SKEW This!!

Holiday weeks have a tendency to juice equity markets with extra volatility and Thanksgiving week apparently is no exception, at least judging by the statistics. And the one chart that stands out this morning is that of the weekly SKEW on the S&P500:

I actually spent a few hours going through my code as this reading really blew me away and I suspecting some mistake. However the numbers lined up, which makes week #48 the most outlier friendly of the weekly litter.

A SKEW reading of 1.91 towers over all others, which however doesn’t necessarily make it a bearish one.

SAY WHAT??

For a closer look here’s the histogram – a nice tight cluster between -2 and +2 but it’s a handful of big outliers that skew the dataset into the positive, e.g. the mode and median are left to the mean.

Weekly change also promises volatility galore, so if you insist on trading this week I suggest you wear protective gear.

I may just have to resort to wearing the TSG Pass Solid I bought myself for riding my e-skateboard a few weeks ago. Light-weight and great circulation, plus it’s got great visibility for catching every minute chart action on your wall of 30” LCD displays.

I just have to get that damn sticker off!

Sharpe ratio however is deep in the positive courtesy of the overall average. So bottom-lining all the stats, we’ve got a volatile ass slapper that may take you to the woodshed if you piss it off, but on average ends up in the plus.

Now for my intrepid subs here are the top and bottom performing stock victims for week #48:

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Public Service Announcement

Due to renewed health concerns I have decided to take advantage of a slow week and take it easy for a few days. To be honest the past two months have been pretty rough for me on the deliverables front (e.g. coding, designing, implementing, writing, managing useless consultants) and as the stress accummulated it ended up triggering my thyroid condition again. It’s not as bad as before but I should take notice.

So I hope you can forgive me if I take the rest of the week off for some much needed R&R, gym time, and meditation. I will be back in action next Monday, same bat time, same bat channel.