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Stock Picks and Trading · Anybody in AAPL?
guspenskiy13
msg #122672
1/29/2015 11:58:43 AM

Right on JP. I think someone posted an article some time ago, maybe Eman, how low-beta high Sharpe Ratio outperforms long-term.... and if you could equalize risk with leverage, oh my....

The question is - how could I gain significant leverage, let's say on XLU/XLP for example....

Stock Picks and Trading · Forget the VIX
guspenskiy13
msg #122647
1/28/2015 10:07:08 AM

$SKEW falls and $SPX falls. Less tail-risk hedges, market might be biased upward.

Stock Picks and Trading · Anybody in AAPL?
guspenskiy13
msg #122646
1/28/2015 10:03:56 AM

I'd be short at an appropriate time when it's over $120.

Stock Picks and Trading · Intraday Alerts
guspenskiy13
msg #122645
1/28/2015 10:02:10 AM

Apple is pathetic since everything is based on a smartphone. It's gross profit margins are falling, market share % is stalled.
The product is worse in many aspects than its competitors.
And the division is worth $416 B.

I've read somewhere today that they are going to spend even more money on buy-backs. Not learning from IBM. Maybe they should somehow diversify their business instead, because the Watch is certainly going to fail.

Chart to consider:

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General Discussion · Hey JP - ToS Question
guspenskiy13
msg #122629
1/27/2015 9:55:48 AM

If aggregation is the same, it depends on the time-interval you use.

But then you can zoom-in and the intervals will change.


Stock Picks and Trading · Intraday Alerts
guspenskiy13
msg #122628
modified
1/27/2015 9:46:26 AM

karennma - i'm with you on this one. I don't know who in their clear mind wouldn't hedge with some puts at times of uncertainty, especially if IV is low. I hedged yesterday - and a big loss became a tiny loss.

I also like to trade some-what both directions - buy puts and buy calls - when you hit top or bottom - "release" the profitable contracts and let the losers get some money back. It's so much easier psychologically. Anyhow,

We are in a shitty situation right now. ~4.8% range with clear support and resistance. If today won't fill...that might be a breakaway

And I don't believe in Apple....the valuation is hyped up and absurd....

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Stock Picks and Trading · Forget the VIX
guspenskiy13
msg #122627
modified
1/27/2015 9:38:29 AM

About the $SKEW - last day stockcharts present is jan 15 - here it's updated: http://www.barchart.com/chart.php?sym=$SKEW&t=LINE&size=M&v=0&g=1&p=D&d=X&qb=1&style=technical

VIX and resistance - probably yes, when VIX is high - buying makes more sense, buying the dip.

VIX and support - questionable, just look at May-June '14 - it can go low and stay there for a big amount of time.

Since it just displays the IV of SPX options, I wouldn't use the traditional horizontal lines with specific numbers. I would use LRCs with different SDs

P.S.

God I'm thankful for buying some puts yesterday...this week is going to be the same...it's a disaster and then the Fed lifts the markets...

If Feb/March VIX futures will be in backwardation on Wednesday, volatility will fall on Thursday. 81% chance. Just saying.

Stock Picks and Trading · Forget the VIX
guspenskiy13
msg #122620
1/26/2015 2:07:12 PM

There is certainly less noise...maybe range chart could look interesting as well...Descending triple bottom breakdown since Jan 15....

I also find ISEE Call/Put index interesting...when you look at equities only...they don't count hedgers and ETFs...

https://www.ise.com/market-data/isee-index/

Select view: All equities only.

It seems that extreme optimism in calls / extreme pessimism in puts are often associated with inflection points. So as the unusual sudden rises against the previous long-term formations.

There is more to come.




Stock Picks and Trading · Intraday Alerts
guspenskiy13
msg #122608
modified
1/25/2015 4:21:59 PM

VIX 2 month out put open interest is 45% higher than call.

We might get a nice seasonal volatility fader after earnings season all the way into may.

Stock Picks and Trading · Forget the VIX
guspenskiy13
msg #122607
modified
1/25/2015 3:16:02 PM

It's all about the SKEW, when funds start to hedge tail risk actively...shit hits the fan...

http://stockcharts.com/h-sc/ui?s=!SKEW&p=D&yr=1&mn=0&dy=0&id=p59780210475

Paper by CBOE here: http://www.cboe.com/micro/skew/documents/skewwhitepaperjan2011.pdf

I'm thinking of making some technical signals...empirically it seems that shortly after sudden spikes into high numbers, which could be translated into "out of BB's and long CCI falls below 100" are lethal.....sooner or later....

Quite powerful sell/buy signals....

P.S.

I don't have any number for VIX to SKEW correlation, but it is rather negative than positive. When SKEW is at lows - VIX is high and vice versa. However, it would be interesting to look at the correlation with a multiple-day displace....run an auto-correlation

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