In most mature markets, options can be a major indication on price direction, or at least the markets expectations of future market direction. One way of looking at this could be through the Call/Put Ratio. The ratio is a simple measure of how many call options are being traded relative to put options. As you can see from the chart above (www.sk3w.co) the...
I think we may have seen the bottom in $SPY, judging by the action in the last couple days. The market had reached the peak of a weekly signal, and after time ran out for the projected advance started a steep correction until now. Sentiment has peaked apparently, and we could be seeing a turn around in bonds, oil, and $VIX. Keep in mind we might be consolidating,...
I'd like to discuss some very interesting market signals that I've spotted, as a result of tracking the US equities, FX, Commodities and Cryptocurrency markets on a daily basis. Many times people ask me about specific markets, or, decide to focus on one market they like. This is not the optimal way to approach trading in my opinion, since a market can be in a...
SPX index, SKEW, VIX, US BID ASK SPREAD and stocks above VWAP
This is a deliberately simple chart. This distorted and skewed symmetry from recent months seems to be coming to an end soon. It is by no means a reliable precedent but the last time symmetry from the March high ended we set our medium-term bottom down in the mid-6's and travelled to knock on the 10K ceiling- some swingers more than doubled their money just by...
Another chart to keep in mind given skew has decoupled from the VIX!
With the S&P500 ($SPY) at 215.04 last as of Friday, October 7, 2016, you can see the price of various options. I started at 215 which is "at the money" and the prices above that are the call options, since those are "out of the money". I made the call options green, since they are for upside price action. I then graphed the put options prices from 215 and down...
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. A SKEW value of 100 means that the perceived distribution of S&P 500 log-returns is normal, and the probability of outlier returns is therefore negligible. As SKEW rises above 100, the left tail of the S&P 500...