Monthly Archives: June 2020
The Final Frontier
Thus far week #26 has played out exactly true to form in that it has remained flat as a pancake with a bit of obligatory but listless whipsaw in both directions. If we take a step back and look at the bigger picture it's also not overly surprising to see things slowing down a bit after a two month long face ripping short squeeze that ended up demoralizing even the staunchest of beartards. Read More
Just The Facts Kiddo
If there's one thing I hate more than hospitals it's wasting hours waiting at the hospital for no apparent reason. I'll spare you the gory details but if you ever have the choice of departing this mortal coil or the Spanish healthcare system choose death without hesitation. Anyway, this post will be brief but direct in that it's aimed at the collective silliness I keep encountering in the comment section. Read More
Mid Year Coin Flip
We've almost made it through the seasonal summer solstice sell off, which it shall be known as henceforth since it has a nice ring to it. Week #26 puts us right into the middle of the year and true to form it's a complete coin flip statistically speaking with a net zero Sharpe ratio and a 50% win/loss rate. Read More
The Grand Tour
Since Monday equities have literally run a grand tour on our weekly expected move scale. With one session remaining the big question for most professional option traders today is whether or not we're going to remain in range or if we're going to close the week outside. The reason for that may not be apparent to most retail traders, so let me enlighten you. Read More
I Am Not Surprised
One of my long term readers decided to yank my chain a little yesterday by facetiously asking what this week's expected move (EM) should have been for the SPX. Looking at the outlier moves we've seen lately it's easy to assume that EM is a silly antiquated concept that should at best be ignored. Well I'm not at all sorry to say - you would be horribly wrong. Read More
V For Volatility
Welcome to the fourth most bearish week of the year, at least statistically speaking over the past 70 years. Seasonal bias has been touch and go over the past few years but it didn't take a crystal ball to suspect that we'd be seeing some sort of correction during the onset of summer, and in particular after a record snap back rally that propelled us 1000 SPX handles in less than three months. Read More
Assessing The Damage
If you recall my Monday post then you probably remember that week #24 historically closes flat but can produce quick wipeouts typical to what we see in low participation summer tape. And just looking at my trusted Zero indicator signal yesterday made it crystal clear that the bots were running the session. Instead of relying on complex indicators or silly wave counts let's instead look at what price is telling us. Read More
VIX In Shark Fin Formation
If you've been following implied volatility as long as I have then you know that backwardation is incredibly uncommon in the VIX futures curve. For the uninitiated amongst you, a futures curve or futures term structure is produced by drawing a graph comprised of a time window snapshot of two or more futures contracts of an underlying asset, e.g. crude, gold, pork-bellies, or in this case the VIX. Read More
