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Equities Can’t Get a CLUe
Ok, stupid pun. But the August crude futures contract (CLU8) is down another $2 today (about 1.6%), and the market indexes don’t seem to care that much. While the NDX(QQQQ) and RUT(IWM) are up about...
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September Monthly Review
In our August monthly review, we expected that “the next phase of this bear market will likely be driven not by U.S. financial companies or by energy prices per se, but rather by the effects of the...
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December Monthly Review
The most interesting feature of December 2008 was the rate at which volatility – both historical and implied – declined. While we could view this decline as simply the counterpart to the volatility...
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Beta and Risk in Troubled Markets, Part 1
The old maxim is that when major market movements occur, all betas go to one. We decided to look at the beta for a few stocks during 2008 to determine whether and to what extent that maxim held true....
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Beta and Risk in Troubled Markets, Part 2
In this mini-series, we’re examining the value of beta as a measurement of risk. In this post, we want to examine how the betas of some popular stocks, indexes, and ETFs changed during 2008 and...
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February Monthly Review
February 2009 was one of the most profitable months ever for our newsletter. We were able to enter several positions at optimal moments in the cycle, and a cooperative market allowed us to let some...
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Long Vega Plays for a Market Breakout
As pictured below, equity indexes have been highly range-bound since the end of April. That trading range has been between about 470 and 510 in the Russell 2000, and 865 and 930 in the S&P 500. I...
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The VIX is Fungible
I propose the following rule of thumb for VIX interpretation: If you think some VIX movement entails a proposition p and movement in the other volatility indexes VXN, RVX, and VXD doesn’t entail p, you...
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When Equity and Volatility Indexes Agree
Although the major equity indexes are highly correlated, they tend to diverge in meaningful ways on a day-to-day basis. The same is true for the implied volatility indexes that track equities. It’s...
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