Posts filed under “Trading”

VVIX, and Something in China?

I found this chart, via Torsten Sløk of Deutsche Bank Securities. It is a quite fascinating look at the VVIX index.

If you are unfamiliar with the VVIX, it is a measure of the volatility of the VIX, itself a volatility measure of the equity market. More precisely, it represents the expected volatility of the 30-day forward price of the CBOE Volatility Index (VIX INDEX).

One caveat: We have been coming off very low levels, so I am not sure how fair it is to compare Lehman Brothers and the financial crisis after 10 months of falling markets and rising VIX with this past month. Still, it is a surprising comparison between the two:

 

 


Source: Torsten Sløk, Deutsche Bank Securities

Category: Markets, Technical Analysis, Trading

Oh, No! The Death Cross! (Never Mind . . . )

One of the themes we like to touch on in this column are heuristics. Myths that become Wall Street rules of thumb have existed for as long as there have been trading desks. They are legion, they pop up regularly and most of the time they are terribly wrong. Woe to the unwary trader who relies…Read More

Category: Markets, Technical Analysis, Trading

JPM’s Bear Markets

Today is as good a day as any to show this chart from my favorite quarterly slide deck:   click for ginormous graphic Source: JP Morgan

Category: Data Analysis, Markets, Trading

The Recency Effect & Investors

What do gold prices, a stock-market plunge and a credit crisis have in common? The way investors tend to see them are examples of the “recency effect.“ A brief description first: In human psychology, people who are asked to recall items on a long list tend to have a sharper memory of the items toward…Read More

Category: Cognitive Foibles, Psychology, Trading

Gold Can’t Find a Bid

This was the week Greece inched closest to chaos, as a bank holiday and a technical default caused markets around the world to erupt in turmoil. They recovered somewhat Tuesday, and futures looked stronger Wednesday morning, but on Monday, the NASDAQ Composite Index lost 2.4 percent, the Standard & Poor’s 500 Index lost 2.09 percent and the…Read More

Category: Gold & Precious Metals, Really, really bad calls, Trading

Looking for for Volatility in All the Wrong Places

Where has all the stock market volatility gone? U.S. equities have been surprisingly quite the past three years. There hasn’t been a one-day change of 2 percent or more in the Standard & Poor’s 500 Index since December, Bloomberg News reported. Data compiled by Bloomberg and Deutsche Bank AG note that this is the longest such streak…Read More

Category: Data Analysis, Fixed Income/Interest Rates, Markets, Trading

Futures: New Layout at Bloomberg

I really like the clean web layout for Bloomberg Futures (free):   click for updated futures    

Category: Trading, Web/Tech

Flash Crash a Perfect Storm for Markets

Great couple of graphics from the WSJ this AM. This is the simple version, a short explanatory overlaid on a graph:   Perfect Storm click for ginormous graphic Source: WSJ   The interactive version is far richer and more details as tot he minute by minute set up: Flash Crash’ a Perfect Storm for Markets click…Read More

Category: Markets, Really, really bad calls, Trading

Margin Debt Hits an All-Time High . . . So What?

Every now and again, a way of looking at markets suddenly gains traction. Data gets assembled, analyzed, reviewed. Eventually, it becomes the basis of traders’ decision-making process. It even can become part of Wall Street lore. The problem that arises all too often is that this approach is statistically bogus. The data gets cherry picked;…Read More

Category: Analysts, Really, really bad calls, Technical Analysis, Trading

How Spoofing Works

Source: WSJ

Category: Markets, Regulation, Technology, Trading