ES -- DX/CL -- isee -- cboe put/call -- specialist/public short ratio -- trinq -- trin -- aaii bull ratio -- abx -- cmbx -- cdx -- vxo p&f -- SPX volatility curve -- VIX:VXO skew -- commodity screen -- cot -- conference board

Tuesday, March 18, 2008

 

is this enough panic?


it's the question of the year -- has there been enough rout to reroute the market?

i can't pretend to know. headlines are one thing, but subjectivity dominates. i try to look at more quantitative measures, and here's one.

this is the picture of abject options marketplace terror. take it along with the ISEE data -- in the last 15 days, only once have as many calls been written as puts. that is (pardon a moment of incivility) fucking ridiculous. time-arbitrage in volatility contracts offered huge ~20% spreads yesterday again, for the third time in six months. and try for a moment to find some commentary on the internet or anywhere else which proffers a powerful, sustained rally. there are no bulls, as far as i can tell, and any rally is most often deemed short-covering and a good excuse to sell into strength. and that makes some sense, in fact, as short interest in the s&p has rarely been higher.

all that makes for a powderkeg, in my humble opinion, and one sitting atop a non-confirmation in new lows, which amounts to a lit fuse. at the very least, this is a bad time to open new shorts.

UPDATE: from across the curve -- risk aversion may be breaking in the credit markets. if it continues, this would be utterly critical and fuel for the equity market, the nine-month fall in which has largely been a shadow of a much larger disturbance on the credit side. as noted at accrued interest, bank credit default pricing is what to watch to know if markets think the fed is succeeding -- and they are indeed pulling in.

UPDATE: more on tightening agency spreads from across the curve. very positive stuff if it sticks.

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test

 
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Sorry, the first was a misfire.

Nice post. I'll not become a bother, but I thought you would emjoy this:

"Beware the parabolic rise"
http://www.financialsense.com/fsu/editorials/bloom/2008/0317.html

Cheers! (and fears!)

 
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bother away, dc! :) and thanks for the link.

 
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