where is the volatility for spx?

so you say people rotate out of SPX which caused SPX to spike 20%?

The SPX had a nice year sure. :) But the Dow and NDX had a better year which was due to their leadership roles, a direct result of rotation. The NDX outperformed the SPY by about 50% and the DJI beat the SPX by about 30% - meaning the difference in gains between these indexes. You can't go wrong riding the index with the strongest momentum - that is how you beat the crap out of the
S&P500 benchmark.

If I learned anything from my many years of trading in bull markets is to be in the strongest indexes and the strongest stocks or sectors within the strongest indexes. This formula has stood the test of time and made many great fortunes. ;) :sneaky::D:)
 
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comagnum said:
so you say people rotate out of SPX which caused SPX to spike 20%?

The SPX lagged the NDX & DJI by a fairly large margin in 2017.- The point I was making if you trade other instruments besides the usually anemic SPX you will have have larger gains. If you wanted even larger gains many stocks far outpaced the indexes - or you could trade commodities or whatever.
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basically your point is BS
20% growth is spectacular for such massive asset by any account
nothing anemic
or maybe there is massive rotation out of NDX too? to bitcoin
and then massive rotation out of bitcoin to ether?
 
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If you happy with mediocre performance then stay with the weaker index - I sure don't give a F*ck what you do. The NDX and Dow stomped on the SPX in 2017 - that is a hard fact, not B.S.. I sure aim to maximize my returns. When the getting is good, get all you can.

I can guarantee you no self respecting trader wasted a minute on the SPX during the dot.com bull - the leadership back than was on the NDX just like it has been in 2017. Many in the dot.com bull got wildly wealthy trading the NDX and stocks in the index. The same was not true with the weaker SPX and DJI.

Bitcoin has no liquidity in the U.S. and lacks public interest. It is just not a viable trading instrument in the U.S - at least not yet.
 
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tommcginnis said:
I'm on the wrong computer -- but those IV/Historical crossovers have become 'a thing' in the last few months. I'll post a picture later.
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Here's a fresh one:

SPXJan12nnCapture.PNG

(Ignore the highlited oval.)

While this graph is only 3 months long, the basic character of vol (blue) against IV (light-blue) depicted on the bottom holds for a good amount of time going back. There are occasional crosses (as makes sense, in a Black Swan world), but for the most part, there is a material gap between the higher IV and the lower _realized_. But in the last month, they have squeezed together and MAN does that hurt. Hard to sell, and hard to *survive* what you sell.

Hope that helps.
 
The breakouts, the economy, interest rates etc etc especially that late in the cycle and with such stupid valuations don't explain the lack of volatility.

In my opinion it is important to look at the following:
1. See what the inflows to ETFs are over time (years), especially recent 12 months or so.
2. Keep in mind that the majority of that money comes from pulling out of active management
3. Consider how active managers operate normally and especially that late in the cycle (increased cash, rotate to value stocks that are not within ETF world, natural liquidators/sellers when the price moves too quick too high)
4. Keep in mind that ETF doesn't care what the valuations of the underlying is (constant buyer). If the capital flows in, it must be deployed 100%, no cash
5. The ETF world is very often based on the same group of stocks, no matter what its name is. They just need a stocks with certain criteria.

What you ultimately end up is a deployment of all the cash that is sitting around, in a completely dumb way. You also destroy the typical for the active tendency to sell on quick bursts up only to buy back on deeper pullback. What you get instead is constant relentless buying (as the money flows into ETFs) with lack of selling (ETF won't sell because it is high, it will sell if people pull out money).

At this point people will be constantly looking at the paper profits ETFs offer and underperformance of active managers (that will refuse to participate as it goes higher and higher) and make obvious to them (so they think) decision to move into passive.

Personally I think it is going to be brutal every quarter not because of the earnings but because people will be evaluating active's performance at the end of each and moving accordingly.

How far up can it go? Who knows... this melt up may be over tomorrow or it may go to 4000 by the end of 2018 or early 2019. It is impossible to time the top and it doesn't look like the volatility is going to come back until the market really turns and enough people get burned to start pulling money out or at least until they stop plowing into ETFs. One thing is sure though: once that happens (ETF outflows) then the ride down won't be an elevator, it will be a free-fall (like crude not so long ago)

My $0.02 worth.
 
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punisher said:
... One thing is sure though: once that happens (ETF outflows) then the ride down won't be an elevator, it will be a free-fall (like crude not so long ago)
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Along those lines, from Seeking Alpha...

S&P 500 P/E Ratio: A Cause For Concern?
"What the historical data does clearly show, however,
is that higher current valuation levels do tend to correspond
with low future financial returns. Analyzing the data since October 1977
shows that, on average, P/E ratios in the range of 20-25 generally correspond
with a subsequent 12-month return of ~5.7%;
echoing sentiment by Vanguard recently, which told investors to
expect no better than 4 percent to 6 percent
returns from stocks in the next five years."
30393275-1512012227676217.png


https://seekingalpha.com/article/4128836-s-and-p-500-p-e-ratio-cause-concern?page=2
 
39,50 point range today.

Although there's been a few narrow range days lately, I'll say there's still good trading opportunities in the ES/SPX.

There have for sure been periods in recent years that's been worse than what we're currently seeing.

What I like with the ES is that it behaves orderly and predictably to some extent. Other markets may offer more, but might not be as easy to master, IMO.
 
I just dig that there is actually SOME FREAKIN' VOL going on here. VXST at 9? 8? even 7s???

I priced a put spread roll, to go from Jan19 2760/55 to 2750/45 this morning -- three trading days left, and all that -- and expected to see 50¢-70¢. I was wrong. Vol had so uplifted the lowly off-market strikes that the cost was ~17¢.

Sweet mother and her cow (and her goat and the kid down the street and all the birds singing....) Made me smile, smile, smile.

That's what a 12 vol will do for ya. :):D:)
 
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