Big baseball weekend for Roids news. A-Rod readies for his 600th homer, while MLB gets ahead of the PR bandwagon for once by announcing it will test minor leaguers for HGH.
I love baseball, but I really could care less about A-Rod's 600th, and it's not because I hate the Yankees, A-Rod or steroids. I do hate the Yankees, but not...
Great month for Sara CarbenEro. Spain wins World Cup, Nadal wins Wimbledon, Contador likely to win Tour De France.......
And best of all, Spanish banks look almost as good as she does (well, not really, but.....).
European stress test results are streaming out and surprise, surprise, looks like most of them are passing. All but one of the 14 German banks passed - nationalized mortgage lender Hypo Real Estate Holding failed - while all four French banks tested passed. Results still...
As a result of meeting franchise client and broader market needs, we had a short equity volatility position going into the quarter. Given the spikes in volatility that occurred during the quarter, equity derivatives posted poor quarterly results," Goldman's chief financial officer, David Viniar,...
Big news from the people that brought us Bill Gross's moustache (via Bloomberg).
Wall Street’s hottest new product is fear.
Almost two years after Lehman Brothers Holdings Inc.’s failure caused world markets to seize up, Pacific Investment Management Co. is planning a fund that will offer protection to investors against market declines of more than 15 percent. Morgan Stanley strategists estimate demand for hedges against such cataclysms helped drive as much as a fivefold increase last...
If my analysis of XXV is correct, it's going to have some odd quirks.
When it's over $20, it will "under" rally relative to further dips in VXX. At least on a day over day basis. Conversely it will "over" decline on VXX lifts from here.
If XXV is under $20? Scratch the above and reverse it.
Over time though, if VXX gradually drifts, as we expect it too, XXV should appreciate. You're going to clearly get some painful bumps along the way as VXX will have blip-up days. But if it fits you ever to...
Upon further review, I erred in my analysis of this new XXV. The nickel version is that unlike the levered and inverse levered ETF's we know and love, XXV uses the original offering price as a basis. I incorrectly assumed they use the day over day change like the TZA's and SSO's of the world.
The implication is very interesting. XXV will not gradually drift lower, but it might abruptly crash lower. It also may provide a decent holding over time.
So on Friday, the VIX lifts under 5%, a rather tepid reaction to an ugly market day. Complacency! The general interpretation? Bearish for market.
On Tuesday, the market reverses an poor open to close green, VIX gets drilled, under 24 and equal to lows since the original May pop. More Complacency! Bearish.
On Wednesday, Market does nearly the reverse of Tuesday, strong open, ugly Ben reaction, VIX almost completely retraces, and basically moves up faster than SPY/SPX decline. Divergence! Excess...
Here's the situation behind this picture. Mets closer Walk-Rod (formerly known as K-Rod) has already blown a 3-1 lead and yet another great outing by Johan Santana. It's now 3-3, bottom of the 9th, ground ball to David Wright, he throws to home and the runner slides into the plate before the catcher gets the tag down and.....of course he's called out. Giants then don't score, Mets score in top of 10th and win. And thanks to The Human Element, they are 1-5 since...
Is the monstrous exposure of getting the title song on the Eclipse soundtrack worth....having to be on the Eclipse soundtrack? I guess....tough to argue with the Benjamins.
Oh yeah, where was I?
Surly Trader notes the mongo VIX futures premiums and has this trade idea out to August.
So how do you actually trade the closing of this gap? Go long one month ATM calls and puts, delta hedge that position and short the equivalent vega position in the front month futures contract. As with all...
Suggestions of worry build as one looks forward. The curve of longer-dated contracts rises to around the 33 level for this fall's contracts before flattening into next year. Those levels aren't so different from much of June's harried trading, when the index nine times closed above 30. It had previously surged to the mid-40s amid May's stock market "flash crash."
Where have I heard this before? Oh yeah, on this...
For the last eight earnings cycles AAPL has followed a consistent pattern. Namely, the stock has gone up from close to close each time.....
The upward move in stock price has sometimes been so great that it made the front month ATM straddle a purchase ahead of earnings for the one day trade; at other times, the move up has been smaller and the ATM straddle was a sale for a one day gain.
One pattern that has worked eight quarters in a row has...
Great question. It's tricky. If you're net short options, let's say short a straddle, you get longer (stock equivalent) into stock weakness and shorter...
Buyer of 50K Aug. 60 calls in VIX. Just another rural investment club no doubt.
Damn you, Beardstown Ladies!
OK seriously, you just never know what's up with an order like that. They're .20, so not an ungodly sum of money invested to protect the portfolio. But they're almost impossibly far away. VIX futures would trade at serious discounts if VIX got anywhere near there. Then again the volatiltiy of volatilty would explode, so even with August VIX at like 40-45, these would get pumped.
Notice that VIX up big, with VXX down a smidge? Hey, it's the long lost Monday Effect! Odd that it happens after such an ugly Friday. Was anyone that worried about eating weekend decay after a market melt? I guess so.
Anyway, MKM Partners has some thoughts on the volatility picture.
The 2.9% dive in the S&P 500 Index on Friday produced a benign 4.4% increase in spot VIX to 26.25, with a late-day swoon likely attributable to pricing-in a summer weekend. Meanwhile, the VIX futures term...
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