Op-Ex Price Magnet Update 05/26/18
Hedge Fund Manager, Newsletter Provider, Long Only
Seeking Alpha Analyst Since 2013
Systematic and quantitative analysis.
Rob McBride has 15+ years of experience in the systematic investment space and is a former Managing Director at a $14 Billion hedge fund. Rob has deep experience with market data, software and model building in financial markets.
Erik Lytikainen has 25+ years of experience as an entrepreneur, business developer and financial analyst. He founded Viking Analytics in 2015 after selling a commodity production & trading company he co-founded in 2006.
Summary
- Here is a summary of recent price movement in relation to the op-ex Price Magnets.
- Have a great holiday weekend!
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For the fourth straight time, the gold futures moved into balance with the Price Magnet on or before the option expiration date.
The price of crude oil came into balance with its op-ex Price Magnet for the first time since early April.
The value of 10-year USTs came into balance with its Op-ex Price Magnet right before option expiration this week.
The price of natural gas has recently tended to revert to its op-ex Price Magnet after the options expire.
The value of the S&P Index has been mean-reverting to its op-ex Price Magnet since the initial sell-off in February
Nearby VIX futures has shown strong mean-reversion to the op-ex Price Magnet since March.
The corn price has shown solid mean-reversion to its op-ex Price Magnet in its recent uptrend. Options open interest is much higher for the June options than it was for the May expiring options.
The soybean price has shown solid mean-reversion to its op-ex Price Magnet since late February.
The price of wheat diverged from its op-ex Price Magnet on May 25th. However, options open interest is much higher for the June options than it was for the May expiring options.
The EURUSD futures are in a strong downtrend and we often see less convergence to the op-ex Price Magnet during strong up- or down-trends.
Disclaimer
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