Smoking Securities

Half Baked High Finance

Posts Tagged ‘SPX

Buywrite vs Index ($BXM : $SPX)

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BXMSPX090712BXM:SPX compares the relative performance of selling S&P 500 covered calls against holding the equity unhedged. When buywriting outperforms the underlying index, it implies that the market is weak because option writers are keeping premiums as strikes remain out of the money.

Since the credit crisis began in late 2007, the relative strength of BXM vs SPX cannot be denied, as it continues to trade in an uptrend above a rising 20sma. The pattern being formed is similar to late June 2008, as well as December 2007 and 2008. With plenty of bearish signals out there, stay vigilant and live to trade another day.

Written by chucklesamadeus

July 12, 2009 at 10:36 pm

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.

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

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S&P 500 Analysis

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The S&P 500 took a beating today, and there is no sign of an end to the selling.

% of Rising S&P 500 Stocks : S&P 500 Volatility Index

% of Rising S&P 500 Stocks : S&P 500 Volatility Index

Volatility continues to increase amidst a declining number of rising stocks.

S&P 500 : 10Y Treasury Bond

S&P 500 : 10Y Treasury Bond

Priced in 10Y T-Bills, the SPX is making a waterfall with no noticeable support to stop it.

There is no reason to call a bottom in the S&P 500, and despite the oversold condition, we have yet to revisit the intensity of October/November. With JPM, WFC, C and BCS headed for the can, who knows how much inventory will be sold to to raise capital in these final hours? Cash is king, and there is no reason to be a hero.

Let the dust settle before kicking into buy mode. This is a massive bear market and significant downside risk remains.

Written by chucklesamadeus

March 5, 2009 at 10:35 pm

Posted in BPSPX, SPX, UST, VIX

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Market Glance

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The 5 least correlated positive return ETFs show numerous markets cracking critical support and making new lows.

S&P 500 indicators are bearish across the board.

The market remains fahklempt, buyers beware.  The only positive things I see are emerging markets holding above the November lows, and Treasuries failing to make new highs, despite ominous news from every channel on the planet.

I’ve avoided stress by staying in cash, day trading and acquiring a girlfriend.  Cash remains king, and while there are remarkable intraday opportunities, my focus is elsewhere.  To paraphrase Han Solo, “what good is money if you ain’t around to spend it?”

Written by chucklesamadeus

March 4, 2009 at 1:16 am

Posted in BPSPX, BXM, DBC, EEM, IWN, IYR, SPX, SPXA50R, SPXHILO, TLT, UST, VIX

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