Wednesday, February 24, 2016

Overnight Risk aka. "Globalization"

Daily 20 point opening gaps such as we see all the time now, didn't used to be considered "normal"...because they're not:

S&P Gaps (SPY) > 10 points, 50 dma (absolute value):

To put this into context the largest gap EVER was Aug. 24th, 2015 @100 S&P points...

60 day realized volatility with VIX:

Options Implied Volatility (VXO)

The source of this overnight risk:
JPY carry aka. China unwind...

This is a potential gap right here...
S&P versus JPY: