What Do CBOE Volatility Indexes Say? [View article]
FREYA - The CBOE publishes options implied volatility indexes and expresses the volatility as an annualized figure . The table we produced transforms that annual data into it's one-day, one-week, one-month and one-quarter equivalents (not a linear transformation - something most people can't do unless they remember the math from a statistic course). That more granular data is what the CBOE indexes "say".
Use of what they "say" is dependent on what kind of investing you are doing and what issues are on your mind.
That data which is not published by the CBOE can be useful to investors concerned about the volatility of the underlying indexes or funds over those shorter periods of time.
As the article says, that information can be useful when thinking about setting up stop loss orders. You need to be aware of the expected level of volatility to know where the noise level in price action will be as you decide how to set stop loss order parameters.
No, there is not a specific Part 2 planned or needed for this article, although we will likely write more about volatility which has been our theme in the last few articles.
We agree with Dividend Growth Investor. Dividends are an important demonstration of management confidence, and historically have been a significant contribution to total return.
In a filter we did through 09/04/2009 ( www.qvmgroup.com/QVMre...), we found 309 companies that have increased their dividends for 4 quarters year-oer-year.
We found those companies by identifying 2,393 companies with market-cap of $500 million or more, and reducing that group to 1.342 that paid any dividends at all over the past 3 years, and then finally to those whose trailing 4 quarter payout (1Q, 2Q, 3Q, and 4Q) exceeded the YOY 4 quarters (5Q, 6Q, 7Q and 8 Q).
Some of those 309 did not maintain that strength throughout 1Q, 2Q, 3Q and 4Q, but did raise payout in the aggregate over 4 quarters.
When we ranked them by market-cap and then asked which had a higher payout for 1,2, 3 and 4 quarters YOY, and a trailing 12-month increase in "as reported" and continuing earnings per share, and a trailing 12-month increase in sales per share; these five were at the top of the list:
WMT, VZ, ABT, AZN, and CVS
There are certainly other factors to consider when making an investment commitment, but rising sales, rising earnings and rising dividends in a difficult economic environment are a very positive attributes.
Filtering Globally for Telecoms Traded in the U.S. [View article]
This is an incomplete republication of my blog post. I have asked for its removal. It you care to read the entire post, it is available at www.qvmgroup.com/inves...
Bailout Cost, per Taxpayer, by Income [View article]
Owen -- I presume from your comment that I am one of those idiots in your opinion. I disagree strongly with your view that TARP has shown a profit. There is no way to know what the profit or loss is until all the accounts are settled. It is false logic to assume that because some accounts have turned out well that the remaining accounts will perform similarly.
S&P 500 Benchmark for Fundamental Screening [View article]
David Van Knap -- the source reference is "Reuters ProVestor Plus". They do not provide the methodology explanation you request. Perhaps they would provide you that info if you contact them.
Volatility Approach to SPY for the Next 30 Days [View article]
Seeking Truth:
Good observation. The odds cones make no indication as to up or down direction, just range based on the volatility priced into options. Therefore, other thinking, whether macroeconomic, security specific fundamentals, other technicals, or whatever is important to use in conjunction with the probability calculation with respect to direction.
Volatility Approach to SPY for the Next 30 Days [View article]
SeekingTruth: Thanks for the support. If you would like to think more about this indicator, I would suggest narrowing scope and thinking about selling covered calls on an SPY position, keeping in mind the advantages of selling calls with a strike price outside of the cones (meaning low probability of the buyer making money and high probability of you keeping both your SPY and the option buyer's premium).
Volatility Approach to SPY for the Next 30 Days [View article]
Baboon:
I see your point of confusion on the 1000 versus 100 matter. Our chart is for SPY (100), but the formula shown at the bottom of the chart is for the index (1000). Whichever underlying security you use, then use its price. If you are projecting the index use its current level (about 1000 in this case). If you are projecting the price of SPY use its current price (about 100 in this case). The formula in the text refers to P which is the 1000 or 100, as the case may be depending on underlying security.
If you have the options implied volatility for other securities, the formula for them would use their current price and their implied volatility.
Volatility Approach to SPY for the Next 30 Days [View article]
Baboon:
Because we used SPY as the proxy for the S&P 500, we used its price (100) for P. SPY is basically 1/10th of the index.
Explanation of 1 Std Dev (that is the expected Std Dev):
One standard deviation expressed as an annualized percentage equals the value of the VIX (yesterday about 26) times the price of the underlying security (1000 if S&P 500 or 100 is SPY as proxy), that product multiplied by the square root of the quantity: the number of projected days (30 in the case of VIX) divided by 365.
What Do CBOE Volatility Indexes Say? [View article]
Use of what they "say" is dependent on what kind of investing you are doing and what issues are on your mind.
That data which is not published by the CBOE can be useful to investors concerned about the volatility of the underlying indexes or funds over those shorter periods of time.
As the article says, that information can be useful when thinking about setting up stop loss orders. You need to be aware of the expected level of volatility to know where the noise level in price action will be as you decide how to set stop loss order parameters.
No, there is not a specific Part 2 planned or needed for this article, although we will likely write more about volatility which has been our theme in the last few articles.
Price Probability Range for the S&P 500 [View article]
Probable Price Ranges for SPY, FXI, UUP and TLT [View article]
Screening for Trends [View article]
The data in this article was generated using StockCharts.com.
Eight Dividend Increases [View article]
In a filter we did through 09/04/2009 ( www.qvmgroup.com/QVMre...), we found 309 companies that have increased their dividends for 4 quarters year-oer-year.
We found those companies by identifying 2,393 companies with market-cap of $500 million or more, and reducing that group to 1.342 that paid any dividends at all over the past 3 years, and then finally to those whose trailing 4 quarter payout (1Q, 2Q, 3Q, and 4Q) exceeded the YOY 4 quarters (5Q, 6Q, 7Q and 8 Q).
Some of those 309 did not maintain that strength throughout 1Q, 2Q, 3Q and 4Q, but did raise payout in the aggregate over 4 quarters.
When we ranked them by market-cap and then asked which had a higher payout for 1,2, 3 and 4 quarters YOY, and a trailing 12-month increase in "as reported" and continuing earnings per share, and a trailing 12-month increase in sales per share; these five were at the top of the list:
WMT, VZ, ABT, AZN, and CVS
There are certainly other factors to consider when making an investment commitment, but rising sales, rising earnings and rising dividends in a difficult economic environment are a very positive attributes.
Filtering Globally for Telecoms Traded in the U.S. [View article]
Bailout Cost, per Taxpayer, by Income [View article]
S&P 500 Benchmark for Fundamental Screening [View article]
S&P 500 Benchmark for Fundamental Screening [View article]
Volatility Approach to SPY for the Next 30 Days [View article]
Good observation. The odds cones make no indication as to up or down direction, just range based on the volatility priced into options. Therefore, other thinking, whether macroeconomic, security specific fundamentals, other technicals, or whatever is important to use in conjunction with the probability calculation with respect to direction.
Volatility Approach to SPY for the Next 30 Days [View article]
Thanks for the support. If you would like to think more about this indicator, I would suggest narrowing scope and thinking about selling covered calls on an SPY position, keeping in mind the advantages of selling calls with a strike price outside of the cones (meaning low probability of the buyer making money and high probability of you keeping both your SPY and the option buyer's premium).
Volatility Approach to SPY for the Next 30 Days [View article]
Volatility Approach to SPY for the Next 30 Days [View article]
I see your point of confusion on the 1000 versus 100 matter. Our chart is for SPY (100), but the formula shown at the bottom of the chart is for the index (1000). Whichever underlying security you use, then use its price. If you are projecting the index use its current level (about 1000 in this case). If you are projecting the price of SPY use its current price (about 100 in this case). The formula in the text refers to P which is the 1000 or 100, as the case may be depending on underlying security.
If you have the options implied volatility for other securities, the formula for them would use their current price and their implied volatility.
Volatility Approach to SPY for the Next 30 Days [View article]
Because we used SPY as the proxy for the S&P 500, we used its price (100) for P. SPY is basically 1/10th of the index.
Explanation of 1 Std Dev (that is the expected Std Dev):
One standard deviation expressed as an annualized percentage equals the value of the VIX (yesterday about 26) times the price of the underlying security (1000 if S&P 500 or 100 is SPY as proxy), that product multiplied by the square root of the quantity: the number of projected days (30 in the case of VIX) divided by 365.
Rising Interest in Currency Funds [View article]