Luck-o-the-Irish's Instablog Timothy Collins has worked as a financial adviser since 1999, focusing on portfolio customization with a concentration on income and risk-managed growth. He started Collins Capital Advisors -- now Clarus Capital Partners -- in 2007; Clarus Capital is an RIA firm dedicated to formulating customized risk-managed investment strategies for individuals and small businesses. Clarus Capital now manages the Triplicity Capital Fund, a volatility arbitrage hedge fund. Prior to joining his first firm, American Express Financial Advisors, in 1999, Collins worked as a staff accountant for United Information Systems in Bethesda, Md.; he has also worked as a financial analyst for Securities Pricing and Research in Annapolis, Md. Collins is a graduate of McDaniel College (formerly Western Maryland College) with degrees in business administration, economics and sociology and is a winner of the Bates Prize. Luck-o-the-Irish http://seekingalpha.com SKF leading the way? http://seekingalpha.com/instablog/16440-luck-o-the-irish/224-skf-leading-the-way?source=feed 224 I've constantly read that SKF, and to a lesser degree, its evil cousin FAZ, lead the market around however they please. Leveraged ETFs...its what I do. To examine this thesis, our firm created a proprietary ratio that constantly examines the ratio of the short volume dollars traded against the long dollars traded in each sector (VWAP times price) to see if one really leads the other. Interesting enough that ratio is the same today for the financial sector (1.44) as it was on April 2nd (1.39), a day in which the XLF rocketed higher. Even more interesting, the ratio was 1.22 on April 3rd, an even bigger day for the XLF, and we saw that ratio move to 1.23 yesterday, a day when the XLF was down sharply. This ratio DOES take into account the leveraged nature of these securities. This ratio has not given us a tradeable advantage yet, but we are still working on its applications; however, it has demonstrated to us that the tail is not wagging the dog. These products are an effect, not a cause.

Position: Long XLF with covered calls, short SKF with covered puts, short FAZ with coverd puts and long butterfly call spreads, short UYG with covered puts, short FAS covered butterflies and backspreads

 

]]> Tue, 07 Apr 2009 13:59:46 -0400 I've constantly read that SKF, and to a lesser degree, its evil cousin FAZ, lead the market around however they please. Leveraged ETFs...its what I do. To examine this thesis, our firm created a proprietary ratio that constantly examines the ratio of the short volume dollars traded against the long dollars traded in each sector (VWAP times price) to see if one really leads the other. Interesting enough that ratio is the same today for the financial sector (1.44) as it was on April 2nd (1.39), a day in which the XLF rocketed higher. Even more interesting, the ratio was 1.22 on April 3rd, an even bigger day for the XLF, and we saw that ratio move to 1.23 yesterday, a day when the XLF was down sharply. This ratio DOES take into account the leveraged nature of these securities. This ratio has not given us a tradeable advantage yet, but we are still working on its applications; however, it has demonstrated to us that the tail is not wagging the dog. These products are an effect, not a cause.

Position: Long XLF with covered calls, short SKF with covered puts, short FAZ with coverd puts and long butterfly call spreads, short UYG with covered puts, short FAS covered butterflies and backspreads

 

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