05/30/2014 Live Update

[ocassional observer]

I've got a short signal on XIV based on xiv and vix 5d correlation:

in the past 3 years there have been 6 instances (I count instances with a short period of time between them as a single instance) where the 5d correlation exceeded 0.3. all of them led to corrections in XIV, although several instances took a few weeks to come to fruition. the current nose bleed level above 0.7 was observed only twice: exactly 1 year ago and in march 12, they were both followed by severe contractions of more than 20% in xiv (23% last year and 34% in 2012).
most of them also marked corrections for the broad market, but some of them were rather shallow.

[fehro]

SPX 5m.. VIX is waking up

[Cobra]

goes as expected. maybe rebound here, then we'll see.

[fehro]

SPX 5m minor support here

[Royal Flush]

Opening long Index undervalued Puts more than twice Calls = Market Decline

http://www.ise.com/market-data/isee-index/

QQQ JUN 06 2014 91.00 P - 09:30:00
Bought to Open @ $0.52

Hi Heck, I read opening long Index undervalued Calls more than twice Puts. I calculated the closing average for the last 6 years for ISEE C/P for Equity = 169.8%, for Index = 51.5%
So Index approximately puts are twice calls on average, put the Q's are declining anyway The way I read it is Equity only is stupid money and Index and ETFs are smart money, but maybe I'm the stupid one

[Heck]

Opening long Index undervalued Puts more than twice Calls = Market Decline

http://www.ise.com/market-data/isee-index/

QQQ JUN 06 2014 91.00 P - 09:30:00
Bought to Open @ $0.52

Hi Heck, I read opening long Index undervalued Calls more than twice Puts. I calculated the closing average for C/P for Equity = 169.8%, for Index = 51.5%
So Index approximately puts are twice calls on average, put the Q's are declining anyway

ISEE Index (not Equity) call/put ratio is 46%, so *undervalued* Index (not overvalued Equity) put/call is 1/.46 = 217%
.
The key is which undervalued (not overvalued) data set ratio (of three) to use:

Check All, Equity, Index implied volatility premiums versus VIX or VXN, since odds favour buying undervalued premia and selling overvalued.

Raw Index Data at 12:30:

39,438 Calls 85,145 Puts 124,583 Total 46%

[Out of Bounds]

Breadth at lows for the day

[Royal Flush]

Opening long Index undervalued Puts more than twice Calls = Market Decline

http://www.ise.com/market-data/isee-index/

QQQ JUN 06 2014 91.00 P - 09:30:00
Bought to Open @ $0.52

Hi Heck, I read opening long Index undervalued Calls more than twice Puts. I calculated the closing average for C/P for Equity = 169.8%, for Index = 51.5%
So Index approximately puts are twice calls on average, put the Q's are declining anyway

ISEE Index (not Equity) call/put ratio is 46%, so *undervalued* Index (not overvalued Equity) put/call is 1/.46 = 217%
.
The key is which undervalued (not overvalued) data set ratio (of three) to use:

Check All, Equity, Index implied volatility premiums versus VIX or VXN, since odds favour buying undervalued premia and selling overvalued.

Raw Index Data at 12:30:

39,438 Calls 85,145 Puts 124,583 Total 46%

If I understand you correctly then, at 9:50 the Indices & ETF Only C/P volume was 7,952/3,543 = 224, therefore implied volatility premium of puts was low because of the preference for calls and one should buy Index puts and sell calls?

[koolblue]

late Friday ES update:

[uempel]

Last chart, buys guys

[MrMiyagi]

For whoever is interested.

aapl2

[Cobra]

double bottom.

[johnnywa]

double bottom.

Unless the smallcaps turn around that's gonna be tough

[Heck]

Opening long Index undervalued Puts more than twice Calls = Market Decline

http://www.ise.com/market-data/isee-index/

QQQ JUN 06 2014 91.00 P - 09:30:00
Bought to Open @ $0.52

Hi Heck, I read opening long Index undervalued Calls more than twice Puts. I calculated the closing average for C/P for Equity = 169.8%, for Index = 51.5%
So Index approximately puts are twice calls on average, put the Q's are declining anyway

ISEE Index (not Equity) call/put ratio is 46%, so *undervalued* Index (not overvalued Equity) put/call is 1/.46 = 217%
.
The key is which undervalued (not overvalued) data set ratio (of three) to use:

Check All, Equity, Index implied volatility premiums versus VIX or VXN, since odds favour buying undervalued premia and selling overvalued.

Raw Index Data at 12:30:

39,438 Calls 85,145 Puts 124,583 Total 46%

If I understand you correctly then, at 9:50 the Indices & ETF Only C/P volume was 7,952/3,543 = 224, therefore implied volatility premium of puts was low because of the preference for calls and one should buy Index puts and sell calls?

No.
(Used to teach university Option course and inverse multiple simultaneous variables not always easy to cipher.)

The first two ISEE readings of the day, undervalued Index/ETF options were on the buy call side (call volume > put volume) and the market went up. Then subsequent readings were on the sell side (put volume >call volume) and market went down.

Implied volatility premiums of specific Indices/ETF options like QQQ or SPY are given by most brokers.
Compares them to VXN or VIX and each other (calls vs puts) to see if they are undervalued or overvalued, then watch what the undervalued classes (All, Equity, Index calls/puts) are doing.
GL
PS Jon and Pete Najarian Option Monsters have a "free" promo book out for shipping and handling:
http://www.howwetradeoptions.com/
(Receive no money ~ met DRJ at TSAAF presentation.)

[MrMiyagi]

double bottom.

Unless the smallcaps turn around that's gonna be tough

SPX and RUT have divorced, at least separated. Heading off to different pastures.

id

[Cobra]

target met. 3rd test of red line, a breakout is more likely.

[DumbMoney]

Today's Cobra's Market View BBS Index is overbought...only 2 pages at 15:00.

[MrMiyagi]

!!!!! POWER HOUR !!!!!

[Cobra]

I've noticed recently that the 3rd touch breakout always false but the 4th would be real. let's see if there's 4th today.

[tsf]

Today's Cobra's Market View BBS Index is overbought...only 2 pages at 15:00.

From time to time in the past, TK used the volume of Slopers'' comments as a surrogate measure of market sentiment.
Maybe a low volume may suggest bulls are getting complacent and on auto pilot instead of checking Cobra's expert opinions.
Just a theory