This page has been archived and commenting is disabled.
Another Historic Milestone Passed As Implied Correlation Hits New Record
The 10 Year under 2.5%, Bunds, Gilts, JGBs all following suit to record risk-aversion levels, the EURCHF at record lows, the USDJPY at 15 year lows, and now this: the CBOE Implied Correlation index has just hit another historic plateau, touching on 85 earlier in the day, which means that all those who believe relative value can still be found are about to be carted off. Aside from the fact that the current level of JCJ would be the highest closing level in history, the intraday high of 84.50 is a very troubling indicator, which once again confirms that stocks continue to trade not on fundamentals, and probably not on technicals, but on ever increasing amount of leverage applied to some indication of beta. Essentially, market participants are likely levered to the gills like never before and betting it all on another daily Hail Mary. Another way of looking at the reading, as we have pointed out previously, is that stock dispersion: the most critical indicator of a healthy market, is at 15%! And let's not forget we are currently still in the H.O. regime (and to all naywsayers we remind that the market has dropped almost 4% since the first Hindenburg Omen appeared). So many coincident records, can hardly be a coincidence... We look forward to getting Matt Rothman's thoughts on this increasingly disturbing trend, and for the NYT to pick up on this theme within 4-6 weeks.
»
- 8307 reads
- Printer-friendly version
- Send to friend
- advertisements -
correlation, bitchez
Latency, bitches!!!!!!
You also spawn annoying imitators.
You are the most annoying commentator in the world.
lack of a sense of humor..
...bitchez :)
Lack of creativity to think of something witty...
He's been doing this for well over a year and a half. What sense of humour makes this funny after a year and a half? On every article?
And humour is not what people come to ZH for. I'm pretty sure it's analysis from a different perspective...but certainly not to hear some guy say bitchez all the time...
jealous?
What could I possibly be jealous of?
I'm done with this conversation I'm not wasting more energy so don't bother replying. If you do reply you win I don't care.
trav7777 was one of the few commenters making any sense on the hyperinflation pseudo-semi-intellectual-bukkake thread the other day. I'd rather read 600 'bitchez' comments than 600 'my econ. dictionary differs from yours' ones. (Not saying you were guilty of that, bull, just suggesting patience is a virtue. How difficult is it to scroll past a one-liner?)
148 new lows: http://www.cnbc.com/id/38832517
Rosenburg declares Depression: http://www.cnbc.com/id/38831550
Lowest Yields ever: http://www.cnbc.com/id/38828882
Faber says get out of Treasuries: http://www.cnbc.com/id/38826085
When all that hits CNBC, you know the ship is going down.
It's not official until the Kudlow "we're not in a recession nor will there be a double dip" economists come on television and say to calm down, all is well.
'Naywayers', suck it, bitchez
You have to ask yourself at this point what is holding the stock market up.
Its obvious whats 'holding it up', FED armed hold-up men using grannies 401k pension money! Reality bites.
I hear a another flash crash a comin'
Does this mean I should buy more Euros?
It's magic hour boys and girls!! Let's see what the other team pulls out of their hat this time...
Faber is always talking crap about treasuries, and in reality sure they are trash. But, for now, they look better than equities. Saving your money from the stock market and moving it into an asset that people can easily get is the prime directive right now.
Gold and silver may be the best long term bet, but very hard to get into physical and then again, the laws force us to declare gold purchases.
So, if Faber's vision comes true, the US government is going to TAKE it anyway and give you treasuries as compensation. So let's just skip the gold confiscation part and get into Japanese debt ownership right away
I don't know where you live, but there are no laws I'm aware of that force anyone to declare gold purchases.
Also, how hard is it to go to the local gold store and purchase silver and gold eagles? I hand Mr. Shopkeeper a handful of fed notes, he hands me some coin, and I'm out the door. Takes all of 15 min. out of my lunch hour.
As for your "take it anyway" assertion, well that is mere speculation, that if thought through, isn't all that convincing given that "they" (TPTB) already hold the vast majority of physical while "we" (the people) hold next to none. If threats are made, they will be merely for fear-mongering in order to keep people like yourself away from the safety of gold, instead relying on government IOUs as a form of currency/savings.
Good luck with that.
I think he may have been referring to a proposed IRS regulation that all transactions over $600 must be memorialized with a 1099, which of course would result in a butt-load of $599 transactions.
The congress passed it. In the healthcare bill of all things- all sales of gold over 600 dollars have to be reported to the IRS.
As if it's not expected? The government has to pretend they are the last word in "real money." they are going to gang your gold in the next 10 years or TAX ownership of prescious metals by like som insane amount. if I wanted a ponzi scheme to continue, that's the way to do it.
Dammit, this iPad double posted again! Sorry
But Lips Bartiromo said that this M&A is just the beginning.... (how many deals have been done again?).
M&A after the crash is going to be epic.
I was thinking of buying a county. Then I thought about all of the "citizens" and their expectations.
Perhaps I should partner with a warlord?
Sure would save having to deal with "barbarians" yourself, no?
When I first read your comment, dyslexia made county in country -- I get dibs on Tahiti!
You mean China and the US?
“We look forward to getting Matt Rothman's thoughts on this increasingly disturbing trend, and for the NYT to pick up on this theme within 4-6 weeks.” Tyler Durden
According to Gallup.com: “Americans continue to express near-record-low confidence in newspapers and television news—with no more than 25 percent of Americans saying they have a ‘great deal’ or ‘quite a lot’ of confidence in either. These views have hardly budged since falling more than 10 percentage points from 2003-2007…
In addition: “The Pew Project for Excellence in Journalism’s annual report on the State of the News Media found...only digital and cable news sources growing in popularity, while network news, local news, and newspaper audiences shrink.”
This lack of improvement is bad news for mainstream media as newspaper prospects continue to decline even as major papers fold. When you get down to one-newspaper towns, they’re still declining, even if they have a monopoly. On the other hand, ZH is experiencing 200,000 readers a day, at the same time forcing other media outlets to play catch up with the more truthful take on economics and economic politics.
Guess "Sheeple" are shorting lies and feel-good articles these days.
The other milestone was this historic rise of 1%+ on no news.
No thats not what it means. Dispersion = 1 - correlation is not true.
Check the intraday chart
http://www.bloomberg.com/apps/quote?ticker=JCJ:IND&n=y
It means in a panic this morning veryone loaded up on SPX vol and ignored the less liquid stock vol. So JCJ spikes on the open and on the gap down. Then during the day, especially on the POMO rally, SPX vol cools and equity vol goes bid as traders have time to see which stocks are likely to suffer. Finally the spike just seen at the close indicates buying of SPX puts in the last 5 minutes as traders worry about Japan, Greece and Hungary imploding before they even get breakfast.
Best way to think of these indices is as a ratio between stock and index implied vol, ie as vol dispersion, not necessarily as equity dispersion. They can go over 100%, sometimes way over, and there is no arb. Now the cliche is correlation goes to 1 in a crash, ie if you are long SPY puts and short the stock puts you will make a killing. So the index can also be seen as showing the professional vol markets pricing of expectations of a crash.
When the equity market is behaving as it is currently so that the Hindenburg clock is ticking, and JCJ rises, for me that's at least a sign of a healthy, liquid vol market.
For a practitioners look at dispersion trading, this is kind of classic
http://www.scribd.com/doc/17850488/Dispersion-A-Guide-for-the-Clueless
- and although academics are way behind practitioners in this subject, this is interesting
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=891115
baltic dry index being useless at this point despite its HUGE rise
Thanks for such a great post and the review, I am totally impressed! Keep stuff like this coming!...
cheap site hosting
windows web hosting
windows vps hosting
windows vps