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msg #141438
1/27/2018 12:09:22 PM

In case anyone is interested

According to a XIV discussion thread on Twitter explaining the drop in XIV premium:
Credit Suisse created 2.5 million XIV notes on Friday Jan 26, a 25% increase over Thursday.

After Friday close, the number of XIV notes is now back down to the level of Dec 27, 2017,
which may alleviate the pressure of premium coming off.

msg #141429
1/26/2018 9:49:05 PM

okay, thanks pthomas215

msg #141427
1/26/2018 8:16:36 PM

A few people commented on Twitter about the disconnect between XIV and SPY (or UPRO),
as well as between XIV and SVXY. In the past few days, SVXY was priced more fairly,
while Credit Suisse allowed XIV to trade at over 2% premium.
Earlier this morning Jan 26, 2018 some scalpers pushed that premium to over 4.4%.
That premium then came off subsequently.

Apparently, there were also some tax considerations as well,

Also, some people bought protection for over the weekend as stock prices increased.

Looking at XIV charts and filters by davesaint86 and MacTheRiverRat, it would appear that
XIV is now resting on support of lower bollinger band(18,2).and Guppy investors group mMAs.

What do I know. LOL,

General Discussion · Reading 10 major News Sources in 45 Seconds
msg #141334
1/24/2018 3:56:45 PM

‏@zerohedge Jan 24, 2018

Here Come The Sellers: In Coming Days Pension Funds Set To Sell Most Stocks In A Year

explanation courtesy of Credit Suisse, which writes in a trading note that U.S. pension funds that rebalance monthly - which is most of them - will have to sell more than $12 billion of stocks in the coming days to return to prior asset allocation levels given recent rally in the stock market - the S&P is up 6% YTD while bonds are down just shy of 1%.

As a result, CS calculates that funds are expected to sell a sizable $12BN in equities and buy roughly $24BN in fixed income. The amount of selling, CS writes "would be the biggest in at least a year for a month that does not coincide with quarter-end."

The details from Credit Suisse:

Equities have had a strong start to the year with the S&P 500 up 6.5% MTD. As a result, our model currently estimates selling in U.S. equities to total just over $12bn from funds that rebalance on a monthly basis – a relatively large amount relative to recent history for a month that does not coincide with quarter-end.
In addition, U.S. pension funds are also expected to be net sellers of international equities due to their similarly strong performance (MSCI EAFE up 6.8% and MSCI EM up 8.7%). We estimate over $9bn of selling in Developed Market equities and $3bn in selling of Emerging Market equities.
Given the relative underperformance versus equities, we expect the significant rotation of assets into fixed income to continue. Our model estimates slightly under $24bn of buying in fixed income securities in total.
CS does caution that projections may shift materially based on the relative performance of asset classes and that "In practice, pension fund rebalancing may not specifically fall on a specific day (e.g. month-end) and the actual timing of trades can vary based on several different factors including market sentiment, implementation costs, and regularly scheduled cash flows."

Bloomberg confirms as much writing that today is the trigger day for month-end rebalancing, and warns that today's action may be a signal to expect pension rebalancing over the next week.

What about over the longer-term?

This weekend, JPMorgan's Flows and Liquidity note revealed that "the average long-term sovereign yield level at which pension funds would start de-risking was 2.8% and the yield at which they would expect to be fully hedged was 3.7%. The 30y UST yield at 2.9% currently has already crossed the 2.8% level mentioned in this survey."

Furthermore, JPM calculations suggest that this year’s 5% rise in equity prices alone could create up to $125bn of pending rebalancing flow by US defined pension plans.

We look for G4 pension funds and insurance companies overall to buy a lot more bonds than the $460bn bought last year, and for their bond buying to return to at least the 2016 pace of $640bn. In fact, we see upside risks to this projection assuming equity markets remain strong.

To JPM the news is bullish for the long-end of bond curves: "This pension fund rebalancing flow should support the long end of DM bond curves causing further flattening this year."

msg #141298
1/23/2018 8:45:12 PM

Thank you tennisplayer2 and all who provide updates.
I don't run SS but I do follow your signals.

Filter Exchange · Parabolic Sar
msg #141172
1/19/2018 11:55:31 AM


This link has good Parabolic SAR info from both Kevin_in_GA(0.08,0.01) and alf44( 0.055, 0.34)

Good luck

Filter Exchange · Parabolic Sar
msg #141170
1/19/2018 11:40:49 AM

hi marine2,

you may want to ask sF whether alf44 has left.

from my own notes, at one time Kevin favored Parabolic SAR(0.08,0.01). This is before Ai SS NN
For Kevin's more current parameters, please check his Ai SS NN threads.

Good luck trading

Filter Exchange · Parabolic Sar
msg #141165
1/19/2018 9:50:52 AM

Over the years, alf44 and Kevin_in_GA have posted their choice Parabolic Sar parameters.
Good luck with your search.

General Discussion · XIV
msg #141114
1/18/2018 1:07:51 AM

For an explanation of DMA & its corresponding MA,
as well as a caution about why DMA should not be backtested

please refer to the 2006 posts by BFreshour and maxreturn
at the following link:

Stock Picks and Trading · Follow The Money (Options)
msg #140979
1/14/2018 12:23:27 PM

Great. Thank you, Tuan.

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