Thursday, August 4, 2016

"It Was A Head In Ass Swan Event"

The lowest volume and volatility in a decade, what could go wrong?

Today's S&P (ETF) volume was the lowest non-holiday volume since 2006. Because stoned zombies going ALL IN has pinned the market at all time highs since mid-July, a trading range which is a 1 in 10,000 year event, assuming normal distribution

Cash balances:

A 1 in 10,000 year collapse in realized volatility visualized:

Short-term Realized volatility

Active Manager asset allocation

10 day Volume:

Oil shorts covered ahead of tomorrow's jobless report...

Oil implied volatility (black) with stock market implied volatility (red):

Skew / VIX ratio
Black Swan bets / Hedging

% Bearish

The third rollover
Banks, IPOs, Transports, Retail, Rest of World:

Consumer staples:

Realized Volatility