Options Daily 29.08.2016

NIFTY Summary:

  1. Sep 8800 calls added 7,63,200 contracts.
  2. Sep 9500 calls shed 94,800.
  3. Sep 8400 puts added 18,24,600.
  4. Sep 9000 puts shed 2,18,025.

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

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

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 17.47 17.47 17.47 17.47 17.47
σ 4.09 4.27 4.45 4.61 4.78

Marketwide OI

market wide position limit chart

Options Weekly 27.08.2016

Summary: Sep NIFTY 8700 calls added 23,71,500 contracts while 9500 calls shed 94,800. On the Put side of the equation, the 8400 strike added 29,79,600 while the 9000’s shed 2,18,025.

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI 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

Opening Bell 26.08.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) -0.88%
CAC(FRA) -0.65%
UKX(GBR) -0.28%
NKY(JPN) -0.65%
SPX(USA) -0.14%
MINTs
JCI(IDN) -0.29%
INMEX(MEX) -0.07%
NGSEINDX(NGA) -1.80%
XU030(TUR) +0.77%
BRICS
IBOV(BRA) +0.01%
SHCOMP(CHN) +0.56%
NIFTY(IND) -0.67%
INDEXCF(RUS) +0.10%
TOP40(ZAF) -0.21%

Commodities

Energy
Heating Oil -0.05%
RBOB Gasoline -0.20%
Brent Crude Oil -0.30%
Ethanol -0.35%
Natural Gas +0.28%
WTI Crude Oil -0.17%
Metals
Palladium +1.15%
Gold 100oz +0.00%
Copper +0.00%
Platinum +0.33%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.01% USDJPY:-0.04%

MINTs
USDIDR(IDN) +0.00%
USDMXN(MEX) +0.05%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.05%
BRICS
USDBRL(BRA) +0.30%
USDCNY(CHN) +0.07%
USDINR(IND) -0.07%
USDRUB(RUS) -0.63%
USDZAR(ZAF) -0.09%
Agricultural
Coffee (Arabica) +0.00%
Feeder Cattle +0.00%
Soybeans -0.28%
Wheat +0.00%
Cocoa +0.00%
Cotton +0.00%
Lean Hogs +0.00%
Lumber +0.00%
Soybean Meal +0.09%
Coffee (Robusta) +0.00%
Corn +0.23%
Orange Juice +0.00%
Sugar #11 +0.00%
White Sugar +0.00%
Cattle +0.00%

Out of 42 world ETFs listed in NYSE that we track, 14 are trading above their 10-day SMA and 40 are trading above their 50-day SMA.

Must Reads

RBI opens up bond market
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Real-time money transfer via Unified Payments Interface soon to become reality
MUMBAI: Trying to split the dinner bill that a friend has paid for with his card? Or, no money in the wallet and no ATMs around to pay the taxi driver? These won’t be much of a headache now, as the Unified Payments Interface has finally become a reality.

Big banks plan to coin new digital currency

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

Good luck!

Options Daily 26.08.2016

NIFTY Summary:

  1. Sep 8700 calls added 10,97,700 contracts.
  2. Sep 9050 calls shed 8,400.
  3. Sep 8300 puts added 7,39,650.
  4. Sep 8500 puts shed 1,83,900.

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

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 17.46 17.46 17.46 17.46 17.46
σ 4.35 4.52 4.69 4.84 5.00

Marketwide OI

market wide position limit chart

Opening Bell 25.08.2016

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.28%
CAC(FRA) +0.32%
UKX(GBR) -0.48%
NKY(JPN) -0.25%
SPX(USA) -0.52%
MINTs
JCI(IDN) +0.40%
INMEX(MEX) +0.21%
NGSEINDX(NGA) +0.25%
XU030(TUR) -1.63%
BRICS
IBOV(BRA) -0.52%
SHCOMP(CHN) -1.38%
NIFTY(IND) +0.21%
INDEXCF(RUS) -0.30%
TOP40(ZAF) +1.56%

Commodities

Energy
Brent Crude Oil -0.02%
Ethanol +0.00%
RBOB Gasoline -0.64%
Heating Oil -0.07%
Natural Gas -0.29%
WTI Crude Oil +0.04%
Metals
Platinum +0.18%
Gold 100oz -0.23%
Palladium +0.73%
Copper +0.26%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.07% USDJPY:+0.00%

MINTs
USDIDR(IDN) +0.07%
USDMXN(MEX) -0.01%
USDNGN(NGA) +8.27%
USDTRY(TUR) -0.19%
BRICS
USDBRL(BRA) -0.32%
USDCNY(CHN) -0.04%
USDINR(IND) -0.01%
USDRUB(RUS) -0.18%
USDZAR(ZAF) +0.04%
Agricultural
Soybean Meal -0.12%
Cattle +0.00%
Coffee (Robusta) +0.00%
Corn +0.15%
Lean Hogs -0.37%
Lumber -0.34%
Orange Juice +0.00%
Sugar #11 +0.00%
Wheat +0.31%
Cocoa +0.00%
Feeder Cattle +0.00%
Coffee (Arabica) +0.00%
Cotton -0.49%
Soybeans -0.73%
White Sugar +0.00%

Out of 42 world ETFs listed in NYSE that we track, 13 are trading above their 10-day SMA and 39 are trading above their 50-day SMA.

Must Reads

French support for the EU project is crumbling on the Left and Right
The drama of Brexit may soon be matched or eclipsed by crystallizing events in France, where the Long Slump is at last taking its political toll. A democracy can endure deflation policies for only so long.


Marginal cost of public funds: a valuable tool for thinking about taxation and expenditure in India
In an ideal world, taxation would be done in a frictionless way. There would be no transactions costs either for taxpayers in compliance or for the tax authoritiese in collection. There would be no illegality and criminality surrounding the tax system.

A Chinese news outlet used an incredibly efficient “robot reporter” to cover the Olympics
A Chinese robot reporter produced 450 Olympic news items over the 15-day sporting event, mostly about China’s dominant sports, like badminton and table tennis. While its prose was criticized for being somewhat rote, the coverage certainly was speedy, appearing minutes after events ended.

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.

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

Good luck!