Thursday, September 30, 2010
Tuesday, September 28, 2010
- SPY bounced off near trendline support this morning. All indicators are still in bullish territory, except for Volatility Signal. However, all indicators are a little "off" because of 0.60 ex-dividend on 9/17. Nevertheless, it is only natural that SPY cannot continue its torrid pace of ascent.
- Therefore, I'd suggest moving profit stop up to 113.18 and 111.8. If SPY is to continue rising, I'd have to think financials and other laggards would have to start rising.
- FVE is 18.8 and implied volatility on SPY is 20. I'd be neutral vol at this moment because the probability of a price correction is getting higher.
Friday, September 24, 2010
- Durable Goods Orders and German Business Sentiment helped boost the market in early trade. This market is very strong based on the speed and duration of ascent from the most recent bottom of 104.5. Just look at AAPL, AMZN, NFLX, FCX that are leading the market.
- Having said that, yesterday's low of 112.18 gives us a reference to draw a trendline, and I would use this trendline as my first profit stop/limit. Second profit stop/limit is being raised to 111.9.
- Fair Value Estimate Indicator is 19.6 and SPY IV which was creeping higher last few days is now at 19. FVE indicator is, however, above its moving average. Whether this continues in the next few days is uncertain, but should prices break below profit stop levels, we may want consider going short at those levels as well.
Tuesday, September 21, 2010
Friday, September 17, 2010
- I had named the FVE indicator previously as the Estimated Future Volatility Indicator, but that is not appropriate. The correlation of my FVE indicator value to actual implied volatility data is 0.9115. If we offset implied volatility data 1 day forward, the correlation declines to 0.8799, 2 days forward the correlation is 0.8523, while 1 day backwards correlation is 0.9196 and 2 days backwards is 0.9079. So, the FVE indicator is not a predictive indicator of future implied volatility. But I believe the FVE indicator is a good measure of what implied volatility "should or may be"...and of course, implied volatility on options implies what options market is expecting future realized volatility to be.
Thursday, September 16, 2010
Monday, September 13, 2010
Thursday, September 9, 2010
- SPY is in the midst of a very quick move upwards. I'd have preferred SPY move sideways this week before breaking above trendline resistance. SPY is 111.2 level at this moment, and there is always the chance that today's intraday breakout is false and we'll close below the resistance trendline, but all indicators are pointing to probability that SPY would move higher.
- I would buy the remaining 1/2 long delta position 111.2. 109.5 would be my 1st stop/loss consideration. 108.5 would be where I get out of all current long delta position.
- EFV value is 20.3 and SPY implied volatility is 20.
Wednesday, September 8, 2010
Friday, September 3, 2010
Wednesday, September 1, 2010
- SPY opened above the short-term channel lines, which was signal to buy-in short position at 106.70. Position entry was at 110.50 so 3.8 points profit plus 1/2 position bought in at 104.5 and resold at 106.5 for an extra 1 point profit.
- SPY level 107.8 - 108.8 are resistance levels. Half the technical indicators are showing bullish signals, half still bearish so no positions at this moment.
- Implied Volatility on SPY has fallen to 23, which is now more in line with EFV value at 22. My short options bias was correct when SPY IV was at 27.