Wednesday, June 29, 2016

Smash Crash From All Time Highs: Base Case Scenario

Three out of four of the largest downside gaps in the S&P 500 came in the past year, compliments of "The rest of the world". They all got bought with both hands, making my 'smash crash' hypothesis wrong so far. Past performance is no guarantee of future result... 

Because disintegration of the EU was another buying opportunity. What else?

ZH: June 29, 2016
Option Skew Hits Record Level
Deep out-of-the-money bets on a post-Brexit Black Swan event reach all time highs. Previously high readings took place in late December prior to the January meltdown...

Someone always knows something, don't they?

Three of the largest gaps in 12 years, all occurred in the past 10 months. Brexit is the last red bar to the right, which ended the first leg down (blue arrow is today's close):

Downside gaps with European Stoxx:

Mind the gaps: