Monthly Recap: Jumpin’ July

world.2016-06-30.2016-07-29

Equities

Major
DAX(DEU) +6.79%
CAC(FRA) +4.77%
UKX(GBR) +3.38%
NKY(JPN) +6.38%
SPX(USA) +3.77%
MINTs
JCI(IDN) +3.97%
INMEX(MEX) +2.86%
NGSEINDX(NGA) -5.36%
XU030(TUR) -2.19%
BRICS
IBOV(BRA) +11.06%
SHCOMP(CHN) +1.70%
NIFTY(IND) +4.23%
INDEXCF(RUS) +2.83%
TOP40(ZAF) -0.13%

Commodities

Energy
RBOB Gasoline -13.15%
Brent Crude Oil -12.87%
Heating Oil -12.58%
WTI Crude Oil -16.00%
Ethanol -12.08%
Natural Gas -2.46%
Metals
Platinum +12.24%
Palladium +18.96%
Copper +1.83%
Gold 100oz +2.68%
Silver 5000oz +7.49%

Currencies

USDEUR:-0.97% USDJPY:-1.17%

MINTs
USDIDR(IDN) -0.74%
USDMXN(MEX) +2.62%
USDNGN(NGA) +14.05%
USDTRY(TUR) +3.74%
BRICS
USDBRL(BRA) +1.33%
USDCNY(CHN) -0.20%
USDINR(IND) -0.78%
USDRUB(RUS) +3.20%
USDZAR(ZAF) -5.90%
Agricultural
Cocoa -3.70%
Coffee (Arabica) +1.36%
Coffee (Robusta) +9.31%
Soybeans -12.32%
Cattle -5.67%
Lean Hogs -16.43%
Lumber +4.36%
Cotton +17.31%
Feeder Cattle -2.56%
Orange Juice -1.21%
Soybean Meal -13.91%
Corn -7.81%
Sugar #11 -6.04%
Wheat -5.16%
White Sugar -5.14%

International ETFs (USD)

global.etf.performance.2016-06-30.2016-07-29

Nifty Heatmap

NIFTY 50.2016-06-30.2016-07-29

Index Returns

index.performance.2016-06-30.2016-07-29
More: Sector Dashboard

Market Cap Decile Performance

deciles.perf.2016-07-29
More: Equal-Weight Deciles, Cap-Weight Deciles

ETF Performance

JUNIORBEES +9.46%
CPSEETF +7.74%
BANKBEES +5.73%
PSUBNKBEES +4.86%
NIFTYBEES +4.54%
INFRABEES +4.39%
GOLDBEES +0.68%
CPSE ETF found a bid? Is this a dash-for-trash rally?

Yield Curve

yieldCurve.2016-06-30.2016-07-29

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.24 +1.35%
5 10 -0.35 +2.45%
10 15 -0.33 +3.04%
15 20 -0.34 +3.71%
20 30 -0.34 +4.59%
The biggest story of this year is long-term bonds returning 4.5% in a month!

Investment Theme Performance

Will automated (momo) momentum strategies outperform their hand-crafted cousins? Interesting days ahead…

Equity Mutual Funds

Bond Mutual Funds

Institutional Flows

Bond inflows nowhere close to what occurred in March…

dii-investments.2014-01-01.2016-07-29

fii-investments.2014-01-01.2016-07-29

US Treasuries vs. Indian Gilts

More room for Indian Gilts to rally?
ust-ind-10yr-spread.2014-01-01

Book of the month

Sapiens: A Brief History of Humankind (Amazon)

_20160731_090441

Options Weekly 30.07.2016

Summary: Aug NIFTY 9000 calls added 21,80,475 contracts while 8600 calls shed 57,675. On the Put side of the equation, the 8500 strike added 22,84,350 while the 7500’s shed 2,01,900.

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

Opening Bell 29.07.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.43%
CAC(FRA) -0.59%
UKX(GBR) -0.44%
NKY(JPN) -0.40%
SPX(USA) +0.16%
MINTs
JCI(IDN) +0.48%
INMEX(MEX) +0.36%
NGSEINDX(NGA) -0.56%
XU030(TUR) +0.10%
BRICS
IBOV(BRA) -0.33%
SHCOMP(CHN) -0.26%
NIFTY(IND) +0.59%
INDEXCF(RUS) +0.81%
TOP40(ZAF) -1.03%

Commodities

Energy
Ethanol +0.00%
Natural Gas -0.42%
WTI Crude Oil -0.19%
Heating Oil +0.00%
Brent Crude Oil -0.19%
RBOB Gasoline -0.43%
Metals
Gold 100oz +0.17%
Platinum +0.18%
Copper +0.00%
Palladium +0.37%
Silver 5000oz +0.69%

Currencies

USDEUR:-0.06% USDJPY:-0.76%

MINTs
USDIDR(IDN) -0.02%
USDMXN(MEX) -0.01%
USDNGN(NGA) -0.04%
USDTRY(TUR) -0.04%
BRICS
USDBRL(BRA) +0.92%
USDCNY(CHN) -0.04%
USDINR(IND) +0.03%
USDRUB(RUS) -0.25%
USDZAR(ZAF) -0.28%
Agricultural
Soybeans +0.60%
Sugar #11 +0.00%
Wheat +0.24%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Cotton -0.53%
Orange Juice +0.00%
Soybean Meal +0.23%
Cocoa +0.00%
Corn +0.23%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.00%
White Sugar +0.00%
Cattle +0.00%

Must Reads

GST Bill: Odd numbers
The Centre is keen on passing the Goods and Services Bill in the current session of Parliament. The Bill, officially known as The Constitution (122nd Amendment) (GST) Bill, 2014, requires amending the Constitution to bring a goods and service tax that will subsume all indirect taxes.

The Unbearable Transience of Alpha
In 2004 I enjoyed my 15 minutes of fame for an article I wrote called The Tao of Alpha, in which I explained the concept of alpha as a zero-sum game.

Of elections and inflation in India

Good luck!

Options Daily 29.07.2016

NIFTY Summary:

  1. Aug 8900 calls added 7,65,075 contracts.
  2. Aug 9800 calls shed 75.
  3. Aug 8600 puts added 10,70,475.
  4. Aug 7600 puts shed 28,425.

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

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG 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
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 17.53 17.53 17.53 17.53 17.53
σ 2.70 2.98 3.24 3.48 3.70

Marketwide OI

Opening Bell 28.07.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.70%
CAC(FRA) +1.19%
UKX(GBR) +0.39%
NKY(JPN) -0.69%
SPX(USA) -0.12%
MINTs
JCI(IDN) -0.18%
INMEX(MEX) -0.10%
NGSEINDX(NGA) +0.93%
XU030(TUR) +1.83%
BRICS
IBOV(BRA) +0.12%
SHCOMP(CHN) -0.08%
NIFTY(IND) +0.29%
INDEXCF(RUS) +0.01%
TOP40(ZAF) +0.18%

Commodities

Energy
Heating Oil +0.57%
Brent Crude Oil +0.32%
WTI Crude Oil +0.38%
Ethanol +0.00%
Natural Gas +0.23%
RBOB Gasoline +0.65%
Metals
Gold 100oz +0.82%
Platinum +1.19%
Palladium +0.26%
Copper +1.08%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.15% USDJPY:-0.55%

MINTs
USDIDR(IDN) -0.18%
USDMXN(MEX) -0.11%
USDNGN(NGA) -0.08%
USDTRY(TUR) -0.19%
BRICS
USDBRL(BRA) -0.43%
USDCNY(CHN) -0.12%
USDINR(IND) -0.16%
USDRUB(RUS) +0.21%
USDZAR(ZAF) -0.35%
Agricultural
Soybeans +0.59%
Orange Juice +0.00%
White Sugar +0.00%
Cocoa +0.00%
Corn +0.67%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.00%
Soybean Meal +0.67%
Cattle +0.00%
Coffee (Arabica) +0.00%
Coffee (Robusta) +0.00%
Cotton -0.15%
Sugar #11 +0.00%
Wheat +0.90%

Must Reads

What a Trump Presidency Means for Asian Stocks
This is an extract of a longer research report by Nomura’s Asia global markets research team entitled “Trumping Asia”.

Funds chase stressed assets down the rabbit hole
Stressed asset funds are the flavour of the season. On Wednesday, State Bank of India (SBI) said that it has signed a memorandum of understanding with Brookfield Asset Management to purchase distressed assets.

Alibaba wants a pie of not just e-commerce in India, but also its $1.3 trillion retail market
For Alibaba, India is a big market, and that’s not a secret. But what does its management really think of India’s e-commerce market? That’s the question on everybody’s mind.

Maybe Negative Yields Are a Sign of Prosperity
Just when it seemed that negative yields could not spread any further, they did. Corporate bonds paying negative interest rates now account for about $512 billion of market value, bringing the world close to a total of nearly $10 trillion in securities with yields below zero.

PM Abe’s plan for $265 billion stimulus puts pressure on BOJ to ease
TOKYO Japan’s prime minister unveiled a surprisingly large $265 billion stimulus package on Wednesday to reflate the world’s third-largest economy, adding pressure on the central bank to match the measures with monetary stimulus later this week.

Good luck!