E-Mini Swing Trading
Discretionary Trading
System Trading
E-Mini Swing Trading
Discretionary Trading
System Trading
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August 23, 2019

Let’s Talk About Gamma Risk

In a featured comment yesterday I mentioned gamma risk in SPX and SPY options as one of the reasons explaining recent hedging activity in the VIX and ES futures. It’s a complex topic that we’ll have to peel one slice at a time. Let’s begin by considering that options in essence are multi-dimensional financial derivatives in that they exhibit sensitivity to not only price, but also time and volatility (yes interest rates as well but that’s not an issue in our current market environment).

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August 21, 2019

Risk On – Risk Off

Volatility is a tough beast to tame, despite the general consensus among finance geeks and quant traders that it’s a lot easier to predict than signed returns. GARCH is your friend but it gives us an unsigned return – a range of 20 handles means that the market could as easily run up 20 as it could drop by 20. So what do we do?

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August 19, 2019

Things Are Looking Up

As the old saying goes: Every cloud has a silver lining. And in the case of August that most definitely would be week #34 which isn’t just a positive week but just so happens to be the fourth most bullish week of the year. Unfortunately however event risk is rather significant as the Fed is holding its annual symposium at Jackson Hole.

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August 16, 2019

Houston, We May Have A Problem

We’re past the half-month mark and since the current gyrations aren’t exactly conducive to anything outside of playing the swings I thought it would be a good idea to go over our momentum charts. What I found is rather worrisome on a medium to long term basis, albeit there is grounds for optimism more short term.

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Random Cognitive Bias

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