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Intraday VIX And Equities Now Completely Dislocated; Money Market Holdings Back To Pre-Lehman Levels
The VIX is now green for the day, even as equities are stuck in a continuing 2009 high breakout channel. It appears dispersion traders are aggressively buying index vol as they sell single name vol ahead of option expiration. Furthermore, the persistent bid for treasuries is there. As the money market guarantee is set to expire in the next few days, is this merely a last minute push by advisors telling their clients to get out of MMs and into the "safety" of any and all other asset classes? And speaking of money market accounts: we are now back to the pre-Lehman levels. All the "money on the sidelines" that moved out of equities as a result of the events since the Lehman collapse is now back in.
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Space Junk Alert!
Casinos falling like sky-lab
Grab a helmet
I am interested to know from people at what point (SPY, VIX, etc) achieves "max pain", whereby the most people get screwed before OpEx? That would be a nice place for a vertical spread decay trade.
http://www.optionpain.com/MaxPain/Max-Pain.php
Much grass..
Well it's a good time for a major correction. Give her a day or two. We are there.
Sounds familiar. Did you say that in April? May? June?
Actually I was long from March until mid June, and then took my longs off.
I do admit to going short @SPX 1055 and I'm willing to take some pain.
I know Denninger was banking on a roll-over somewhere similar (1060) if I'm not mistaken.
But more importantly -- Treasury has 2T of paper to sell before the end of the year. This rally is long in the tooth.
I was just ribbing you. I was also long until June. Actually went back in modestly last week, with my eye on the exit. Where this crap will end is anyone's guess at this point.
SPY 109.68 looks real good now. It's sitting just a hair below the gap starting at 107.62, and with today's close at the high - the fill could be accomplished this week still.
A turn back down at that 109.68ish level would bring on the negative technical traders. I think you'll find the technical talk about the gap starting tonight (if it hasn't already).
So is the play now to go long equities and destroy anyone who is now taking advantage of the options discount?
What's the deal with the MMFA chart? The range is not what is represented in the x-axis.
"As the money market guarantee is set to expire in the next few days..."
Does anyone else find the idea that money market accounts are suddenly going to become more risky than stocks or bonds to be completely ridiculous? "Get out of money markets before it's too late!" It's just silly.
Not only are they relatively the safest option available in almost all 401k portfolio, but if the crap hits the fan, the Feds will just guarantee them again.
People are stupid.
Bucks gonna get broken and broken hard.
Just got an email from my broker and I asked him where he thought we should hide on the next leg down. He said he thought the market should be strong considering how much money is on the sidelines waiting for an entry!!! This is the guy who told me I was going to miss lots of profits when I went to cash in summer 07.
I actually don't know what the MMFA index is but I'd like to email him the above chart but I'd like to know more what I'm sending him.
You're paying a broker, with whom you disagree with, to handle your trades -- Why? By the virtue of you posting on here, I assume you can utilize something akin to TD Ameritrade...
Misnomer: my friend who is a broker who wants to be "my broker", but yeah, good point.
Tyler, would you post a primer on what you feel everyone should know about the VIX and your take on index volatility vs. single name? Am I a dumb ass for thinking that volatility does not express whether the direction of the next move would be up or down? Or does a lower VIX always correlate to a higher S&P? Thanks.
TD, and what / where, besides the mattress would be a safer bet than MMkt's? Tbills GSE's...OMG!
But those who sold their stocks to those who took the money out MMs - where did they put their money? Shouldn't it all just go back to MMs in the exact same amount? Unless they switched to Treasuries providing a very nice bid lately.
Butchee:
Volatility is typically inversely correlated with the directional market move. So, start looking for a correction when volatility is at relative or cyclical lows. Vol usually contracts when the market is running. The fact that we've got the market making new relative highs and vol is expanding is curious and a bit unsettling.
Volatility does not measure the direction of a trend, only its magnitude. This is because of when calculating standard deviation (or variance), all differences are squared, so that negative and positive differences are combined into one quantity. Two instruments with different volatilities may have the same expected return, but the instrument with higher volatility will have a larger swings in values at the end of a given period of time.
And
The VIX is quoted in terms of percentage points and translates, roughly, to the expected movement in the S&P 500 index over the next 30-day period, on an annualized basis. For example, if the VIX is at 15, this represents an expected annualized change of 15% over the next 30 days; thus one can infer that the index option markets expect the S&P 500 to move up or down over the next 30-day period. That is, index options are priced with the assumption of a 68% likelihood (one standard deviation) that the magnitude of the S&P 500's 30-day return will be less than 4.33% (up or down).
These are both from Wikipedia and are what that source says about volatility NOT implying direction......What am I missing here? I still do not understand why the VIX is necessarily inversely correlated to the S&P? Sorry for my being so dim.
I think this is Body Snatchers except we have bots. Who have become bots? Obama? Hu Jintao? We know wife of the new Japanese PM is likely one. Most of wall street definitely.
I know it is useless. I will be discovered by the bots. My trading losses guarantee this. Why hasn`t my broker pointed the dreaded finger at me? Is it after they`ve taken every last penny?
....uh yes? who`s there? Oh...no, I didn`t short AMZN today...well, it was a donation to the bots....
HAAAAAAAAAAA!!!!!!!!!!!
i GUARANTEE WE ARE 10% LOWER BY OCT 15
WATCH AND LEARN BULLS
wait, I thought this was supposedly a short-squeeze/program-driven/fed-fueled rally and the all the MM money was not participating. what gives?
Same question here - what gives? I thought all this low volume trading implied the MM money was not there (yet?) I know mine isn't.
The markets no longer care for facts, they just want to make bonus money for x-mas. Wall Street is completly dislocated from main street. I want to know how can the numbers look good when a substancial of the 70% of the economy is financialy limited. How can the economy grow when every Credit Level is decreasing. This is just baffeling to me.
VIX INDEX
Daily chart - ongoing bullish divergence (which is bearish for stocks)
Weekly chart - bearish / neutral
Monthly chart - neutral
more:
http://www.zerohedge.com/forum/market-outlook
VIX INDEX measures investor fear vs. complacency.
And it can be seen as a good contrarian indicator.