Category Archives: Market Risk

The New Normal: Higher VX Summer Prices and Excessive Contango in VX Futures

Evil Speculator: https://evilspeculator.com/the-new-old-normal/ Implied volatility has been dropping faster than an ACME anvil over the past two weeks, which stands in stark contrast to what I am seeing in the bonds market so the jury is still out whether or not we are looking at some bifurcation here (strange things happen sometimes) or if riskContinue reading “The New Normal: Higher VX Summer Prices and Excessive Contango in VX Futures”

Deja Vu All Over Again: 50 DMA Reconnects

February 2020: February 2021: Sven Henrich (Northman Trader): https://northmantrader.com/2021/02/09/signal-fire-3/ No, this market is really not behaving that much differently from the one that led to the February 2020 top. Back then of course the Fed too was printing running their Repo program having cut rates three times already, now of course printing still $120B aContinue reading “Deja Vu All Over Again: 50 DMA Reconnects”

Resisting Your Bearish Impulses

Evil Speculator (https://evilspeculator.com/the-skew-must-flow/) offers some great truths: Markets move 87% of price in only 11% of the time, that is both combined to the up side and the down side. Within that 87 percentile markets either go UP or push SIDEWAYS 80% to 90% of the time. This means rising or range bound markets representContinue reading “Resisting Your Bearish Impulses”

A Funny Thing Happened on the Way to Wall Street

Per Slope of Hope: https://slopeofhope.com/2021/02/a-funny-thing-happened-on-the-way-to-wall-street.html#more-193031 Originally published by friend-of-Slope MoleCool, AKA EvilSpeculator: So a funny thing happened on the way to Wall Street last week. A rabid rabble of Robinhood retail rats on Reddit took advantage of a perceived market inefficiency in Gamestop (GME) and decided it would be a fun idea to drive up the stock and in theContinue reading “A Funny Thing Happened on the Way to Wall Street”

Whack SPACs

Contrarian shares a cautionary tale: https://seekingalpha.com/article/4401822-current-speculative-bubble-dwarfs-1999-2000 From highly shorted equities to SPACs to the largest capitalization market stocks, an almost all encompassing pervasive bubble has made future real returns lower than any other time in modern market history for the U.S. stock market. The abysmal level of future expected real returns is dismal even compared to 2000Continue reading “Whack SPACs”

Gamma Games

Single stock open-interest at all-time-high levels, which is why today’s expiry is important for stocks, especially for names with large open interest in at-the-money (ATM) 15-Jan options, At the close, the market is down 0.7% while gamma exposure spiking up all time high as the following chart from Sundial Research shows. “Dealers are short callsContinue reading “Gamma Games”