Smoking Securities

Half Baked High Finance

Posts Tagged ‘ES_F

S&P 500 Bullidex ($ES_F $SPY $SPX)

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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.

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Written by chucklesamadeus

April 13, 2009 at 8:33 pm

Posted in Bullidex, ES_F, SPX, SPY

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S&P 500 Bullidex ($SPX $ES_F $SPY)

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bpspxvix090408The S&P 500 Bullidex rose 4.35% to close at 139.5, signaling lower volatility and more rising stocks. The Bullidex hasn’t been this high since January, and with the March lows above the November levels, things continue to look good for the bulls.

Year over year, despite the dramatic fall in the price of the S&P 500, the Bullidex shows little change (compare the ‘4’ in ’08 with the ‘4’ in ’09). This difference is a benefit of tracking volatility and bullish percentages versus price alone.

Market risk can change without a discernible shift in price, and the Bullidex reveals those fluctuations.

Written by chucklesamadeus

April 8, 2009 at 4:24 pm

Posted in Bullidex, ES_F, SPX, SPY

Tagged with , , ,