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February 9, 2017

Air Getting A Bit Thin

Things continue to progress nicely for us on the trading front and I decided to not push my luck by entering any additional campaigns today. After all correlation risk is significant in this brave QE world as currency driven moves usually affect symbols across the board. Besides everyone and their poodle seem to be bullish right now, and to once more quote the great Mark Twain: “Whenever you find yourself on the side of the majority, it is time to pause and reflect.”

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January 23, 2017

Welcome To The Wood Chipper

The bad news is that we’re getting ever more extended on the equity side. The worse news is that sideways conditions may prevail far into February. Barring a major event that somehow throws indices across the board into a tailspin the bears do not seem to be able to muster up sufficient mojo to exploit what clearly is a market that has run out of buyers.

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December 23, 2016

Our Last Breadth

I don’t expect that many of you are spending much time trading anymore and that you’re probably busy with last minute Christmas preparations. Now before you accuse me of forgetting about the remaining 77% of the world’s population remember that a vast majority of readers are located either in the U.S., Australia, or Western Europe. Plus we trade U.S. markets which still observe Christian holidays. And last but not least – I’m probably the least politically correct SOB you’ll ever have the misfortune of running into 

Now as today also marks my last active trading session of the year I thought I’ll treat you all to one final momo update. [...]

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November 21, 2016

Post Election Volatility Changes In Equities

If you have been visiting regularly then you probably recall some of my earlier posts on realized volatility [1][2]. For the rest of you here’s a quick recap as it’s important to understand what realized volatility (RV) is and how it compares to implied volatility (IV). Simply RV measures the amount and amplitude of price change observed in a financial instrument over time. Big moves to the up side and down side will both produce spikes in RV. As such the volatility we measure or predict always produces an unsigned return – it does not care whether the market goes up or down.

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    I’ve been tangentially following the news at a safe distance over the past week and frankly felt tempted to pinch myself every once in a while, just … more
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