This page has been archived and commenting is disabled.
And For That Flashy Crashy Smell, Here Are Surging Vol And Implied Correlation
You can look at the Dow which is hilariously green on the day despite the now doubly confirmed contraction of the US economy. Or you can look at the VIX which is now surging in what can be classified as an offerless market, and up well over 10% at last check. NYSE Circuit breakers now off.
And just to make sure that the market has that fresh Flashy Crashy smell to it, here is Implied Correlation.
- 12108 reads
- Printer-friendly version
- Send to friend
- advertisements -




As The World Burns
Beware my friend, shit winds are a-comin
https://www.youtube.com/watch?v=srq_MbsUTuM
hope they don't shit on you..
http://www.youtube.com/watch?v=fwiXG0p3N6g&NR=1
Margin rate hike coming in 5...4...3...2...
Now why would you say that :-) ?
Say some of the large players wanted to create a lot of uncertainty and borderline panic in the market so that they could get the Fed to do QE3 and keep the gravy train rolling. This is about what that would look like, I'd say. Mid-day swoons, crushing the confidence of the smaller fish, etc.
Nope - game theory is the Decent Interval must pass before QE3, during which stocks take a beating. However, the hoped for effect when QE3 is announced may not happen. Call it the "Cry Wolf" problem of decreasing effectiveness. Gold will of course advance nicely at that time.
Not using SKEW anymore?
No need when plunge risk is imminent. And also more relevant for Pin risk ahead of quad witching tomorrow (for reference see Cashing post earlier).
Things are looking up can't you see ? Time for LIESMAN to gloat some more, and the hit the Shoney's dessert cart for the fourth time
Trying to translate this into human:
1. rocketing VIX = "shitstorm a-comin"
2. Climbing Implied Correlation = "everything's going into the crapper together"
Did I get that right?
I love the smell of panic in the afternoon.
Flashy crashy panic is the most fragrant kind.
awesome headline and story, thanks
Because one always likes a giggle....from client facing Goldman May 27, 2011:
Options strategists at Goldman Sachs advise clients to take advantage of a steady S&P 500 the next two months with put options on the VIX. Goldman recommends buying VIX July 17 puts. The CBOE Volatility index measures the prices investors are willing to pay for option hedges on the S&P 500 and tends to rise when stocks fall, and vice versa. VIX options pricing is based on the expected value of the VIX at expiration, not the current spot. VIX down 3.4% at 15.54.
Goldman's really digging deep for those last few greater fools. What will they do when the vein runs out and the mine must be closed?
That's known as the Goldman Bull Call Bear Put VIX Spread.
It's in their manual.
It's either before or after Abacus...
Seems low probability that one of Goldman's victims will not eventually walk into one of their offices and mete out a little justice. Intrade prediction: Lloyd Blankfein to be beheaded by man with chainsaw: 99%
ill take the other side of that
unfortunately it rare that these guys get what they deserve
that should be framed. brilliant!
indu in the green b/c momos short covering?
Central bank buying EURUSD for the second time today. Probably PBoC.
just interested, how do you detect this?
Inst trading desks
Tyler is our man inside. For kicks he sneaks onto the Goldman trading floor during NYSE hours and shoots spit balls at the traders while sexting with Marla using the other hand. I have no idea what he does with the third hand and I'm not sure I want to know.
Tyler.......our man in Goldman.
For those who don't know, NEVER get the clam chowder at haute NY restaurants.
NEVER.
or the lobster bisque, or the...
You gotta love Tyler and ZH!
Lehman's ghost rearing it's ugly head again?
oh
Just curious, was there a tone at 3:00 to announce this shit.
Short covering as in pre-announcement?
This is just the same as pattern(ES) as Last hour on May the 31st. It will have the same outcome. ;)
Someone(s) is getting scroomed on pin risk.
last ditch effort by...
strength of Indu will help pull spx.. easier to work with indu than spx.. IB
And let us not forget the most important economic indicator of all...Netflix. Apparently, its NOT what's for dinner anymore.
I'm so grateful for Carter Worth and the way he brought up the "smoothing mechanism." Because not only is that a really cool name, it makes it much easier to spot "stawks" that are so absurdly priced and over owned, thus assisting in identifying and selling things that are PRICED FOR STUPID.
Mom always told me not to smooth my mechanism or I would go blind. Luckily I stopped before even strong glasses could no longer help.
Brother Cog,
Were I you, and knowing how your essays on sheeple psychology about very much about to be needed, either get yourself a nice cury secretary to take dicktation, or invest in a braille keyboard.
Tragic, really, the GROSS misallocation of capital this last year. Oh well....
**Oh...and thanks to the lunacy of the XRT, an abomination of market manipulation, EVERYONE is going to get yet another chance to sell $30 t-shirts to marauding Greeks**
I have yet to hear of a crack addict refusing more crack, particularly when it is 'purchased' on credit. S/he certainly doesn't see it as a gross misallocation, but rather the right stuff at the right time.
Just in time crack fracking.......err......fracking crack.
I have been trying to extrapolate some basic lessons on sheep psychology by watching 'The Men Who Stare At Goats,' and this is an admittedly amateurish endeavor, and I do not feel it has served me well.
I need some truly useful psychological education - you know, like what do sheep see when they view Rorschach inkblots?
I've not been counted among the sheep in quite some time, but I keep seeing mushroom clouds in mine.
Abby Joseph Cohen says that's actually a delicious shitake mushroom.
Do Algos dream of electric sheeple?
Father walks in on son masturbating and yells "Son! If you don't stop that you'll go blind!" Son replies (waving his arms frantically), " But dad I'm over here!"
This QE2/Dollar carry trade unwind is going to be fugly.
Damnit....its plunging up....
There is always more helium available when dealing with the PPT. The question is always if it will be enough.
at 3:20 the bears cover. give it another twenty minutes.
Think the EUR intervention has a longer half life than remains in this pig.
paging dr. feelgood:
http://www.youtube.com/watch?v=4Nbpf7pZNis
On the bright side, I get more settled funds tomorrow - more TZA to buy.
TZA reminds me of a quote from A Fistful of Dollars:
You will get rich here. Or you'll be killed...
Juan De Dios
Bernank on phone with Trichet:
Bernank: Hey, I am not going into Friday in the red. Paint me some green by raping the dollar a little, capiche?
Trichet: Ben, that's a little tired, don't you think? Don't you want to maintain some effective tools for when you really are going to need them?
Bernank: Listen, you French Bastard, in case you forgot, you have a little Greek crisis brewing, that will soon be contaminating PIIGSEURO land, so just dump some dollars, capiche?
Trichet: Whatever you say, Ben. À bientôt.
Pandora, from 26 to 14 in 24 hours. They should refund all the money they stole, what scum.
LNKD from 125 to 69 in a month.
They will never learn. This market makes rapists look clean.
Come on. No one got strong-armed into buying it. There are plenty of stupid, greedy people who think they made a killing when they get an allocation. If they were selling it to 80-year-old retiree's I'd agree with you, but people are begging to be let in on the stuff.
I dont feel sorry for the momo gamblers at all.
Agree - if you were dumb enough to buy in you deserve what you got. Remember this when they trot out Groupon, another transitory company that will be gone before you know it.
This market is like my bi-polar girlfriend....am always getting fucked....lol
KCJ-E is at 62.34. There was a bit of a flash smash around 1252 ES bottom. SKEW is also only updated at the end of the day. Hard to show an intraday. The implied correlation indices are untested junk anyway. You can't take SWAP formulas and apply them to any index, which is what CBOE attempts to do.
This is getting so redundant.
Tyler, flash crashes will not happen. A flash crash could only happen in a free-market. Take the EUR shuffle that is going on. Also, God help those HFT firms that type in /stop. They will be arrested before they could leave the building.
How disappointing.......EUR up, ES up. What's Art saying? Everyone knows how critical current support for ES is, naturally.
seems like a decent bounce to get long ES
There it is Rut 780. I am starting to think they wouldn't bother doing this unless they were going to jack this market up higher by some means after the FOMC meeting. On the other hand they might understand this is the last line that must hold, and are desperate. That Bill Gross idea that they'll cap interest on bonds would mean a big run up? Are they just desperate or waiting for the next shoe to drop?
back to 62ish
60.35 it is now down on the day :) The metric means nothing anyway, it is a poorly coded swap formula from 5 years ago that CBOE decided they could use options to replicate.
It is completely unproven and provides no value as metric. It is a guess as an independant variable when you have the dependant variable, only there are 10 unseen independnants as well.
The Dow was up today. Isn't that good? I'm confused.
Yeah, it's a "key reversal". <sarcasm off>
You aint from around here, is ya?
I'm a little new to topics of finance, economics....very ignorant, but trying to learn.
Dollar down, stocks up. Dollar down to help descent of Euro. All CBs and there is not much else since the equities fundamentals are all shit today.
These aren't markets any more. They're machinations!
Bears are an endangered species.
Hurry and get long before the close, too much negativity and "everyone" expects the market to go down or crash. LONG USD, SPX, FAS and QQQ
I dare you.
Im long on you dont do it.
No, Greece is going down (best bet) and that will trigger all kinds of fun. This is bigger than Bennie's usual controllable problems. They'll pull out the stops, but if you go long, stay nimble.
Nitrous bottle empty ?
WTF was that !
That was one hell of a VIX swing !
The formula uses a kernel-smoothed estimator that takes as inputs the current market prices for all out-of-the-money calls and puts for the front month and second month expirations.
Have any thing to do with the Witching tomorrow ?
crosses pointing down (FX) there is an omen. market will force the greek endgame. Teh ECB is disgrace
Dollar down, rock those equities.
I'd really like to see the MSM new outlets when they announce that the DOW surged to also and immediately thereafter add," but of course the USD is in the toilet, which explains what we just told you."
Agree Greece is unsolveable - Bear Stearns (not Lehman) redux.
If the Greek fall will so disrupt markets, just imagine what will happen when the rest of the can't-possibly-be-bailed-out (for similar reasons) fall.
Lehman redux?
Much, much larger than Lehman on any stage, including a global one.
The PIIGS will literally set the markets on fire.
VIX, with its blow off top, completed a bearish Butterfly pattern at 24.23 that should take it back to 19.12 or less. Very bullish for stocks.http://pebblewriter.blogspot.com/2011/06/intra-day-jun-16-2011.html