Monthly Archives: June 2020

Welcome To The Outlier

If you had asked me a few years ago which week of the year would be the highest grossing statistically speaking I would most likely have pointed at late November or December. Well, close - but no cigar. After running the stats I was amazed to realize that the biggest winning week happens to follow one of the quietest of the year during - right during the height of the summer vacation season. What gives? Read More
  • Mike
  • a few months ago

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
  • Mike
  • a few months ago

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
  • Mike
  • a few months ago

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
  • Mike
  • a few months ago

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
  • Mike
  • a few months ago

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
  • Mike
  • a few months ago

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
  • Mike
  • a few months ago

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
  • Mike
  • a few months ago

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
  • Mike
  • a few months ago

Welcome To The Summer Hole

I'm still split on whether I prefer winter over summer. Sure, summer brings you hot temperatures and pretty girls prancing around in skimpy skirts (and now Luis Vuitton face masks). But at the same time it's the worst season by far for any financial analyst or blogger. Winter on the other hand equals earnings season with a bullish bias, the Santa Rally, holidays full of delicious goodies, plus it promises you skiing in powder filled alpine resorts. What's not to like? Yes, I know - it's so bloody cold! Read More
  • Mike
  • a few months ago

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Written by Mike at Red Pill Quants
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