Disqus - Latest Comments for Felix

Re: Residents push for R8 expansion to Newtown (Bucks Co)

Felix — Tue, 06 Oct 2009 10:30:51 -0000

There is a grass roots group trying to get this line reactivated. On their website, they say that the cost to reactivate all the way up to Newtown would be $150 million.

DO YOU REALLY THINK THERE ARE ENOUGH NEW RIDERS IN BUCKS COUNTY TO JUSTIFY THAT COST??

I think that many of the riders who would be taking this train would be commuters who already take another SEPTA train (i.e. - the R2 or R3), so for SEPTA, those riders are NOT NEW.

This is a lot of money to spend just to make a small group of people's commutes easier.

Re: Samspel!

Felix — Thu, 22 May 2008 11:17:22 -0000

JURPLÅGERI

Re: Anna Nyblom – Idol 2006

Felix — Thu, 05 Oct 2006 19:53:33 -0000

Fan.. snacka om att hon fått för mycket uppmärksamhet som barn.. ;)

Men jag skulle gärna vilja ha sex med henne av någon lustig anledning.. haha :D

Re: Cykel-burnout!

Felix — Wed, 19 Jul 2006 14:24:09 -0000

HAHAHAHAHAHAHAHAHAHAHAHAH...
det där va hett ;D

Re: Battlestar Galactica Ending After Next Season

Felix — Sat, 02 Jun 2007 04:22:00 -0000

Well it had to happen sooner or later. The goal after all was to find earth, otherwise they are just fooling around.

Re: Lupepe dumps player’s life for Christ

Felix — Mon, 14 Sep 2009 12:00:39 -0000

this man is just creating new ground sof looting, he find it now hard to loot in familiar ground because there are now new players and new ways and he is old. now is is shifting his ground to new teritiries, be very afraid christians

Re: Best. Keyboard. Evar.

Felix — Sat, 06 Aug 2005 20:55:42 -0000

By the way, it can be found in English at
http://www.artlebedev.com/portfolio/optimus
According to the website, it will be released in 2006 and cost less than a good mobile phone. Good stuff. I want one.

Re: Reelight Bike Lights Powered By Magnetic Induction

Felix — Thu, 15 Mar 2007 19:25:01 -0000

There is also magnetic Friction because the energy for the Light must come from extra force applied on the magnets, but like the weight and aerodynamic drag the effekt should be nearly zero.

Re: OhGizmo! » Archive » Extreme Range WiFi Router

Felix — Sat, 17 Nov 2007 20:59:08 -0000

I wonder how this will work. Ok, the router has an extreme range sending it's stuff, but the clients won't be able to reach it b/c they will be out of range by then.
But if you like to spend $284.99 on something worth no more than 50 bucks, be my guest ;)
greetz

Re: OhGizmo! » Archive » [CES 2008] Oh No! Iomega’s Zip Drive Is Back!

Felix — Thu, 10 Jan 2008 11:16:16 -0000

Regarding your 'somehow' Iomega sticking around:
They were busy establishing several storage formats including some professional HD Video formats. I'm guessing they just want to go back to the consumer market.
greetz

Re: ecobutton Provides An Energy Saving Alternative To Shutting Down Your PC

Felix — Thu, 31 Jan 2008 02:22:27 -0000

I like the idea of adding another power-draining device to my PC to make it save energy. Great job! Most modern computers have stand-by keys on their keyboards that can be configured to put the computer into hibernation anyway. But maybe I'm just missing the whole genius idea.

Re: The Geek Show I Always Wanted

Felix — Sun, 14 May 2006 04:02:46 -0000

You're nuts, NYC. Cali is 100x hotter than Amanda Congdon.

Re: Sector and Industry Strength and Weakness with Stock Ideas- April 28th

Felix — Mon, 30 Apr 2007 03:42:53 -0000

Was looking at BJT but couldn't find the ticker.

Re: Phantasy Star Online Theme : All PS3 Themes

Felix — Thu, 27 Mar 2008 21:10:49 -0000

who ever made this i love you

Re: Justice, Busy P, DJ Mehdi- Ed Banger All-Star Mix

Felix — Sat, 29 Mar 2008 17:28:59 -0000

Ed Banger is throwing me off lately. Whatever. Simian Mobile Disco > Justice any day....

Re: Halo - Spelet, filmen, serienovellen

Felix — Mon, 08 May 2006 04:23:36 -0000

Jag ska värkligen se filmen för jag älskar halo

Re: Sushi

Felix — Wed, 25 Jan 2006 23:28:47 -0000

A proposito di cinesi e giappini (sembra quasi che io intervenga solo in casi ben specifici ma non è così), ma allora dove si può mangiare un buon Sushi??? Maestro illuminami!!!

Re: Son problemi

Felix — Mon, 03 Apr 2006 18:08:54 -0000

Ti 6 dimenticato del sotto-popolino che ancora è fermo alla terza puntata, sebbene sia circondato da malati mentali che gli hanno fornito qualsiasi puntata trasmessa finora!!!

Re: Bolla o non bolla

Felix — Wed, 01 Nov 2006 01:34:28 -0000

Carissimo mi fa molto piacere rivederti all'opera (e sopratutto al chiuso in una casa di tutto rispetto e non su una panchina come un punkabestia).
Ottimo intervento come al tuo solito sebbene mi perplimi sul discorso TFR (probabilmente all'esame di ragioneria non te l'ho spiegato bene!). Sai perfettamente che un conto è utilizzare dei soldini come fonte di autofinanziamento (e farli rendere magari il 12%), un conto è farli uscire dalle casse indebolendo la posiz fin netta, magari prendendoli a prestito (e ti ricordo che i soldi a prestito COSTANO).
A parte ciò mi sento di consigliarti un buon investimento in Cambodia e anche Fastweb, ti ricordo che da quando una certa persona si è licenziata hanno dato buoni risultati (+25% circa???).
A presto!!!

Re: Sweden Says No to Nuclear Negativity

Felix — Fri, 06 Feb 2009 20:12:22 -0000

current nuclear energy in Sweden accounts for 50% of energy (like coal in the US). If renewables by 2020 are 50%, and assuming they continue increasing energy efficiency and cutting emissions, They will have a carbon free energy system by 2020. All they need now is electric cars, boats and planes.

Re: http://www.readplatform.com/shop-assistants/

Felix — Sat, 03 Jan 2009 10:10:46 -0000

(No subject) <img src="http://photos-g.ak.fbcdn.net/photos-ak-snc1/v370/164/58/620550531/n620550531_4802518_8952.jpg"></img>

Re: http://www.readplatform.com/shop-assistants/

Felix — Sat, 03 Jan 2009 10:52:08 -0000

sorry didn't mean to do that, sorry didn't mean to do that, just wanted to nominate her on the left and implant myself on your website.

Re: http://www.readplatform.com/shop-assistants/

Felix — Sat, 03 Jan 2009 10:53:55 -0000

plus all your shop assistants plus all your shop assistants look like they've just been told a racist joke

Re: The Credit Crunch for Retards

Felix — Tue, 24 Feb 2009 10:36:27 -0000

Crunchy Money The Credit Catastrophe means that my student loan may start making me money.

We should have these recession things more often.(apart from the fact it makes things shut down, half the staff at whitecube lose their jobs un ting)

Re: Russell Tovey Gets Turned?

Felix — Tue, 24 Feb 2009 10:39:16 -0000

to think this guy could have been doctor who. hahahaha

Re: Sweden Says No to Nuclear Negativity

Felix — Fri, 06 Feb 2009 17:12:22 -0000

Re: http://vixandmore.blogspot.com/2008/03/vix-follows-markets-down-in-early.html

Felix — Thu, 27 Mar 2008 15:14:00 -0000

Interesting and thought-provoking observations, Bill... thank you.

I have to confess I'm not sure about Mr. Market's mood right now. Paradoxically, I'd be more certain had the cash VIX spiked higher on "BSC Monday", say to the mid-40's or so. Certainly there was what I'd characterize as unreasonable panic that morning (because I felt that the Fed's 'line in the sand' actions and support of JPM's $2 bid for BSC were positive developments), but it just didn't feel like capitulation. And though the Fed's actions signalling that it'll defend the financial system has taken much of the 'crisis' fear out of the market, the market's black mood seems to have lifted too fast, given that recession, foreclosures, rising commodity prices, and declining consumer confidence are still problems... and really haven't changed since before BSC's fall.

And all the media speculation about whether the BSC crisis was the catalyst we'd been waiting for to kick-start another bull run is well.... troubling.

But you make an excellent point that the market's reaction to bad news is telling. If the market shrugs off bad news about housing, recession, oil prices, etc. then a major shift in sentiment would be undeniable. :)

tnt

Re: http://vixandmore.blogspot.com/2008/03/recent-investment-bank-performance.html

Felix — Tue, 25 Mar 2008 16:43:00 -0000

Forgot to mention, this is an example of the kind of article that I both like (for some of the content) and am troubled by (because it fuels the 'Is this the bottom?' debate).

Any article about Becky Quick, on the other hand, even this one, I'm all smiles about. Ms. Quick one of the few talking heads on CNBC I can stand to listen to -- unlike many of her anchor and reporter co-workers she doesn't try or pretend to be a pundit, she focuses on getting the news instead of editorializing or trying to show how smart she is (and she is 'quick', sharp as a tack) -- and she's a
major hottie besides! :)

tnt

Re: http://vixandmore.blogspot.com/2008/03/recent-investment-bank-performance.html

Felix — Tue, 25 Mar 2008 16:07:00 -0000

Last week, I posted a comment to the effect that I really didn't understand Mr. Market's grossly negative reaction on the Monday after JPM's Sunday night $2 bid for BSC.

My take on the situation was all that was positive news. The Fed, by its actions in facilitating the deal and allowing primary brokers to borrow directly from it, had drawn a line in the sand and was basically saying it wasn't going to let the entire financial system go down without a fight. BSC, in a real sense, was a 'sacrificial bear' that the Fed was willing to give up to protect the system as a whole.

So I was surprised by Mr. Market's negative reaction on Monday: the SPX made its intra-day low for the year, and the VIX nearly made a 5-YEAR closing high (though it didn't make its intraday high for the year, set back in January).

I thought I was going crazy... or the market was.

The one positive I saw Monday was the afternoon rally off the lows, resulting in a 'hammer' candlestick, which suggests a possible reversal... and sure enough, we caught a big rally on Tuesday.

Because of this, I've been doing a lot of thinking and reading about the BSC meltdown and its effect on Mr. Market, and have come to some observations:

- The initial, highly emotional & fearful reaction to news of the $2 deal largely discounted what the Fed was doing. After the dust settled (and people started to think), articles started coming out about the Fed's bold moves and why they were positive overall. But I think the Monday a.m. reaction was simply fear... not just the usual fear of losing money, but of losing one's job (at an investment bank or hedge fund), fear that the financial system might be broken, etc.

- The financial reporting, which I think is pretty awful in general, reached new lows... a lot of mis-information about the deal and the Fed's role, combined with too much hyperbole, served only to stoke people's fears. It took reporters and editors a few days to calm down and/or catch up to events, imho.

- The more I think about it, JPM's revised bid for BSC is a good thing, marketwise. A lowball bid might work when the market is panicked (like the Fri and Mon around the $2 deal), but a more reasonable valuation should prevail when the market is more rational (now). The higher $10 bid is even a good thing for JPM... it would've been difficult for them to close the original deal once the fear of bankruptcy passed, and by buying 39% of BSC on Apr 8th with their own stock, they pretty much guarantee they'll get shareholder approval. And the stock they use to buy the 39% stake doesn't cost JPM in the end... they get it back if/when the merger is consummated. Pretty slick.

- The amended guaranty agreement is a piece of work -- the original one had a serious flaw, which some say was the leverage BSC had to get a better price. Rather than go thru the legalese, you can check out the key terms here. It's important because it's JPM's big stick in the deal. The problem for BSC was that counterparties wouldn't trade with it, because in effect they lost confidence that BSC would make good on its trades... that crisis of faith would shut down BSC's trading desk. JPM's guaranty solved that, but it is contingent on the merger going thru... and any competing bidder would have to extend a similar guaranty. Not many firms in a position to do that right now!

- Since the Fed will be buying effectively 'buying' $30B of the 'most toxic' mortgage-based paper on BSC's books, much of the financial risk to JPM is off the table. The real difficulties for JPM and Jamie Dimon are going to be key employee retention and keeping large clients from defecting to GS and other investment banks. I've been thru many mergers myself (on both sides), and it's no joke to say that the employees are a major asset in such cases. I understand that the first meeting with BSC employees did not go well; it remains to be seen whether the revised bid (and healthy retention bonuses) will allow JPM to acquire more than just the shattered shell of BSC.

But going forward, my contrarian nature betrays(?) me. Despite the market rally since 'Bear Stearns Monday,' I am not entirely sanguine about the financial industry or the overall market... yet:

- There are way too many reporters asking pundits if BSC' fall marks a market bottom.... and too many opinions that it is or might be.

- Key BSC employees are apparently being heavily recruited by the other investment banks. That suggests to me that the fear Wall St. had last week (about the market, and for their own jobs) has largely disappeared. That loss of fear could indicate a bull market is coming, but it feels like they got over it too quickly. After all, the VIX didn't even make a intra-day high for the year... a VIX of over 40 wouldn't be out of the question for a capitulation bottom.

- JPM is the big winner, yet they have a huge challenge ahead of them to ensure the 'win' Jamie Dimon has a lot of experience and talent in this kind of activity, but it will take much of JPM's energy and mindshare for the next 2-3 years. I don't think they'll be able to do any more deals for a while (not that they need to!)

- The financial sector has had a nice rally since 'BSC Monday' (which helps the SPX), but I've been asking myself: "What does BSC's fall have to do with the economy?" I love the Fed's moves to protect the financial system from cascading failures, and I agree that it's reasonable for that sector to rally in recognition of the Fed's 'line in the sand.' But if the recession that I think we're already in deepens and/or if further credit tightening delays the housing recovery, I expect it'll be bad for the banks. Not terrible, just bad.

So I dunno... maybe the market drifts in a range or goes down a bit between now and the election, with less volatility than we've had recently? I really have no clue... :)

tnt

Re: http://vixandmore.blogspot.com/2008/03/ratio-of-stocks-above-50-and-200-day.html

Felix — Wed, 19 Mar 2008 12:10:00 -0000

Thank you Bill, I understand...

Since today (Weds) is the last day trading index products that settle this Thursday a.m., instead of the usual Friday a.m., due to the Good Friday holiday, I expect traders with SPX, OEX, and/or RUT positions may be a little busy today. :)

tnt

Re: http://vixandmore.blogspot.com/2008/03/ratio-of-stocks-above-50-and-200-day.html

Felix — Tue, 18 Mar 2008 17:52:00 -0000

Great post, Bill. I believe the good folks at IBD use a similar methodology as one of their measures to assess the 'quality' or strength of the current/prevailing trend.

But I was kinda hoping you'd say something about the VIX' action over the past few days. The last three market sessions have been pretty wild, and the VIX dropped nearly 6.5 points on the last trading session before MAR settlement tomorrow morning... on the heels of a solid spike and three-year closing high Monday.

The cash VIX came back from being stretched way above its 10d EMA yesterday to close today below its 50d SMA. A ten point swing from yesterday's highs to today's lows... for an underlying that is in the low thirties/high twenties. Yikes!

Of course, the VIX futures (and options underlying) did not swing as much as the cash did, but they had their own wild behaviors over the past three days. If anyone was on the wrong side of the move, I feel for them... and for those who were on the right side, you lucky (and smart) dogs! :)

Any thoughts (not predictions, lol) about where the VIX goes from here? :)

tnt

Re: http://vixandmore.blogspot.com/2008/03/portfolio-a1-doubles-down-on-brazil.html

Felix — Mon, 17 Mar 2008 11:58:00 -0000

If the Chinese economy is slowing, wouldn't there be a negative effect on Brazil and other Latin American economies? I'm no int'l economy expert, but my understanding was that at least part of the boom down south is due to purchases of commodities by the Chinese. If our economic slowdown is causing the FXI to fall, wouldn't there be a follow-on effect on the EWZ?

otoh, I guess we could consider the relative performance of the EWZ vs. the FXI as a gross measure of the pricing power that the raw materials producers have with respect to the raw materials consumers.... I'm on board with that thesis. :)

tnt

Re: http://vixandmore.blogspot.com/2008/03/expanding-on-vix-and-10-year-treasury.html

Felix — Mon, 17 Mar 2008 11:48:00 -0000

SPX e-minis have climbed all morning from over 30 down in the pre-market... and the cash VIX, up over 4 points this morning are now down a smidge (effectively unchanged from Friday). I may still be whacked hard today, but it seems there were bargain hunters buying today.

The biggest bargain hunter of all may be JPM, which is up over 10% thus far today, on its deal to buy BSC for $2... perhaps the wine of the day should be 'two-buck Chuck' in honor of that, Bill? lol

And why shouldn't JPM be up?! We, the taxpapers, are assuming much if not all of the risk (if I understand JPM's deal with the Fed), so I see this as effectively a transfer of wealth from BSC longs to JPM longs.

Interestingly, Jim Cramer doesn't seem to be impressed as I by the Fed's moves... read his post today on BloggingStocks and he wants more action. I have to take note of it, as I never thought he'd be so gloomy.

Hmmmm... rally seems to be failing since I started writing this. XLF was rallying earlier after gapping down on the open, but it seems to be taking the e-minis down with it. Not really the reaction I would have expected after the Fed opened up its discount window to Wall St.... if banks don't want to lend to the investment banks, the Fed is willing to be a source of liquidity. Shouldn't that be a good thing? ;-)

Perusing the list of the components of the XLF, the bottom of the list (in terms of the index weight) looks like a roll call of the financial companies that have been in the news (in a BAD way): MBI, ABK, ETFC, CFC, and now, BSC. Topping the list are two companies picking up some of these broken pieces... that is, BAC and JPM. Wealth transfer, again.

tnt

Re: http://vixandmore.blogspot.com/2008/03/fear-and-flight-to-safety.html

Felix — Mon, 17 Mar 2008 09:33:00 -0000

re: BSC

dowoper8tr's thought that BSC may have been the squeezie seems to have been borne out by the announcement earlier today that it will be bought out at the firesale price of $2/share.

But the pre-market action reaction (e-minis down 30, though they were down as much as 40 last night) makes it official -- I just don't understand Mr. Market today.

The BSC situation is tragic, especially for BSC longs... but of the big investment banks, it was the most exposed to losses from the subprime crisis. When we look back on this, will we be saying that this was the capitulation we had been waiting for?

But as significant than the Fed's support of JPM's rescue of BSC, are the bold, aggressive moves they are taking... by cutting the discount rate and opening the discount window to include primary dealers, they are addressing the liquidity squeeze (which in part took down BSC).

Should be a volatile session today.... gotta go!

Re: http://vixandmore.blogspot.com/2008/03/fear-and-flight-to-safety.html

Felix — Fri, 14 Mar 2008 16:50:00 -0000

Highest close for the VIX today since 2003 according to Bloomberg (and my chart)... does it mean that it's now relevant again? :)

Finally got a few fills around the close, though not at aggressive prices. Still not sure what, if anything, it means...

tnt

Re: http://vixandmore.blogspot.com/2008/03/fear-and-flight-to-safety.html

Felix — Fri, 14 Mar 2008 15:40:00 -0000

The other thing that makes me a little suspicious is that I usually get fills like crazy on days like today, at aggressive prices (i.e. favorable to me).

So far today, nary a fill... so I have to conclude that, for whatever reasons, the MMs are not motivated to take the opposite side of my trades, even for the moment that it would take to hedge it off.

Now I just have to figure out what that means (if anything). :)

tnt

Re: http://vixandmore.blogspot.com/2008/03/fear-and-flight-to-safety.html

Felix — Fri, 14 Mar 2008 15:27:00 -0000

Thanks for introducing me to the TNX... had not realized that it (and the IRX) have options. Not that I would want to trade them -- the markets are some of the worst I've ever seen (0 bid, 5.00 ask, lol). I'm not fond of the markets for TLT, IEF, or SHY, but they are much better by comparison.

Noticed earlier today that MAR IV for BSC was over 400%, APR IV was over 300%, on the heels of its > 40% drop... how interesting that Bear makes the market bearish, no? But my gut feeling is that such irrational-seeming levels could be a prelude to a hard bounce.

And at the risk of sounding too sanguine, I don't buy the 100 year flood scenario, not yet. The VIX would have to be a lot higher than it is now, even after a 5+ point rise.

Maybe I'm out of touch... that BSC was forced to seek help is certainly bad news for them, but I think the Fed, by bearing the risk of losses on the loan to BSC thru JPM, is clearly showing it's not going to let the big banks (investment or otherwise) collapse, at least not without a fight. When (or if?) Mr. Market comes to grips with idea that this Fed is willing to make bold moves to protect the financial industry, today's fear might be seen as a missed opportunity to bargain-shop.

Ugly, ugly day today, but when nothing's working and my indicator stocks are a sea of red, when it looks like everyone is dumping everything without regard to quality to raise cash, when my own account is bleeding red for the day, I'm (strangely) wired to see it as opportunity.

But what do I know.... as I've posted before, I have a terrible sense of direction (and market sentiment).

tnt

Re: http://vixandmore.blogspot.com/2008/03/short-term-triple-top-in-vix.html

Felix — Fri, 14 Mar 2008 17:09:00 -0000

Bill, agree 100% with you about TA on derivatives... mathematical manipulations on numbers that are themselves mathematical manipulations -- does anyone think this makes sense? lol

That said, I do use MAs, MACD, and Bollinger Bands (at times) on my VIX charts. But I'm always aware of their limitations, and use them only in the context of showing how much the mythical 'rubber band' is stretched (mean-reversion). But when the VIX runs contrary to its mean-reversion nature for many bars, even these simple TA tools are not useful. :)

tnt

Re: http://vixandmore.blogspot.com/2008/03/short-term-triple-top-in-vix.html

Felix — Fri, 14 Mar 2008 13:44:00 -0000

At the time of your post, I thought so too, but after today's spike up, I'm not so sure anymore... prognostication is tough! :)

Re: http://vixandmore.blogspot.com/2008/03/financials-and-real-estate-power.html

Felix — Thu, 13 Mar 2008 00:55:00 -0000

So someone who had hedged a long SPX/market position with short XLF might have regretted that decision yesterday? :)

otoh the VIX dropped nearly 3 pts. on the rally, so too large a hedge with the VIX might also have caused regrets.

Re: http://vixandmore.blogspot.com/2008/03/other-perspectives-on-last-week.html

Felix — Thu, 13 Mar 2008 00:52:00 -0000

Bill, if you're still in Texas, try some of the local, Texas Hill country wines. When I lived in Austin and San Antonio, I'd wine-tour the Fredricksburg area in the fall. Not the same as Napa, or even the Livermore Valley here in CA, but interesting and tasty nonetheless!

tnt

Re: http://vixandmore.blogspot.com/2008/03/next-up-vix-101.html

Felix — Fri, 07 Mar 2008 16:26:00 -0000

The relationship between VIX futures and options -- or more specifically, the disconnect between the cash VIX and VIX options -- should probably be emphasized. Links to the CBOE VIX minisite & the monthly CFE newsletter on volatility that Larry McMillan writes might be useful.

The various VIX ratios are interesting, but I haven't found them to be good for capturing the relative intraday movements of the SPX and VIX... stacking the two charts 5-min. or even 1-min one-day charts on top of each other is a good way to see this.

Today was a good example of this, going into the close, it looks like the SPX is going to be down about 11, and the VIX will be pretty flat, down about 0.10 -- not particularly profound from a SPX:VIX ratio perspective. But looking at it intraday, we see an opening down move in the SPX and a gap up in the VIX, a steady drop of the VIX during the first hour rally of the SPX, then the VIX rising throughout the market selloff during most of the day, and then AFTER the SPX hit its intraday low and rallied up in the late afternoon, the VIX reached its intraday high and dropped sharply. Finally, as the SPX drifted down into the close, the VIX rose up.

Put another way, a comparison of the VIX to the absolute value of the SPX is not nearly as useful or interesting to me as the dynamic, relative movement of the pair. I haven't put enough effort into describing this mathematically, but a crude version would be to plot the % change of the SPX vs. the % change of the VIX.

tnt

Re: http://vixandmore.blogspot.com/2008/03/spx-to-vix-ratio-turns-up.html

Felix — Wed, 05 Mar 2008 13:50:00 -0000

Whoa, that was ugly! Market was thinking bailout, ABK comes out with a public offering and drops $2 after the trading halt. MAR IV around 250%, yikes!

XLF down 1.7% vs. SPX down 0.3% -- so much for my gut feeling or opinions about hedging, lol!

tnt

Re: http://vixandmore.blogspot.com/2008/03/spx-to-vix-ratio-turns-up.html

Felix — Wed, 05 Mar 2008 13:15:00 -0000

nevertheless, my gut feeling is in agreement with yours.

Another boost to the financial sector in coming weeks will be the runup to the Visa IPO.... I would not want to be short deltas in the XLF, if that were my hedging strategy. :)

tnt

Re: http://vixandmore.blogspot.com/2008/03/spx-to-vix-ratio-turns-up.html

Felix — Wed, 05 Mar 2008 13:13:00 -0000

Interesting how the SPX gapped up shortly after the ABK trading halt, but has been mostly down in the hour following, even below pre-gap levels.

otoh, it was during the lunch hour in NY, so who knows, maybe junior market specialists sold into the rally and found no bulls to oppose them? lol

tnt

Re: http://vixandmore.blogspot.com/2008/03/put-to-call-data-at-extreme-levels.html

Felix — Wed, 05 Mar 2008 13:34:00 -0000

As I've mentioned on your blog before, I'm not a big fan of putting too much weight into the put-call ratio as a market indicator... too much noise in the data imho, becuz one doesn't know whether the retail side is buying or selling premium, nor whether the transactions are in isolation or to hedge a larger position.

....except at extreme levels and volumes. :)

While VIX surfing last night, I came across this link wherein the writer seems to say his data shows that the VIX and VXN lag behind put/call ratio spikes. This doesn't make sense to me, since increasing put volume tends to increase volatilities (more demand to buy puts tends to make them more expensive), but I confess I haven't studied the data yet myself.

Thank you for the link to the StockCharts.com symbol table, they should be very helpful! (wish they'd track the ISEE though)

tnt

Re: http://vixandmore.blogspot.com/2008/02/optionsxpress-trading-patterns-and-vix.html

Felix — Wed, 05 Mar 2008 02:35:00 -0000

Forgot to mention, another resource for satisfying your 'inner trading voyeur' is stockpickr.com -- though admittedly people on it could be claiming to have positions that are just fantasy. OX' Trading Patterns has the advantage of giving you actual transaction information, though as you pointed out, it's not evident whether the trade was go long or short. Stockpickr only deals with stocks, so presumably if someone has both BIDU and AAPL in their portfolio, they are long both.

I especially like Stockpickr's "Options with Unusual Activity" portfolios; it's sometimes useful for trading ideas (but as always, beware of liquidity issues!)

tnt

Re: http://vixandmore.blogspot.com/2008/02/optionsxpress-trading-patterns-and-vix.html

Felix — Wed, 05 Mar 2008 02:05:00 -0000

Very interesting.... I must be the atypical VIX trader, other than small AAPL and NVDA trades from time to time, as well as the SPY, I've never even had the urge to trade the other products on OX' list.

otoh, I do like trading products with high IVs, like biotechs with pending FDA announcements, so maybe I fit into your thesis about 'aggressive' traders. :)

Re: http://vixandmore.blogspot.com/2008/02/vix-and-going-short.html

Felix — Wed, 05 Mar 2008 03:29:00 -0000

one other thing -- I must be sleepy, lol -- I wonder how many 'VIX technicians' are using the correct data from Jan 14th to Feb 15th?

As many of you may recall, the cash $VIX was incorrectly calculated for that period of time because the expiration dates were changed due to the holiday schedule:
CBOE Information Circular IC08-026 (also CFEIC08-002). Does anyone know if the various charting websites have incorporated the corrected data yet?

tnt

Re: http://vixandmore.blogspot.com/2008/02/vix-and-going-short.html

Felix — Wed, 05 Mar 2008 03:16:00 -0000

Bill, thank you for the article links... they look interesting, have to study them after I get some sleep, lol.

I agree with you 100% about TA and the VIX... for the most part, it defies common sense that support and resistance levels are applicable to a derivative (VIX futures) of a derivative (VIX) of a derivative (SPX).

Certain TA techniques can make sense -- your MAs, Bollinger bands (as steveinchicago pointed out), the MACD histograms I've used to predict VIX reversals -- but one really has to understand what the TA algorithm is designed to detect AND the nature of the VIX itself. One edutainment promoter totally lost credibility with me by claiming that, because the VIX is a derived value, TA should work even better than on equities... HELLO? lol

I also like Frank's thinking about using the front-month VIX futures as an indicator of the cash VIX direction... I use it myself as part of my decision process whether I want to buy or sell vega.

tnt

Re: http://vixandmore.blogspot.com/2008/02/xlf-and-spx.html

Felix — Wed, 05 Mar 2008 02:52:00 -0000

One significant advantage that the VIX has over a sector XLF as a hedge for the SPX (or SPX-like portfolio), is that it's a general-purpose hedge.

And at some point the downtrodden sector will snap back and cause the hedger to miss out on bulk of the market rally, and possibly lose more money on the hedge than gain on the main portfolio.... for example, good news about Ambac could make the XLF rally harder and higher than the SPX.

Put another way, a sector hedge is not so much a pure hedging strategy as it is a pairs trade (and it has to be managed/timed as such), whereas a VIX hedge is more like catastrophic loss insurance. :)

tnt

Re: http://vixandmore.blogspot.com/2008/02/rising-popularity-of-xlf-options.html

Felix — Fri, 22 Feb 2008 15:05:00 -0000

fiaz, I don't think it's so much a matter of correlation but of the ways institutional traders might try to hedge broad market (SPX-like) long positions.

The CBOE/CFE promotes VIX futures and options as a one way to hedge (long delta) exposure in bear markets. That's not the only way to use them, but it has had a certain appeal to those who have observed that the VIX often spikes at major market bottoms.

But I think what Bill is suggesting is that the XLF is an alternative hedging vehicle, and the rise in options activity reflects greater use of it for that purpose, thus taking away interest and volume from the VIX.

It certainly has several advantages over the VIX, such as tight, penny-priced markets, and the ability to target a hedge to a specific sector, presumably the one institutional traders are most concerned about hedging. And for 'value' investors looking for a way to bet on a bottom in the financials, the XLF and/or its options could be an attractive product.

It occurs to me that the VIX might have tighter markets and more volume if a VIX ETF were available instead of the VIX futures. (Honestly though, I'm not even sure it would be possible to create a VIX ETF.) I believe a VIX ETF could have greater trading volume than a VIX futures.... as there are more stock traders than futures traders. I suspect ETF-based products such as options on the SDS, QID, XLF, etc. should usually have this kind of edge over futures-based products like the VIX, VXN, and RVX (assuming of course that the underlying ETF product has high volumes).

tnt

Re: http://vixandmore.blogspot.com/2008/02/new-etfs_4642.html

Felix — Wed, 20 Feb 2008 12:55:00 -0000

How about a "ShortBushSpeech" ETF?

Since his first term as President, it seems like whenever Mr. Bush gives a speech about the economic matters during the trading day, the SPX sells off. The effect may be less pronounced now than before, given his lame-duckness, but there was a time when I dreaded (or looked forward to, if I had a bearish position on) his mid-day speeches. lol

Re: http://vixandmore.blogspot.com/2008/02/interest-in-vix-waning.html

Felix — Tue, 19 Feb 2008 21:18:00 -0000

You may have something here, Bill... and if we include the volumes of the ETFs themselves (i.e., not just their options volumes), the impact on VIX volumes by hedgers could be noticeable.

Still, I doubt that the VIX is going away as a liquid, heavily traded product. The potential for it to spike up BIG should the market tank will continue to be an attractive feature for many hedgers looking for leverage... at least I hope so. I'm biased, I love the product. :)

Since cash VIX reflects the implied volatility of the SPX, I think it will continue to be relevant and useful... I don't expect traders to lose interest in SPX options, though of course anything is possible. :)

tnt

Re: http://vixandmore.blogspot.com/2008/02/more-sideways-vix-and-vwsi-action-while.html

Felix — Tue, 19 Feb 2008 21:35:00 -0000

Bill, I'm curious whether you plot the ISEE yourself (using the data the ISE e-mails out for free each day)... I haven't found it at stockcharts.com and don't think thinkorswim has it on their charts (but I could be wrong about the latter).

Best regards,
Felix

Re: http://vixandmore.blogspot.com/2008/02/more-record-lows-in-isee.html

Felix — Tue, 19 Feb 2008 20:57:00 -0000

Frank, thank you for compiling and sharing your data. It's very interesting, and there seems to be something there (that I don't quite understand yet).

That said, it seems that the FEB settlement for the VIX was one of the <20% cases, in that the 'revised' close of the cash VIX on Friday (per the CFE information circular) was 25.54, and the open today was 25.39, just a little lower.

However, the settlement at 25.51 was higher than the open (despite the SPX gapping up on the open and the S&P e-mini futures up over 10 pts. at 9:30 am EST), very close to the revised closing price. I'd be tempted to suspect that the VIX futures traders knew about or anticipated that the CFE would revise the VIX upward, but if that was the case, they got the direction right but the magnitude wrong.

I agree with Anonymous' comment about being stunned that the cash $VIX has been wrong since Jan 14th 2008 -- it's difficult for me to believe that the CBOE/CFE only discovered the error on Friday. And they posted CBOE Information Circular IC08-026 (also CFEIC08-002) after trading hours on Friday.... perhaps it doesn't matter though, since one trades the VIX futures directly, not the cash $VIX.

And I really shouldn't complain... got lucky and was pleased with the settlement price and VIX action today. :)

Regarding the ISEE calculation, I guess I interpreted the quote a little differently, Bill. I was thinking that opening a spread position would be considered as opening one or more long positions (which would be counted by the ISE methodology) and one or more short positions (which would not be counted). But your interpretation would of course make for a more valid indicator. I guess it could depend on how the transaction data is reported to the ISE.

Felix aka thenakedtrader

Re: http://vixandmore.blogspot.com/2008/02/more-record-lows-in-isee.html

Felix — Fri, 15 Feb 2008 17:10:00 -0000

I like the ISEE methodology much better than the traditional put/call ratio methodology, but I feel it still suffers from similar defects... without knowing the context of the opening long purchase (of the call or put), it doesn't indicate whether true sentiment of the customer.

For example, suppose I owned a million shares of some equity (I wish!) and bought 10,000 puts as a hedge... the ISEE would go down, indicating bearish sentiment, but my net position is synthetically 10,000 long calls, suggesting that I am bullish..

Or suppose I sold a 90/100 call spread, 5000 times (bought 5000 calls at a strike price of 100 and simultaneously sold 5000 calls at a strike price of 90). That is a bearish position (short call vertical), but if I understand the ISEE methodology, only opening long call and opening long put transactions are included in the calculation (i.e. the 5000 calls at 100), which would make the ISEE slightly positive.

Of course, most retail traders don't play these (synthetic) games, and at extreme values, the ISEE (and even the tradtional put/call ratio) is probably accurate to a reasonable degree.

What I find interesting is the relationship between the cash VIX and the near-month VIX futures; today, they closed at 25.02 and 26.05, respectively. Earlier in the day, the FEB VIX futures were as much as 1.75 higher than the cash VIX!

Now bear in mind that the FEB VIX futures settlement price is based on the opening transaction prices this coming Tuesday morning. It suggests to me that futures traders are betting that VIX values will spike up by a little over a point after the three-day holiday... maybe forecasting a gap down in the SPX? Either that, or they forgot that the settlement date was pushed back by a day (due to the Good Friday holiday in March), or they're nuts/dumb.

I think I should discount the last two possibilities, since dumb or forgetful traders don't last in the futures market for very long.

Depending on what happens, I will either be quite pleased or rather unhappy on Tuesday...

Re: http://vixandmore.blogspot.com/2008/02/bidu-calls-and-time-decay.html

Felix — Fri, 15 Feb 2008 09:59:00 -0000

One trade that Tom Sosnoff mentioned during ToS chat on Wednesday (after hours) was to have bought the 250/260 call spread, which was available at $5.50 or so for most of the day.

Given that BIDU was trading above 260, it's a great example of how a corporate event during expiration week can offer 'deals' (provided you get the direction right!), and why you want to use spreads when IVs are inflated and going to get crushed during the next session (i.e. offset the extrinsic value of the option you're buying with the extrinsic value of the option you're selling).

tnt

Re: http://vixandmore.blogspot.com/2008/02/bidu-calls-and-time-decay.html

Felix — Thu, 14 Feb 2008 13:11:00 -0000

Oh, to have sold an ATM straddle (hedged, of course) before the close yesterday... I remember some discussion during the ToS weekly chat that they were going for around $30+ -- with BIDU's price now back down to yesterday's levels, you could buy back the straddle for $12.50 or so.

Of course, the cost of the hedge (long strangle) probably would've been too high for a profitable trade (net), as its value also would be hit by time decay and IV crush.

I wonder whether some clever monkey at a hedge fund sold BIDU after earnings IN THE CHINESE STOCK MARKET (during our after-hours market), and bought back shares today on the NASDAQ. The prevalence of high-flying Chinese stocks cross-listed here and in China could permit some interesting arbitrage trading.

But all such fantasies aside, that BIDU could not sustain its after-hours market gains (it's up presently less than 1%) is a bit troubling, not just for the stock itself, but to the extent that it is a NASDAQ leader, the overall market. otoh, the $COMP is down over 32 right now, so perhaps the fact that BIDU's able to rise despite the market direction today will be seen as a sign of strength.

Felix aka thenakedtrader

Re: http://vixandmore.blogspot.com/2008/02/vix-february-options-calendar-anomaly.html

Felix — Thu, 14 Feb 2008 14:47:00 -0000

Lots of good data and information, Frank. I'm inclined to use a different measure of backwardation/cotango (because I'm more interested in the 'delta' between the two values), but your statistics get your point across.
(And in excellent English, if I might add!)

As we close into the last hours of trading, the spread between the cash VIX and the FEB VIX futures has narrowed throughout today, with the $VIX rising about 0.50 and the FEB futures rising only 0.15-0.20 or so. In terms of the the options 'Greeks' that would correspond to a 'delta' (different kind than above) of 0.30-0.40 -- a slightly out-of-the-money call option.

Not that that means anything, lol... it remains to be seen whether the cash $VIX will rise further, or if the FEB VIX futures drops tomorrow, or (conceivably) both.

I don't expect complete convergence by the close tomorrow -- after all, the FEB futures settle on the opening trade on Tuesday, not on Friday's closing prices -- but it would concern me if the spread didn't close from here... I'm still wondering whether there will be a lot of retail VIX options and futures traders surprised on Tuesday to find that the FEB has settled and that they missed their last opportunity to trade this Friday. I hope not, it could be ugly.

Felix aka thenakedtrader

Re: http://vixandmore.blogspot.com/2008/02/vix-february-options-calendar-anomaly.html

Felix — Wed, 13 Feb 2008 15:16:00 -0000

Thanks Bill... looking at the increasing spread between the cash $VIX and the FEB VIX futures:

http://futuresource.quote.com/charts/micro.jsp?s=%3D%27VX+1%21-cf%27+-+%27%24VIX%27&s=&s=&s=&s=&s=&s=&s=&p=D&v=15&b=BAR&d=HIGH

makes me wonder if most (retail) VIX traders are aware of this anomaly. I tend to expect the two to converge near the settlement date, and given that the last trading day is this Friday, the spread seems to be going in the wrong direction.

Of course, I don't know whether it means that the cash VIX is going to go up, or the FEB VIX futures is headed down. If I knew that, it'd be a terrific 'edge' going into expiration! :)

Re: http://vixandmore.blogspot.com/2008/02/nasdaq-2315-2320.html

Felix — Thu, 14 Feb 2008 17:03:00 -0000

Dropped back hard below 1360-1362 on the SPX, so I'm counting it as a failure. :-(

We may see a test of your NASDAQ 2315-2320 level tomorrow.

Most importantly, Happy Valentine's Day to all! :-)

Re: http://vixandmore.blogspot.com/2008/02/nasdaq-2315-2320.html

Felix — Wed, 13 Feb 2008 13:29:00 -0000

Hmmm, seems to have broken thru 1360 shortly after I posted last time.... I guess I'll have to go intermediate-term bullish if we close above 1360, depending of course on continuing to make higher highs and lows. Expect resistance around 1395 or so, but breaching that level would put me solidly in the bull's camp.

Re: http://vixandmore.blogspot.com/2008/02/nasdaq-2315-2320.html

Felix — Wed, 13 Feb 2008 12:55:00 -0000

Sorry, that should be prescient.

Any way to add a spell-check function to blogger? lol :)

tnt

Re: http://vixandmore.blogspot.com/2008/02/nasdaq-2315-2320.html

Felix — Wed, 13 Feb 2008 12:53:00 -0000

Your expectation posted Monday that we might have a bounce off the lows (based on the NASI) was quite precient.

I don't follow the $COMPQ much -- I look at the $MNX/$NDX more because it has options, whereas the NASDAQ composite does not -- but focusing on the top 100 caused me to miss that the overall NASDAQ is outperforming the top stocks since the late January 2008 low. I just added the $COMP to my ToS indices list so I can keep a closer eye on it as a broad market indicator.

The resistance level I'm monitoring is the 1360-1362 level on the SPX. On one of my 15 min. charts it looked like the SPX gapped down to around that level on the Feb 5th open, and there have been several (failed) attempts yesterday and today to breach 1360 and fill the gap.

Another factor that made me feel less sanguine about the market yesterday was that nearly all of the stocks on your "Overripe High-Flyers" index were down at the close (along with the $MNX/$NDX)... otoh, they all seem to be up today, so perhaps it's premature for me to weigh in as either a bull or a bear at this point.

tnt

Re: http://vixandmore.blogspot.com/2008/02/vix-vxv-and-volatility-expectations.html

Felix — Wed, 13 Feb 2008 12:09:00 -0000

My pleasure, Bill. I've found your blog so interesting and useful, as well as a great source of links to trading resources, that it's only fair that I try to give a little back. :)

tnt

Re: http://vixandmore.blogspot.com/2008/02/vix-vxv-and-volatility-expectations.html

Felix — Wed, 13 Feb 2008 11:16:00 -0000

Sorry to add to my previous over-long comment... can't believe I forgot to include it.

One problem I have with the cash VIX and VXV is that sometimes the CBOE (I think) is slow to post morning prices. Yesterday, it was almost ten a.m. (EST) before any cash VIX quotes were available.

This may have been due to the gap up in the SPX creating a situation in which more time was needed to get good quotes across the entire options chain, but twenty-five min. seems a little extreme.

otoh, VIX options started trading a few min. after the market open, based on values from the futures market (which correctly anticipated the gap down on the cash VIX).

tnt

Re: http://vixandmore.blogspot.com/2008/02/vix-vxv-and-volatility-expectations.html

Felix — Wed, 13 Feb 2008 10:59:00 -0000

Thank you for bringing up the VXV again, Bill... I'd forgotten about it since you last posted about it.

I agree that the standard FutureSource.com chart for two variables is not as useful as it could be, since it doesn't offer a %-change option on the y-axes that would allow the variables to be compared more easily.

They do offer a custom micro-chart option that you can use to chart spreads. The spread between the VIX Aug futures and the cash VIX could be displayed as:

http://futuresource.quote.com/charts/micro.jsp?s=%3D%27VX+7%21-cf%27+-+%27%24VIX%27&s=&s=&s=&s=&s=&s=&s=&p=D&v=15&b=BAR&d=HIGH

Similar spread charts can be created by editing the above URL directly, or by constructing them here:

http://futuresource.quote.com/charts/micro.jsp

Note that more complicated expressions comparing different futures and indexes can also be created (though the syntax is a bit confusing), and that multiple micro-charts can be displayed on the same page. Another cool thing is that you can get a full-sized chart of the spread by clicking on the micro-chart.

I'd be careful about using the VXV:VIX ratio as a market timing indicator without much more data, over a variety of market conditinos. While I agree with the general idea that the VIX should tend to be more volatile during market corrections than the further out VXV (which tends to be 'stickier'), in a massive market sell-off, SPX options market-makers will reach out for anything and everything, including the back months, to hedge the front-month puts they'd be selling to the buying public. That action would tend to make the IVs of the back-month options, and hence the VXV rise, perhaps almost as quickly as the VIX.

That said, a large IV inversion in the major indices (that is, when the front-month options have markedly higher implied volatilities than back-month options) generally suggests to me that a 'local' bottom is being formed, though a prolonged inversion (such as the one we've had this year) tends to make me nervous, because it suggests a sentiment shift towards near-term fear and bearishness.

IF the VIX futures three months out are well-correlated to the VXV, it may be worthwhile to investigate the ratio of those futures to the cash VIX as a temporary proxy for the VXV:VIX ratio (to test your hypotheses).

Thanks again for bringing up the VXV again.... I'll start including in my trading toolkit.

Best regards,
Felix aka thenakedtrader

Re: http://vixandmore.blogspot.com/2008/02/index-volatility-and-component.html

Felix — Wed, 13 Feb 2008 11:39:00 -0000

One of the things I'm interested in is options arbitrage, or pairs trading. An example of this might be when one buys options in a low-IV underlying (say, an index) and sells options in a higher-IV underlying or underlyings (say, the components of an index) in the proper proportion. Of course, it would have to be done in a manner to eliminate or greatly reduce delta risk.

I think though, that this example is a fantasy, at least for a retail trader (me and I presume you). It would take the resources of a large trading firm for the capital, ability to fill at fair prices simultaneously, trade management, etc. for such a scheme... and the return on investment may not be worthwhile, given the transaction costs (entering AND unwinding).

LTCM used hedging schemes involving correlated products, and this led to its ultimate undoing. They made fabulous profits at first, but when the correlations failed (and refused to converge in time -- perhaps the ultimate failure of mean-reversion, or maybe the markets just got smart), they were unable to unwind their positions without massive losses, and the fund collapsed.

Still, the availability of a variety of sector and broad-based index or ETF options is very nice for a beginning pairs trader like myself, though liquidity and correlation are still significant concerns.

tnt

Re: http://vixandmore.blogspot.com/2008/02/sentiment-failures.html

Felix — Thu, 07 Feb 2008 19:32:00 -0000

Interesting day today...

I fear I'm more sanguine about the market than you, Bill, despite the very compelling case you present.

Towards the end of the trading session, I thought we might have a 'doji' day on big volume, indicating indecision, and a possible reversal tomorrow. But the bulls gained the upper hand by the close, despite a negative report about January retail sales.

But even as the market was falling from the highs set earlier in the day, the VIX remained stubbornly in the red... which suggests to me that fear is dissipating somewhat (because I often observe the VIX rise above the previous day's close during an intra-day selloff).

And, it's possible that the retail sales numbers were trumped by the decline in jobless claims. That number seems to contradict the ISM service sector number which precipitated this week's bearish action.

But what do I know?... I've had a brutal week, and perhaps I'm overeager for a bullish run on expiration week.

Re: http://vixandmore.blogspot.com/2008/01/scrolling-back.html

Felix — Fri, 11 Jan 2008 13:54:00 -0000

Bill, thank you for the links.... very interesting and informative.

Less informative, but possibly as interesting to some of your readers, is this "VIX"-related webpage:

http://www.vixswimwear.com/flash_sofia.asp?idno...

;-)

Re: http://vixandmore.blogspot.com/2008/01/i-generally-shy-away-from-making-stock.html

Felix — Wed, 09 Jan 2008 19:06:00 -0000

Interesting that the VWSI is not lower... I'm surprised too. Thank you for the update.

Today's late-day rally could be a good portent for tomorrow, once the weak hands (e.g. margin calls) are washed out. You may still be right about a strong swing up... just a day or two early. This is, after all, the week before options expiration. :)

I agree with you that the VIX will have a hard time advancing over resistance... unless we have a true capitulation-type day, of course. That would be ugly (though probably a good opportunity to make $ selling premium!)

Re: http://vixandmore.blogspot.com/2008/01/i-generally-shy-away-from-making-stock.html

Felix — Wed, 09 Jan 2008 15:42:00 -0000

Looks like your prediction about the market today (not about Obama, lol!) has a very good chance of being accurate, though it wasn't looking good earlier in the trading day.

Volume seems to be higher, though up volume and down volume are pretty much neck and neck right now (towards the end of the trading day).

I'm guessing that your VIX sentiment indicator (VWSI?) was strongly negative yesterday, given that it spiked up over the 10/20/50 day moving averages. otoh, the JAN VIX futures is still a little higher than the cash VIX, so without a strong market rally, the VIX could go higher still, I suppose. I'm hoping not... my positions would benefit if the VIX drops a little.

Re: http://vixandmore.blogspot.com/2007/10/vix-futures-and-volatility-expectations.html

Felix — Tue, 16 Oct 2007 13:12:00 -0000

Hmmmm, I just went back to your home page and you HAVE been posting... and the VWSI got back to neutral.

Strange... must be something with the way my browser caches this site, or something else I don't yet understand.

In any event, I'm glad I was worried for nothing! :)

Felix aka thenakedtrader

Re: http://vixandmore.blogspot.com/2007/10/vix-futures-and-volatility-expectations.html

Felix — Tue, 16 Oct 2007 13:09:00 -0000

My fellow VIX bull,

I've not seen you post a new blog entry for almost a week, is everything OK? I'm hoping that it's nothing more serious than being busy because of the approach of the end of the OCT expiration cycle.

I must confess I'm missing my daily fix of reading your blog, and especially of your reporting of the current VWSI level (which I'm guessing is slightly negative right now).

Many thanks to anonymous for posting his links (even though they were a little difficult to copy) -- VERY USEFUL STUFF. I appreciate especially the VIX spread charting, as it figures into my trading this product. EXTREMELY COOOOL!

Hope all is well,

Felix aka thenakedtrader

Re: http://vixandmore.blogspot.com/2007/09/volatility-index-options-menu-expands.html

Felix — Fri, 28 Sep 2007 15:09:00 -0000

I've been pondering why the relative disinterest in the VXN futures, and also why the spot VIX was at a lower level than that of the VIX recently (for a short period of time).

I think that maybe those who would normally be interested in hedging tech-heavy portfolios just aren't right now, or they're using broader-market instruments to hedge. In the late stages of a tech rally, this would tend to make me worry, but for now, it could mean that the tech bulls are back. It seems to me that the NDX has been stronger than the SPX for a while.

Bid-ask spreads on the VXN and RVX options are kinda wide right now, so I probably won't be trading them until they tighten up. I was thinking of maybe selling some VXN options against my VIX positions, but why complicate things? :)

Re: http://vixandmore.blogspot.com/2007/09/vix-oversold.html

Felix — Wed, 26 Sep 2007 16:19:00 -0000

Yes, isn't it strange that, on the same day the Nasdaq 100 broke out to a new 52-week high (with a pretty doji), BIDU sold off over 11 points as some (smart?) traders were getting out? It makes one think. :)

Though I stand by my comments yesterday about top-calling being a difficult way to make a living, it looks like you nailed it.

Today's gains in the major indices appears on first glance to be encouraging, but I'm looking at the markedly weak volumes and thinking.... ehhh. Or worse, are we being gamed here? :)

I had assumed you used Bollinger Bands rather than fixed %age bands from the SMA for your mean-reversion calculations on the VIX, but perhaps I was mistaken. Does VIX's volatile nature limit, in your mind, the usefulness of applying certain technical analysis studies to it?

Also, I'm assuming the VWSI reading applies to the VIX, but not necessarily to the VIX futures... would you consider a similar indicator for the front-month futures prices?

Best regards,
Felix

Re: http://vixandmore.blogspot.com/2007/09/bidu-hogs-eventually-get-slaughtered.html

Felix — Tue, 25 Sep 2007 18:11:00 -0000

“Overripe High Fliers" -- terrific phase, Master Bill. Perhaps you'll consider using it for a portfolio name over at Stockpickr! :)

As for BIDU, no doubt that it will fall back towards earth sometime. Its impressive (incredible?) growth rates might account for its lofty P/E, but how long can triple-digit revenue and income growth rates be sustained, eh?

Still, I don't see a trade for people without a position in BIDU, like me. I'm disinclined to go short on a stock on a tear like this, as trying to call tops consistently is a much too difficult way to make a living, imho.

And despite the juicy premiums (~65%) BIDU currently commands, I wasn't motivated to sell calls either. Short naked calls would face a similar problem to the short stock scenario (not to mention, be [i]insane[/i]), and the high premiums that make the options such attractive sell candidates also make my hedging options too expensive to warrant doing vertical spreads.

I suppose if I had an idea of where BIDU would settle on Oct expiration a butterfly might be relatively cheap.... but it'd be a speculative play.

IF I wanted to be long BIDU, felt it was too expensive at $300 (but not at say, $275), but was afraid that it would run up from here and not look back, I might sell some OCT 280 puts for around $11.50/contract. If assigned, my net share cost is $268.50, which should make me happy -- unless the price is below there already, one think people don't always think about!

What's troubling is that the average implied volatility on BIDU appears to be trending higher in the runup to its highs, which suggests that it's peaked, or rather, that some traders are hedging their long positions by buying puts (driving up option prices) on the expectation that BIDU may fall sharply and soon.

But hey, what do I know? I need to have my head examined, I trade the VIX..... and yes, I'm staying away from BIDU.... it scares me.

Thanks for thought-provoking post, Master Bill. Your indicator stocks are on my watchlist now too, thank you!

Felix

Re: http://vixandmore.blogspot.com/2007/09/vixsds-ratio-keeper.html

Felix — Mon, 24 Sep 2007 14:27:00 -0000

Bill,

I'm afraid I'm not a big believer in the existence of holy grail indicators for market forecasting, all due respect to Greenspan or you notwithstanding.

That said, as I write this, the SPX seems to be turning downward slightly, and the VIX is headed upward -- as your latest VWSI readings suggested would happen.

But perhaps we should consider reversion to the mean to be less about forecasting and more an observable (and not entirely predictable, at least in terms of timing) phenomenon.

As for the VIX:SDS ratio, I'm not entirely sure of the reason to use an inverse ETF, instead of the SPX itself, and multiplying it to the VIX. You may want to scale the results to get 'nice' numbers, but the shape of the chart should be similar to that of the VIX:SDS -- with the advantage that you won't need to worry about tracking error to the index.

I'm sure you aware that when using 'derived' indicators like VIX:SDS, it's important to keep track of what's being measured. I'm not at all sure of that in this case. If the SPX goes up, both the VIX and the SDS tend to go down, the opposite occurs when the SPX goes down. I guess the ratio gives us a way to see whether VIX is increasing/decreasing faster than than twice in the inverse of the SPX, but what does that really mean, in terms of the market?

Or am I missing the point entirely? Is the intent to trade the VIX against the SDS?

Regardless, I find your blog/posts enjoyable and thought-provoking... while I wait for Mr. Market to make up his mind, lol!

Best regards,
Felix

p.s. Nothing wrong with keeping track of a bunch of silly charts... you might be surprised by the clutter in the attics of my mind. Or maybe not, lol.

Re: http://vixandmore.blogspot.com/2007/09/on-rarity-of-20-one-day-drop-in-vix.html

Felix — Wed, 19 Sep 2007 16:15:00 -0000

Hmmmm... close was a little stronger than I expected, and volume was kinda bullish. Still, the VIX and all the major indexes appear to be at or beyond the two sigma bounds of their Bollinger Bands, so I'm still expecting some snapback towards the means tomorrow (or at least by the end of the week).

Best regards,
Felix

Re: http://vixandmore.blogspot.com/2007/09/on-rarity-of-20-one-day-drop-in-vix.html

Felix — Wed, 19 Sep 2007 14:59:00 -0000

Master Bill,

Thank you for your supportive comments, and especially for the additional VWSI data.

As we agree on the mean-reversion nature of the VIX, I suppose it is natural that we both feel a snapback to higher levels is likely. As I am currently long VIX vegas, I'd also like to see higher implied volatility levels in the VIX, though I'll admit it's unlikely to go much over 100% soon unless the market gets fearful and bids up VIX premiums.... I'm probably being too greedy here. :)

And yes, I'll go get my head examined whether the market agrees with me or not! :D

Best regadrds,
Felix

Re: http://vixandmore.blogspot.com/2007/09/on-rarity-of-20-one-day-drop-in-vix.html

Felix — Wed, 19 Sep 2007 14:22:00 -0000

VIXMaster Bill, to put even more context to past occurrences of a large one-day drop in the VIX, could you tell us what the VWSI was in the past cases? I suspect that, given the mean-reversion thesis of the method of calculation, it would have been slightly positive or neutral in the past cases, but your confirmation would be welcome and appreciated.

Also, yesterday's case may be somewhat anomalous, given settlement of the SEP VIX futures and options on the morning following the FOMC announcement.

Today's SPY/SPX and VIX candlesticks, assuming they hold up through the close, suggest to me that we could have short-term reversals on them this week. An inability of the bulls to sustain yesterday's rally today, as well as lower volume, could lead to some profit taking before the end of the week.

Of course, my analysis may be colored by my position.... and yes, I should have my head examined! :)

Re: Question of the day

Felix — Thu, 15 Dec 2005 09:48:06 -0000

The State has Artisan's Shops in the Thompson Building in Chicago and the State Museum in Springfield which feature Illinois made gift products.

Re: Question of the day

Felix — Thu, 30 Mar 2006 10:51:48 -0000

I agree with Outraged but I'd go further - Paul Powell on the $20, Bill Scott (the resigned Lt. Governor, Otto Kerner, Dan Walker. Let's not forget our great heritage.

Re: Senate approves tax hike

Felix — Sat, 30 May 2009 23:22:15 -0000

This tax increase is an outrage, particularly since the Senate is apparently unwilling to pass any meaningful reform measures or implement any meaningful budget cuts such as cutting pension benefits for future employees. It is a clear example of irresponsible spendthrift government at work. If this income and sales tax increase becomes law there will be a firestorm of outrage that will make the parking meter increase fiasco in Chicago look like a small fire contained in a trash can.

My guess (and hope) is that this makes it even less likely that the House will pass any type of tax increase during the regular session.

Re: Question of the day

Felix — Tue, 16 Jun 2009 13:24:19 -0000

D. He has yet to make any kind of a case that is convincing to the electorate with regard to increasing the state income tax. Quinn needs to stop advocating his case in front of African-American Church audiences where he is just preaching to the choir, both figuratively and literally, and start addressing the concerns of middle class Illinoisans who are poised to vote out of office legislators who vote in favor of an income tax hike. The Governor needs to get out of his comfort zone and risk taking some boos.

Re: Cullerton: Recall tied to ethics bill; House needs to take first step on taxes

Felix — Tue, 23 Jun 2009 17:49:41 -0000

Mike Madigan is not ignoring the will of the people. He is acting consistent with the desires of the vast majority of the people in this State who are opposed to an income tax increase in a recession and who in 2010 will vote against a legislator who votes in favor of an income tax increase

Re: Cullerton: Recall tied to ethics bill; House needs to take first step on taxes

Felix — Tue, 23 Jun 2009 18:21:28 -0000

Most voters probably couldn't care less as to how a legislator votes on the budget. What voters do care about and what will motivate them to vote for or against a legislator is whether the legislator votes to increase the income tax.

Re: [released] iPhone Firmware 2.0.2

Felix — Wed, 20 Aug 2008 12:55:35 -0000

Die standart programme laufen besser nach dem update. Probleme habe ich mit gps basierenden programmen wie "here i am" oder localy, die wollen gar nich mehr

Re: [video] PhoneVoc

Felix — Tue, 03 Feb 2009 18:38:00 -0000

Hallo Leute!

Ich habe iVocabulary und bin damit super zufrieden! Schaut euch auf jeden Fall iVoc an. Das Programm ist echt klasse!

Ich trainiere damit nicht nur Englisch sondern auch Definitionen im Strafrecht und Wirtschaft.

Re: MTN Nigeria MMS & GPRS now available

Felix — Thu, 23 Aug 2007 17:41:38 -0000

i need my mms activated.and my gprs

Re: Vmobile Nigeria’s free WAP & MMS

Felix — Sat, 24 Feb 2007 17:53:57 -0000

Hi. pls i wud like to know how else i cud get gprs settings for my fone, a sendo x. sendo,s website is currently off the map, and celtel(vmobile)have not replied to all my requests. They talk about their upgrading crap(sorry to say), but still send it to some people. pls i need to get my phone to work, even if for a minute. my number is 08029149751

Re: Zzzzz…

Felix — Wed, 14 Oct 2009 05:29:25 -0000

Hade du bra betyg när du gick ut gymnasiet?
Lycka till i tävlingen!

Re: Frågestund!

Felix — Sat, 10 Oct 2009 14:59:25 -0000

Hej! Jag undrar om du har många tjejkompisar??? vilka är dina bästa kompisar? och jag undrar också om du har några syskon?
Du är jätte bra!

Re: Tack

Felix — Wed, 14 Oct 2009 14:19:37 -0000

Hej Eddie! Jag tycker du är jättebra. Min mamma är typ kär i dig lite pinsamt för hon är ju över 40. Skulle du kunna bli ihop med en tjej som är så gammal? Det vore coolt om ni blevihop allafall. Vi röstade som bara den på dej i fredas. På freda röstar vi ännu mer.Hejar på dej!!!!