DXY, EUR/USD, USD/JPY, GBP/USD, AUD/USD, USD/CAD
SPDR S&P 500, ADVANCED MICRO DEVICES, INC. - COMMON STOCK, 12 RETECH CORPORATION, GENERAL ELECTRIC COMPANY COMMON STOCK, INVESCO QQQ TRUST, SERIES 1, ISHARES MSCI EMERGING INDEX FUND
S&P 500, Nasdaq Composite, Dow 30, Nikkei 225, DAX Index, FTSE 100
Gold, Silver, Crude Oil, Natural Gas, Corn, Bitcoin
BTC/USD, ETH/USD, BCH/USD, XRP/USD, LTC/USD, ETC/USD
US 10Y, Euro Bund, Germany 10Y, Japan 10Y Yield, UK 10Y, India 10Y
Gold, Brent Oil, Crude Oil, CFDs on Natural Gas, Palladium, Silver
The latest GDP number suggests inflation-adjusted annual growth of 4.2%.
However, gross domestic income (GDI) (produced by the Bureau of Economic Analysis )
Both the GDP and GDI are estimates of economic growth (with one focused on expenditure and the other on income).
The GDP-GDI average suggest economic growth rate to be in the 3% range.
This average may ...
Contracting USD liquidity supports a bullish US Dollar view and a risk-off positioning.
If the global Dollar liquidity fails to improve and continues to contract a deflationary environment may be ahead.
Certainly the USD indebted EM countries & corporations have already been heavily impacted by the rapid rise in the dollar.
Commodity indexes have shown this ...
The 30 year treasury yield has traded under 3.25% for almost 4 years now.
The Fed continues to hike rates on a quarterly basis and Trump is unhappy about rising rates.
Every day we hear how the economy is 'in great shape', and jobs data is 'as good as it gets'.
More significantly what is pushing up rates are increased treasury issuance and the Fed's ...
A couple weeks ago I bought a bearish 'poor man's covered put' on IWM :
Long the 177 put in Dec, and short the 164 in Aug for a net debt of 8.45
Breakeven @ expiry $170
approx: -40 delta, 1.44 theta
Max Loss : 845
Max Profit : 455
8.45 debt to 13 wide for ratio of 65%.
I'd look to close for profit early with a +20-25% profit target selling ...
BOT +1 DIAGONAL XLK 100 21 SEP 18/17 AUG 18 76/72 PUT @2.75
Paid 2.75 (debt is 69% of the width )
Breakeven @ expiry $73.58
-39 delta, .96 theta
Max Loss : $275
Max Profit : $126
Opened a bearish trade here fade the recent rally and add some negative deltas to balance the portfolio.
Following another great trade idea from NaughtyPines! (link ...
What earnings multiple or P/E do you expect the SPX to reach by year end 2018 or 2019?
It's like a game of guess the jellybeans in the jar, so have some fun and play along!
Share your estimate in the comments!
The SPX will finish the year at a price and will report earnings when the year is out. What do you expect that will be?
( Whether you agree or disagree ...
I've a bearish bias on the EURUSD based on capital outflow due to the low yield on Bunds vs much more attractive US treasury yield.
In a nutshell I've short straddled FXE at 111 until Aug expiry and longed a 104/122 strangle until year end.
Back in June 26 When EURUSD @ 1.165 I sold the FXE AUG 111 straddle for @2.70 with IV at 7.98. This gave me breakevens at ...
This chart compares the real yield of long term Treasuries (top) to gold in USD (bottom). The real yield is the investor in long term Tresuries expects to receive after allowing for inflation (nominal interest rate minus the inflation rate). At a glance there's visibly a strong negative correlation betweeen real rates and the price of gold over time. Research ...
Opened a 'poor mans covered call' on GLD.
Going long on this alternative asset class to diversify the portfolio. My overall bias is higher gold based on the technical price trend since 2016 and expect we'll soon see a reversion towards the mean/median price range.
Bought the OCT 112 CALL at 86 deltas, 105 days to expiration as a stock replacement for 8.12
Based on a current VIX of 15 divided by the square root of 12 (months).
This implies a 30 day SPX expected move of +/- 4.33% (1 standard deviation range).
The market is pricing in a 68% probability the SPX will close within 2620-2860 by Aug 2.
What are your thoughts on trading the expected move implied by the VIX or options market?
USO Bearish Put Diagonal or Poor Man's Covered Put
After nearly 15% rise in the WTI price in recent weeks, I'm taking a small bearish bet on oil with reasonable odds over the next 46 days of a small pullback back 3% to under 14.50. Followed the trade idea shared by the fine work of Sir NaughtyPines (link below).
Long the OCT 17 put strike at 77 delta and ...
Sold the XOP 100 17 AUG 42/45 'big lizard' for a credit of 2.90.
The strategy is essentially short the 42 straddle with a long 45 strike call to limit the upside risk.
The 'proft zone' 39.11-44.90 with almost no risk to the upside.
I plan to manage a winner early to collect around $70-75 ( 25% of the initial credit ).
Currently there's 46 days to expiry but ...
My understanding of the GVX gold implied volatility index from CBOE reading 10.44% is approximately 16% probability of gold finishing > 1300 in the next 30 days.
Based on the annualized GVX rate of 10.4% and divide by the sqrt(12) = we get a 30 day expected expected move range.
This means a 1 standard deviation range of 68% probability of the price ...
"Mounting debt loads, trade battles, rising interest rates and stalled growth have made emerging markets more vulnerable than on the eve of the 2008 financial crisis.
~ Harvard professor Carmen Reinhart
"The current episode somewhat resembles the Asian financial crisis of the late 1990s, when the M S C I Emerging Markets Index for developing-nation stocks slid ...
The ratio of the 20 bar historic volatility (HV20) to the VIX is at 1.08 which suggests market equilibrium at the close last week.
When the VIX and the HV20 are in equilibrium, the ratio is around 1.0 .
Here's the math: VIX 12.2 / HV20 11.3 = 1.08
Typically the ratio can reach approx 2.0 when the VIX 'fear index' is double that of the HV20. This can ...
This log chart compares the Gold price in USD to the short term 2 year Treasury yield. Since gold has no yield is it possible it will continue to sell off as 'risk free' treasury yields rise? Some analysts expect the Fed to hike three more times this year and four times in 2019, bringing the terminal fed funds rate to 3.4%. Could potentially the yield ...
The SPX volatility so far this year shows some uncertainty over 'fair value'. Based on 2018 earnings estimates from Factset of 160 earnings/share for the SPX, if we divide 160 by the current SPX price the chart reflects what's known as the 'earnings yield'. Shown inversely it is known as the forward P/E ratio.
So far this year the SPX earnings yield has ...
Rather than just holding HPQ stock with hope that it may go higher this year, collecting a 2.5% yield while waiting, I instead plan to sell options premium this week against my $22 cost basis for a higher return on capital. Implied volatility on HPQ is over 30% and rising as we near the earnings report date of May 29 after the close. Of the past 8 quarterly ...