Markit CDX EM +0.37%
Markit CDX NA HY +0.78%
Markit CDX NA IG -3.88%
Markit iTraxx Asia ex-Japan IG +0.00%
Markit iTraxx Australia -0.19%
Markit iTraxx Europe -3.33%
Markit iTraxx Europe Crossover -14.93%
Markit iTraxx Japan -0.28%
Markit MCDX (Municipal CDS) -0.33%
Out of 42 world ETFs listed in NYSE that we track, 34 are trading above their 10-day SMA and 21 are trading above their 50-day SMA. Also, there were 28 sigma events over the last 24 hours. Details here.

Must reads

The Cabinet approved the first-ever policy for the capital goods sector in the country that aims to triple the value of production of these goods to Rs.7.5 lakh crore by 2025 and create more than 21 million jobs. (Hindu, #economy)

Coming down the pike: stringent norms for high-frequency trades along with higher penalties for misuse. (HT, #SEBI)

We burn our own coal now… proudly. (FE)

‘Acche din’ in 3 years. (TOI)

Travellers, who could not get a confirmed ticket on Rajdhani Express, will now be provided an alternate option under which they can fly by Air India flights at the price that will be similar to AC first class fare of the train. (ITN)

In the last six months, 22 PSU banks reported losses of Rs30,700 crore. They also wiped off 16.4% of their net worth. (LiveMint) PSUBNKBEES 0.00 0.00 (0.00%)

Good luck!

Options Daily 26.05.2016

NIFTY Summary:

  1. Jun 8200 calls added 8,40,975 contracts.
  2. Jun 7800 calls shed 1,11,375.
  3. Jun 7800 puts added 6,33,150.
  4. Jun 7400 puts shed 21,900.

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

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN 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(3,2)+GARCH(1,1) model:

VIX 15.66 15.86 15.99 16.08 16.14
σ 0.84 0.86 0.87 0.89 0.90

Opening Bell 25.05.2016

Your world at 9am

world.2016-05-25

Equities

Major
DAX(DEU) +2.18%
CAC(FRA) +2.46%
UKX(GBR) +1.35%
NKY(JPN) +1.80%
SPX(USA) +1.37%
MINTs
JCI(IDN) +0.72%
INMEX(MEX) +0.52%
NGSEINDX(NGA) +0.80%
XU030(TUR) +3.79%
BRICS
IBOV(BRA) +0.03%
SHCOMP(CHN) +0.29%
NIFTY(IND) +0.23%
INDEXCF(RUS) +0.84%
TOP40(ZAF) +1.07%

Commodities

Energy
Brent Crude Oil +1.17%
Heating Oil +1.14%
Natural Gas -0.20%
Ethanol +0.00%
RBOB Gasoline -0.49%
WTI Crude Oil +1.32%
Metals
Platinum +0.02%
Silver 5000oz +0.17%
Copper +0.00%
Gold 100oz +0.00%
Palladium -1.12%

Currencies

USDEUR:-0.10% USDJPY:+0.05%

MINTs
USDIDR(IDN) -0.04%
USDMXN(MEX) -0.21%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.00%
BRICS
USDBRL(BRA) -0.03%
USDCNY(CHN) +0.07%
USDINR(IND) +0.39%
USDRUB(RUS) -0.00%
USDZAR(ZAF) -0.08%
Agricultural
Corn +0.13%
Cotton -0.10%
Soybean Meal +1.00%
Wheat +0.43%
White Sugar +0.00%
Cocoa +0.00%
Lean Hogs +0.00%
Lumber +0.00%
Coffee (Robusta) +0.00%
Soybeans +0.55%
Cattle +0.00%
Coffee (Arabica) +0.00%
Feeder Cattle +0.00%
Orange Juice +0.00%
Sugar #11 +0.00%

Credit Indices

Index Change
Markit CDX EM -0.44%
Markit CDX NA HY +0.09%
Markit CDX NA IG -0.34%
Markit iTraxx Asia ex-Japan IG +1.08%
Markit iTraxx Australia +0.24%
Markit iTraxx Europe +0.23%
Markit iTraxx Europe Crossover +1.46%
Markit iTraxx Japan +0.27%
Markit MCDX (Municipal CDS) +0.00%
Out of 42 world ETFs listed in NYSE that we track, 23 are trading above their 10-day SMA and 15 are trading above their 50-day SMA. Also, there were 20 sigma events over the last 24 hours. Details here.

Must reads

Water is a “natural resource that belongs to the entire nation” and not to any private entity, the Bombay high court (HC) on Tuesday directed the government to requisition or take charge of all private wells and bore wells for as long as the state faces water shortage. (HT)

The Mauritius pact is likely to provide the much-needed push for fund managers to relocate to India. Or, just trade the SGX Nifty out of Singapore. (LiveMint)

Reserve Bank of India has raised concerns over one-third of ATMs being non-functional and warned the lenders of penal action if the compliance levels are not met. (NDTV)

Deloitte thinks online peer-to-peer lenders will not be significant players in terms of overall volume or share. They are, at best, a sustaining innovation, likely to be limited to serving profitable, underserved segments that are currently overlooked by incumbent banks. (BI)

Sweatshops no more! Adidas announced that it will start marketing its first series of sportshoes manufactured by robots in Germany from 2017. (GP)

Good luck!