Smoking Securities

Half Baked High Finance

S&P 500 Bullidex ($ES_F $SPY $SPX)

leave a comment »

bpspxvix090413Despite today’s positive close for the S&P 500, the Bullidex fell 1.79% to end the day at 161.3. This divergence indicates a minor weakening of the up trend as volatility increased relative to the percentage of rising stocks.

A new row of O’s in the far right column coupled with a declining blue line will signal a new downtrend.

My short gamma position will benefit from weakness as the 5 week rally has significantly reduced my hedge. In other words, being short SDS and SSO, the dramatic rise from March 10th has altered the long/short balance of my portfolio to favor a market fall.

If the market continues higher, I will cover some of my SSO short to stay closer to market neutral, reducing alpha.

Advertisements

Written by chucklesamadeus

April 13, 2009 at 8:33 pm

Posted in Bullidex, ES_F, SPX, SPY

Tagged with , , ,

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: