Baboon

What Do CBOE Volatility Indexes Say?

How would someone determine under normal distribution what is correct direction of the market? In other words how one can guess whether the market will go higher or lower under normal distribution? Since that's what happens when a person decides to place a stop loss: he admits that he placed a wrong bet on the market direction. And that I believe is impossible under normal distribution.


On Oct 21 03:01 PM Richard Shaw wrote:

> Baboon: Please elaborate.

What Do CBOE Volatility Indexes Say?

My understanding is that once someone understands the volatility and normal distribution he is unwilling to use the stop losses.


On Oct 20 09:58 AM Richard Shaw wrote:

> 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.

Exploring Relative Strength Systems with These 11 ETFs

Whether the 'relative strength' rotation method outperforms the plain vanilla buy and hold asset allocation ( rebalanced once a year ) that's another story.

How Traders Are Front-Running ETFs

Wow - 45% on 6-12 months gains? By no means holding stock for 6-12 month is a short-term investment.


On Oct 11 08:34 AM apppro wrote:

> OK, so how do we stop that????????????? Short-term traders are screwing
> all the long-term investors once again, SO HOW DO WE STOP IT!!!!!!!!!!!!!!
>
>
> I say tax them:
>
>
> Revised Tax Rules:
> 1. Capital gains under <6 months - 55% tax on capital gains
> 2. Capital gains 6 > 12 months - 45% tax on capital gains
> 3. Capital gains 1 > 2 years - 35% tax on capital gains
> 4. Capital gains 2 > 5 years - 18% tax on capital gains
> 5. Capital gains 5+ years - 5% tax on capital gains
> 6. Most critical of all — Institute a capital gains tax of 55% on
> ALL short sales not directly tied to a long buy by a licensed hedge
> fund. I'm tired of paying for the pure shorts 3rd vacation home.

September Performance Busts Leveraged ETF Myth

>>When held for multiple trading sessions, leveraged ETFs will
>>always underperform the return of the target daily multiple of >>the underlying index.

There is no way one can compare etf with the index. Etf will always underperform the underlying index even if it's not leveraged because of the tracking error (slippage,bid/ask spread and commissions). For example spy underperforms SPX and that has nothing to do with the leverage.
Next: how many multiple trading sessions does it take for the claim to be true? One? Two?
There is sort of naivety in the way the myth is formulated.

The Arithmetic of Gold: Why Its Price Has No Ceiling

Buying gold is like buying insurance and actually expensive one. Is it worth to buy an expensive insurance? I think so. Does one need to turn all his savings into gold? I doubt it. As a matter of fact gold should make up about 10-12% of asset allocation.

CEF Weekly Review: Wall of Worry

Their true yield of cefs is in the same ballpark as the yield of their correspondent asset classes.


On Oct 05 04:37 AM GlobalTrekker wrote:

> For the ETW distribution yield, I think it would be most useful to
> track the actual income of the fund. That, combined with its annual
> return, would give the best idea of true yield. For the buy/writes,
> even the return of capital is a confusing measure.

5 Reasons to Be Bearish

>>"It’s all those computers”
>>Program trading refers to the high-frequency trading that takes
>>place between computers which take advantage of things like
>>liquidity rebates offered by the exchanges, co-location benefits
>>etc.

I wonder how the algorithmic trading that exploits millisecond market inefficiencies can set it's long lasting trend of a few months? This would appear more like random walk instantaneous fluctuations than a distinct long-term market trend. I doubt that computer trading should be mentioned as a reason for the market to be bearish ( or bullish for this matter ). Computer trading is market neutral.

Roubini Softens His View on the Economy ... Slightly

>>Investors who have followed his lead would likely have missed >>out on the market’s rally over the past seven months

But did he say that the investors should stay out of the equity market? As far as I remember he was saying that he was fully in equities in his personal account.

VIX ETN: Ineffective as Both Short-Term, Long-Term Play

To protect against market decline one needs just to sell calls on SPX.

Tobin's 'Q' Shows Market Is Still Cheap

In order to assess better the practical significance of q ratio ( buy when it's historically low and sell when it's historically high) one needs to see the above chart overlaid with SP500 index.

Short ETFs: Time to Buy - Not Sell

Why not to add the word 'daily' to those etfs names? Like short 'financial short daily fund'. That might definitely be helpful in eliminating possible misunderstandings about their long-term performance.

ETFConnect Is No More

I liked simplicity and at the same time resourcefulness of etfconnect much better.


On Sep 25 10:24 AM ETFdesk.com wrote:

> Well there is always ETFDESK.com. Search ETFs/CEFs by sector,
> asset class, daily volume, country of origin, industry, fund sponsor.
> There is a reverse search for ETFs which allows to find ETFs that
> include a certain holding.
>
> Also, the WaysToPlay feature is a user-generated tool which pairs
> news articles, blog posts, econ releases, etc with ETFs.. to generate
> investment ideas

Bullish Stance Is Wearing Thin

To the author: What is your Dow price target now?

Financial Reform: The Moment Has Passed but the Need Is Clear

> That is going to include
> a look at the risk of any innovative financial product before that
> product is permitted to be traded. It is also going to incude a
> close look at CDS, whether they are useful at all.

Who cares about company's risk as long as the company doesn't have a bailout option with tax payers money? Why would public care if some company takes excessive risk and then goes bust? They blew their bankroll, they go bankrupt. Just like all of us. They are private companies after all.