"Chance favors the Prepared Mind." - Louis Pasteur
“Imagination decides everything.” - Blaise Pascal
Be at war with your vices, at peace with your neighbors,
and let every new year find you a better man.” - Benjamin Franklin
“Life has no remote, so wake up and change it.” - Sushil Singh
expanding my presence in the twittersphere.
Here is an overview of the US market behavior last week:
| Index | 23-Dec | Change | % Weekly | 2016 YTD | Volatility of Index |
| Dow Jones Industrials (DJIA) | 19,993.84 | 440.78 | 2.25% | 14.74% | 11.54% (VXD) |
| S&P 500 (SPX) | 2,263.79 | 5.72 | 0.25% | 10.76% | 11.44% (VIX) |
| NASDAQ 100 (NDX) | 4,940.02 | 5.17 | 0.10% | 7.46% | 13.24% (VXN) |
| Russell 2000 (RUT) | 1,371.50 | (0.18) | -0.01% | 20.95% | 16.77% (RVX) |
| S&P 100 (OEX) | 1002.52 | (0.01) | 0.00% | 9.99% | 11.09% (VXO) |
| Crude Oil (CLG7) | 52.00 | (0.84) | -1.59% | 40.28% | 29.90%(OVX) |
| CBOE Volatility Index (VIX) | 11.44 | (0.76) | -6.23% | NA |
Data Source: OptionVue8
The lower VIX reflects more than just the continuing “Trump rally.” The shortened trading week is reflected in the VIX levels.
Here is an overview of last week for the VIX and related products:
| Indexes | Ticker | 23-Dec | 16-Dec | Change | % Change |
| CBOE Volatility Index | VIX | 12.17 | 12.20 | (0.03) | -0.25% |
| VIX January Future (1/18/2017) | VXF7 | 14.275 | 14.975 | (0.70) | -4.67% |
| VIX February Future (2/18/2017) | VXG7 | 16.025 | 16.375 | (0.35) | -2.14% |
| VIX March Future (38/2017) | VXH7 | 17.275 | 17.425 | (0.15) | -0.86% |
| CBOE Short-term Volatility Index | VXST | 8.98 | 10.87 | (1.89) | -17.39% |
| CBOE 3 Month Volatility Index | VXV | 15.25 | 15.57 | (0.32) | -2.06% |
| CBOE Mid-term Volatility Index (6 month) | VXMT | 17.63 | 17.77 | (0.14) | -0.79% |
| VIX of VIX | VVIX | 87.64 | 89.40 | (1.76) | -1.97% |
| CBOE SKEW Index | SKEW | 120.51 | 131.95 | (11.44) | -8.67% |
| Long VIX ETP's | |||||
| ProShares Ultra VIX Short Term Futures ETF | UVXY | 7.83 | 8.85 | (1.02) | -11.53% |
| iPath S&P 500 VIX Short Term Futures ETN | VXX | 24.15 | 25.61 | (1.46) | -5.70% |
| ProShares VIX Short Term Futures ETF | VIXY | 20.14 | 21.34 | (1.20) | -5.62% |
| iPath S&P 500 VIX Mid-Tem Futures ETN | VXZ | 34.26 | 34.74 | (0.48) | -1.38% |
| Inverse VIX ETP's | |||||
| ProShares Short VIX Short Term Future | SVXY | 96.58 | 91.16 | 5.42 | 5.95% |
| Daily Inverse VIX Short Term ETN | XIV | 49.59 | 46.97 | 2.62 | 5.58% |
Data Source: OptionVue8
The week between Christmas and New Year’s is exceptional light on economic news capable of moving the market.The major piece of economic news is the CoreLogic Case-Shiller 20-City Home Price Index.
It is time to start preparing for the upcoming earnings season. Confirm the date and time of a company’s earnings announcement before trading any earnings announcement strategy. The most accurate source of this information is the company’s investor relations website. The next two weeks are devoid of significant earnings announcements
Liquidity, as determined by width of option markets and individual option contract volume, is a crucial component in successfully trading any option strategy. One of the most frustrating experiences is an inability to adjust or exit a strategy due to lack of liquidity in the market. The market uncertainty associated with the election has impacted liquidity. I found it difficult to enter trades during the most recent earnings cycle. The bid/ask spreads seemed much larger than usual. Do not force trades in illiquid markets.
Advice to stimulate your imagination:
"I made no resolutions for the New Year. The habit of making plans,
of criticizing, sanctioning and molding my life,
is too much of a daily event for me." - Anaïs Nin
| "For last year's words belong to last year's language. And next year's words await another voice.And to make an end is to make a beginning." - T.S. Eliot “Don't blow off another's candle for it won't make yours shine brighter.” - Jaachynma N.E. Agu |
Monday December 26:
US Markets Closed
International Economic: Japan CPI, Household Spending, and Unemployment Rate – 6:30PM.
Tuesday December 27:
Economic: S&P Corelogic Case-Shiller HPI – 9:00, Consumer Confidence – 10:00, Richmond Fed Manufacturing Index – 10:00, State Street Investor Confidence Index – 10:00, Dallas Fed Manufacturing Survey = 10:30,
International Economic: Japan Industrial Production and Retail Sales – 6:50PM.
Wednesday December 28:
Economic: Redbook – 8:55, Pending Home Sales index – 10:00.
International Economic: No major announcements.
Thursday December 29:
Economic: International Trade in Goods – 8:30, Weekly Jobless Claims – 8:30, Bloomberg Consumer Comfort Index – 9:45, EIA Natural Gas Report – 10:30, EIA Petroleum Status Report – 11:00.
International Economic: No major announcements.
Friday December 30:
Expiration of Quarterly Stock Index Futures, Stock Index Options, Stock Options and Stock Futures.
Economic: Chicago PMI – 9:45.
International Economic: No major announcements.
Monday January 2:
All US Markets Closed.
International Economic: Germany PMI Manufacturing Index – 3:55AM, Eurozone PMI Manufacturing Index – 4:00AM, China PMI Manufacturing Index – 8:45PM.
Tuesday January 3:
Economic: Motor Vehicle Sales, PMI Manufacturing Index – 9:45, ISM Manufacturing Index – 10:00, Construction Spending – 10:00.
International Economic: Germany Unemployment Rate – 3:55AM, Germany CPI – 8:00AM, Global Manufacturing PMI – 11:00AM.
No comments:
Post a Comment