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Post by huh on Aug 29, 2016 6:57:44 GMT -5
10 things you need to know before the opening bell Fed rate-hike probabilities are moving up. Following Friday's speech by Federal Reserve Chair Janet Yellen, the market is pricing in a 42% chance of a September interest-rate hike and a 64.7% probability of a rate hike by the end of the year. ISIS appears to be in dire financial straits. Aside from reducing salaries of its fighters by 50%, the terrorist group has raised taxes and stopped paying benefits, Adam J. Szubin, the acting under secretary for terrorism and financial intelligence at the US Treasury Department, told the CTC Sentinel. Carl Icahn says Bill Ackman has an 'Herbalife obsession.' In a statement released late Friday, Icahn said that Ackman was unfamiliar with his thinking and that Icahn had in fact upped his Herbalife stake by 2.3 million shares — and had not been looking to reduce it. Jim Rogers likes North Korea's currency. In one of his boldest calls yet, the famed investor told Real Vision TV that if we all bought North Korea's currency, "We'd all be rich someday." Caesars must face $11 billion of bondholder lawsuits. Following the decision, a company spokesman said the ruling put its reorganization plan "at serious risk." A Chinese automaker owned by Warren Buffett is having a big year. BYD Co. reported a profit of 2.3 billion yuan, a 384% increase compared with a year ago. The SEC paid a BHP Billiton whistleblower $3.75 million. The award was granted for giving "detailed information in an investigation into alleged bribery of Asian and African officials," Reuters reports, citing the Australian Financial Review. Stock markets around the world are mixed. Japan's Nikkei (+2.3%) led the gains in Asia, and France's CAC (-1.1%) paces the losses in Europe. S&P 500 futures are down 1.00 point at 2,167.50. Earnings reports trickle out. Catalent and Phibro Animal Health will report after markets close. US economic data flows. Personal income and spending will be released at 8:30 a.m. ET, and Dallas Fed Manufacturing will cross the wires at 10 a.m. ET. The US 10-year yield is down 2 basis points at 1.61%. www.businessinsider.com/opening-bell-august-29-2016-2016-8
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Post by huh on Aug 29, 2016 7:01:09 GMT -5
Frontrunning: August 29 Central Bankers Spurn Call for Radical Approach at Jackson Hole (BBG) Turkey deepens Syria offensive, at odds with U.S. (Reuters) Another red line: U.S. says clashes between Turkish forces and opposition in Syria 'unacceptable' (Reuters) Iceland Raises Alarm After Largest Volcano Starts to Rumble (BBG) On Syria, Democrats look to deflect the conversation (AP) www.zerohedge.com/
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Post by walnut on Aug 29, 2016 9:03:31 GMT -5
Still unusually even steeper VIX contango. Futures are pricing in a correction that seems to not want to ever happen.
On the other hand, this is a contango range that was fairly common back when the bull was really strong.
I don't know what useful info can be drawn from the contango, other than expected future volatility that seems to never come (until it does).
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Post by huh on Aug 29, 2016 9:10:51 GMT -5
Still unusually even steeper VIX contango. Futures are pricing in a correction that seems to not want to ever happen. On the other hand, this is a contango range that was fairly common back when the bull was really strong. I don't know what useful info can be drawn from the contango, other than expected future volatility that seems to never come (until it does). Looks like contango has dropped considerably over the last couple weeks. Middle of August front month contango was >20%, now it's ~12%.
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Post by walnut on Aug 29, 2016 9:15:26 GMT -5
Yep it had spiked up there very high recently.
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Post by huh on Aug 29, 2016 9:17:43 GMT -5
Unfortunately identifying a downtrend in contango still only tells us that the curve is likely to flatten, but it doesn't tell us exactly how - either spot & near futures rise proportionately faster than the further out futures, or, further out futures drop proportionately faster than the nearer ones. Unless you're a really good options trader (I'm not) taking advantage of that flattening curve, it probably doesn't help out a whole bunch right now until we know which of those two is happening.
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Post by huh on Aug 29, 2016 9:21:05 GMT -5
I do know this - S&P needs to get over resistance at 2181.50 in order to break last week's downtrend
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Post by walnut on Aug 29, 2016 9:22:07 GMT -5
It seems counter-intuitive to me, but a big spike in contango is not the best time to buy futures spreads. The whole curve will likely rotate on you and cause a loss that you can't get back in time decay. If you sold the VXX you will gradually recover of course. That is what has been happening with VXX just lately, that contango curve rotated, so even though there is still strong contango, it will take some settling out for VXX to drop fast again like it had been.
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Post by novie08 on Aug 29, 2016 9:22:42 GMT -5
Don't know what to think anymore...part thinking "they" won't let markets fall before the election, part says correction is arriving.
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Post by walnut on Aug 29, 2016 9:22:51 GMT -5
Unfortunately identifying a downtrend in contango still only tells us that the curve is likely to flatten, but it doesn't tell us exactly how - either spot & near futures rise proportionately faster than the further out futures, or, further out futures drop proportionately faster than the nearer ones. Unless you're a really good options trader (I'm not) taking advantage of that flattening curve, it probably doesn't help out a whole bunch right now until we know which of those two is happening. exactly.
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Post by huh on Aug 29, 2016 9:23:40 GMT -5
It seems counter-intuitive to me, but a big spike in contango is not the best time to sell futures spreads. The whole curve will likely rotate on you and cause a loss that you can't get back in time decay. If you sold the VXX you will gradually recover of course. That is what has been happening with VXX just lately, that contango curve rotated, so even though there is still strong contango, it will take some settling out for VXX to drop fast again like it had been. Makes sense. Seems to me that these spikes in contango are only reflective of the larger decay happening in nearer term contracts as they expire. The further out futures are simply just not moving a whole lot. And as you've pointed out so many times, Walnut, that's a huge advantage to option sellers
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Post by walnut on Aug 29, 2016 9:37:25 GMT -5
I spent the whole afternoon yesterday pondering about how to beat the VIX options-futures market. It is like a mental disease with me. I literally can't quit trying to beat the system. The more I have studied, the more hopeless it seems to be. The way everything stays so correctly priced is mind-boggling.
The trick is to construct some synthetic that is a proxy for the actual VIX index, then sell the futures. Too bad it can't be done
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Post by novie08 on Aug 29, 2016 9:41:35 GMT -5
I spent the whole afternoon yesterday pondering about how to beat the VIX options-futures market. It is like a mental disease with me. I literally can't quit trying to beat the system. The more I have studied, the more hopeless it seems to be. The way everything stays so correctly priced is mind-boggling. The trick is to construct some synthetic that is a proxy for the actual VIX index, then sell the futures. Too bad it can't be done Too bad you don't work for GS! They could probably work it out...
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Post by walnut on Aug 29, 2016 9:45:18 GMT -5
I am looking for any kind of inconsistency, error in logic, or design flaw to exploit. There really seems to be none. Very frustrating that I can't just accept that. I am up to many thousands of hours working on this foolishness.
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Post by Herceg on Aug 29, 2016 10:12:14 GMT -5
Don't know what to think anymore...part thinking "they" won't let markets fall before the election, part says correction is arriving. I have been saying the closer the elections get the less likely hood of a big drop......................they don't want to hurt Hillary.......simple as that...JMO and BOL........
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Post by walnut on Aug 29, 2016 10:25:40 GMT -5
People I know think that either of these two candidates could be the end of the world. Desperately bad situation.
I wonder how Hillary would have handled the Cuban missile crisis? That thought ought to keep you awake at nights.
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Post by Herceg on Aug 29, 2016 11:00:37 GMT -5
People I know think that either of these two candidates could be the end of the world. Desperately bad situation. I wonder how Hillary would have handled the Cuban missile crisis? That thought ought to keep you awake at nights. I still cannot figure out how they came up with these two candidates...............like a bad dream that one cannot wake up from..........
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Post by huh on Aug 29, 2016 12:03:12 GMT -5
AAPL FIB resistance 107.50's (since backtest of H&S neckline), and that neckline now sits ~107.91. (It's a small H&S, only pointing down to ~105.50) But if it can break that neckline, then ~110.70 would still be the next resistance to clear.
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