"Brexit and Trump are the history of Thatcher and Reagan repeating as dangerous farce"
Trump has imploded three casinos. This will be his fourth...
CBOE Skew
"The crash of October 1987 sensitized investors to the potential for stock market crashes and forever changed their view of S&P 500 returns. Investors now realize that S&P 500 tail risk - the risk of outlier returns two or more standard deviations below the mean - is significantly greater than under a lognormal distribution. The Cboe SKEW Index is an index derived from the price of S&P 500 tail risk. Similar to VIX, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options.
SKEW typically ranges from 100 to 150"
Yesterday was the lowest S&P 500 ETF volume in over a decade, including all half trading days for Christmas and Thanksgiving...
The second lowest volume day in a decade was August 7th:
Since the election, casino volume has collapsed amid the low volatility Jedi Mind Trick:
"Getting in was so easy"
"Getting in was so easy"
But first, a message yesterday from the croupier-in-chief to his Kentucky Fried base:
"Come on bitchez, double or dog food"
"Professional traders are taking a record amount of short positions against the Dow Jones Industrial Average"
"The opposite also is true. When noncommercial traders increase their long positions, the market usually drops shortly thereafter. It seems they have a habit of buying the market at exactly the wrong time."
Let's pretend I need to continue...
Options and futures positioning may well be subjective, however, realized volatility is purely statistical. Here we see that volatility shorts followed S&P volatility lower, which was a function of the relentless overnight EM bid:
Options and futures positioning may well be subjective, however, realized volatility is purely statistical. Here we see that volatility shorts followed S&P volatility lower, which was a function of the relentless overnight EM bid:
Now of course, EM is a tad overbought and VIX sensitivity is record high because of the large volatility short position:
The S&P 500 is 3% above its 50 day, and 6% above the 200 day. So even a mere re-test of these moving averages is going to be "interesting":
With global Central Banks now tightening, a repeat of the Brexit stick save seems a tad unlikely. Institutions are out of the way, Central Banks are out of the way and stock buybacks are on hold for earnings season...
