06/29/2016 Live Update

[fehro]

SPX 20w SMA for possible pullback.. if bears have strength.. 2048 dabble short

[Cobra]

buyers waiting at ema20 for nearly 3 hours, now let's see how eager they are.

[QED]

buyers waiting at ema20 for nearly 3 hours, now let's see how eager they are.

More are waiting at the VWAP!

[fehro]

SPX 20w SMA for possible pullback.. if bears have strength.. 2048 dabble short

seems the 50d SMA on /ES SPY SPX are soooo close.. do we tag them? .. could see a very late ramp up into the close.. seems very plausible

[Al_Dente]

$SKEW 153.36 (last night, EOD)
Looking back 25 years (not on this chart), that is the highest Skew on record
THAT’S EXTREME

[JFR]

Support at the EMA 20, as noted by Cobra.

[JFR]

EUR.USD, GBP.USD

Fiber chopping like crazy. Cable more calm.

What are you referring to?

Nicknames[edit]

In everyday foreign exchange market trading and news reporting, the currency pairs are often referred to by nicknames rather than their symbolic nomenclature. These are often reminiscent of national or geographic connotations. The GBP/USD pairing is known by traders as cable (also the cable), which has its origins from the time when a communications cable under the Atlantic Ocean synchronized the GBP/USD quote between the London and New York markets. GBP is also referred to by traders as quid. The following nicknames are common: "Swissy" or "Euro-Swissy" for EUR/CHF, Fiber for EUR/USD, Chunnel for EUR/GBP, Loonie and The Funds for USD/CAD, Aussie for AUD/USD, Gopher for USD/JPY, Guppy for GBP/JPY, Yuppy for EUR/JPY, and Kiwi or The Bird for the New Zealand Dollar NZD/USD pairing. Nicknames vary between the trading centers in New York, London, and Tokyo.

Fiber --> EUR.USD Cable --> GBP.USD

Some use nicknames. Some don't. On here, I usually just type EUR.USD and GBP.USD.

Updated charts ...

[Al_Dente]

What is $SKEW?
http://www.cboe.com/micro/skew/documents/SKEWFAQ.pdf

[Junior Buffett]

$SKEW 153.36 (last night, EOD)
Looking back 25 years (not on this chart), that is the highest Skew on record
THAT’S EXTREME

629skew.png.png

why VIX is not pacing with the SKEW? something is misplaced!

[Trades with cats]

[Trades with cats]

According to those who write for a living-
Basically what a 'low VIX/high skew' combination is saying is: 'the market overall is complacent, but big investors perceive far more tail risk than usually' (it is exactly the other way around when the VIX is high and SKEW is low).

In even simpler words, a surprising increase in realized volatility may not be too far away...

[JFR]

QQQ under the MA 50 and MA 200. SPY under the MA 50 (and just above the MA 200). Choppy days ahead?

[fehro]

Well we did add VIX weekly options this year!

[Al_Dente]

$SKEW 153.36 (last night, EOD)
Looking back 25 years (not on this chart), that is the highest Skew on record
THAT’S EXTREME

why VIX is not pacing with the SKEW? something is misplaced!

SKEW is a good way of estimating investor hedging appetite, since it varies independently from the level of implied volatility.
Why is skew is so high?
Option market sentiment:
1) Low demand from call buyers (bearish)
2) High supply of call sellers (bearish, folks are willing to forgo the upside potential in favor of downside protection)
3) High demand of put/protection buyers (bearish)
RISING SKEW = RACE TO BUY PUT PROTECTION AND SELL CALLS = HEDGING

“Basically what a 'low VIX/high skew' combination is saying is: 'the market overall is complacent, but big investors perceive far more tail risk than usual' “
More here:
http://www.zerohedge.com/news/2016-06-2 ... st-went-11

[fehro]

SPX nears HOD.. VIX .. possible minor invs H&S.. "IF" a higher low holds.. SPX 50d 2076.40 still sooo close

[Al_Dente]

Rubber band theory:
When at historic extremes, it will eventually revert to the mean

Remember, the SKEW quote is from last night (EOD)
Even the CBOE’s quote is delayed on SKEW:
http://www.cboe.com/micro/skew/introduction.aspx

[Junior Buffett]

$SKEW 153.36 (last night, EOD)
Looking back 25 years (not on this chart), that is the highest Skew on record
THAT’S EXTREME

why VIX is not pacing with the SKEW? something is misplaced!

SKEW is a good way of estimating investor hedging appetite, since it varies independently from the level of implied volatility.
Why is skew is so high?
Option market sentiment:
1) Low demand from call buyers (bearish)
2) High supply of call sellers (bearish, folks are willing to forgo the upside potential in favor of downside protection)
3) High demand of put/protection buyers (bearish)
RISING SKEW = RACE TO BUY PUT PROTECTION AND SELL CALLS = HEDGING

“Basically what a 'low VIX/high skew' combination is saying is: 'the market overall is complacent, but big investors perceive far more tail risk than usual' “
More here:
http://www.zerohedge.com/news/2016-06-2 ... st-went-11

Thank you! Today it must have gone up more then

[sleeman]

small es sell 59

[Royal Flush]

I am corrected by Urban Carmel on Twitter.

[Cobra]

I am corrected by Urban Carmel on Twitter.

Ce4NC1ZUUAEUOUn.jpg large.jpeg

right, there's no such thing call end of quarter window dressing. end of month and quarter usually bear friendly.