Opening Bell 26.03.2015

Your world at 9am

world.2015-03-26

Equities

Major
DAX(DEU) -1.17%
CAC(FRA) -1.32%
UKX(GBR) -0.41%
NKY(JPN) -1.57%
SPX(USA) -1.46%
MINTs
JCI(IDN) +0.04%
INMEX(MEX) -1.02%
NGSEINDX(NGA) +1.03%
XU030(TUR) +0.86%
BRICS
IBOV(BRA) +0.68%
SHCOMP(CHN) +0.05%
NIFTY(IND) -0.14%
INDEXCF(RUS) -0.19%
TOP40(ZAF) -1.18%

Commodities

Energy
Brent Crude Oil +3.95%
Ethanol +0.00%
Heating Oil +3.51%
Natural Gas +0.33%
RBOB Gasoline +2.23%
WTI Crude Oil +4.55%
Metals
Copper +0.00%
Gold 100oz +0.08%
Palladium +0.21%
Platinum +0.19%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.04% USDJPY:-0.15%

MINTs
USDIDR(IDN) +0.28%
USDMXN(MEX) -0.06%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.03%
BRICS
USDBRL(BRA) +1.96%
USDCNY(CHN) +0.02%
USDINR(IND) +0.36%
USDRUB(RUS) -0.25%
USDZAR(ZAF) +0.20%
Agricultural
Cocoa +0.00%
Coffee (Arabica) +1.64%
Orange Juice +0.35%
Soybean Meal -0.28%
Cotton -0.43%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.80%
Soybeans +0.00%
Sugar #11 +0.48%
Wheat +0.53%
White Sugar +0.00%
Cattle +0.00%
Coffee (Robusta) +0.00%
Corn +0.25%

Credit Indices

Index Change
Markit CDX EM +0.18%
Markit CDX NA HY -0.06%
Markit CDX NA IG +0.24%
Markit iTraxx Asia ex-Japan IG -0.96%
Markit iTraxx Australia -0.45%
Markit iTraxx Europe -0.94%
Markit iTraxx Europe Crossover -2.58%
Markit iTraxx Japan -0.62%
Markit iTraxx SovX Western Europe +0.10%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +1.29%
Oil: up. Equities: down. Dollar: up. Risk: OFF.

Must reads

FYI, Ranbaxy will stop trading from April 6, 2015.

Bids for 4G spectrum is 80% above reserve price. Can they charge consumers enough to justify these prices? (ET)

MF upfront commissions capped at 1% from April 1. Hopefully this will stop the rampant miss-selling going on in the closed-ended NFO sector. (TOI, #fund)

IMF: India’s net international investment position has fallen to –17% of GDP. (LiveMint, #economy)

The Fed’s zero rates and quantitative easing flooded the emerging world with dollar liquidity in the boom years, overwhelming all defences. Foreigners have borrowed $9 trillion in US currency outside American jurisdiction. This is up from $2 trillion in 2000. The dollar index (DXY) has soared 24% since July, and 40% since mid-2011. How badly will this end? (Telegraph)

Traders have resumed buying call options that pay out if benchmark US crude futures surpass $100 by the end of 2018. (FT)

Good luck!

Options Daily 26.03.2015

Summary: Apr NIFTY 8800 calls added 373,150 contracts while 9100 calls shed 32,300. On the Put side of the equation, the 8200 strike added 287,300 while the 8750’s shed 350.

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

MAR BANKNIFTY Volatility chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

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

Opening Bell 25.03.2015

Your world at 9am

world.2015-03-25

Equities

Major
DAX(DEU) +0.92%
CAC(FRA) +0.67%
UKX(GBR) -0.26%
NKY(JPN) -0.12%
SPX(USA) -0.61%
MINTs
JCI(IDN) -0.44%
INMEX(MEX) +0.19%
NGSEINDX(NGA) +0.27%
XU030(TUR) -2.19%
BRICS
IBOV(BRA) -0.78%
SHCOMP(CHN) -0.82%
NIFTY(IND) -0.09%
INDEXCF(RUS) +0.98%
TOP40(ZAF) +0.55%

Commodities

Energy
Brent Crude Oil +0.02%
Ethanol -0.73%
Heating Oil +0.22%
Natural Gas -0.97%
RBOB Gasoline -0.15%
WTI Crude Oil -0.11%
Metals
Copper -0.20%
Gold 100oz +0.00%
Palladium +0.03%
Platinum -0.31%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.07% USDJPY:-0.11%

MINTs
USDIDR(IDN) +0.12%
USDMXN(MEX) -0.01%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.19%
BRICS
USDBRL(BRA) +0.23%
USDCNY(CHN) +0.07%
USDINR(IND) +0.10%
USDRUB(RUS) -0.05%
USDZAR(ZAF) +0.10%
Agricultural
Cocoa +0.00%
Corn +0.32%
Cotton +0.16%
Coffee (Robusta) +0.00%
Feeder Cattle +0.00%
Soybean Meal +0.15%
Sugar #11 -2.90%
Wheat +0.43%
White Sugar +0.00%
Lean Hogs +0.00%
Orange Juice +2.29%
Soybeans +0.08%
Cattle +0.00%
Coffee (Arabica) -2.93%
Lumber +1.19%

Credit Indices

Index Change
Markit CDX EM +0.06%
Markit CDX NA HY +0.01%
Markit CDX NA IG -0.02%
Markit iTraxx Asia ex-Japan IG -0.75%
Markit iTraxx Australia -0.38%
Markit iTraxx Europe +1.96%
Markit iTraxx Europe Crossover +7.81%
Markit iTraxx Japan -0.74%
Markit iTraxx SovX Western Europe -0.31%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -0.20%
Overnight equity markets ended in the red and this morning’s take is not any better…

Must reads

From Modi to Dhobi in less than a year. Business Sentiment Indicator fell 4.8% to 63 in March, the lowest level since April 2014. (LiveMint, #economy)

Sebi has been asked to furnish its fee income details earned since 2012 till date by the service tax department. As per initial assessment by the tax department, Sebi’s service tax liability will be more than Rs 500 crore. #LOL. (DNA, #SEBI)

The next billion dollar idea is the shit. (Guardian)

China wants to buy Europe. (BV)

Good luck!

Options Daily 25.03.2015

Summary: Apr NIFTY 8700 calls added 376,075 contracts while 9200 calls shed 80,775. On the Put side of the equation, the 8600 strike added 240,625 while the 8400’s shed 49,875.

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

MAR BANKNIFTY Volatility chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

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

Leaders and Laggards

Lagged correlations

Excess winter snow-fall in the Himalayas lead to floods in Bangladesh during spring. If we know that that there was excess snow-fall in the Himalayas this season, we can be better prepared to handle the floods four-months from now. This is the idea behind studying lagged correlations.

If we took a pair of sector indices and lagged their returns, can we find an index that “leads” an other and profit from it?

CNX BANK.CNX CONSUMPTION.monthly.lag

The chart above is called the cross-correlation plot. It shows that there are two lags, 5 and 9, where CNX BANK lags CONSUMPTION. A scatter plot shows how monthly-returns are correlated to each other across different lags and confirms the relationship:

CNX BANK.CNX CONSUMPTION.monthly.scatter

Finding

We found a number of index pairs that lead/follow one another. In addition to the CNX BANK and CNX CONSUMPTION indices above, CNX INFRA and CNX CONSUMPTION, CNX IT and CNX FINANCE, CNX CONSUMPTION and AUTO display this dynamic.

CNX INFRA.CNX CONSUMPTION.monthly.lag

CNX IT.CNX FINANCE.monthly.lag

CNX CONSUMPTION.AUTO.monthly.lag

Data mining warning

We cannot draw any conclusion from this “finding.” We mined 20 indices over 5 years to dig these nuggets out. The result is spurious. From a statistical point of view, there is no index that consistently leads or lags another.

Related: Should you care about monthly returns of the Nifty?