By Lawrence G. McMillan
If there wasn’t such incessant media coverage today, one might have a somewhat different opinion of what’s happening in the current market. I say this with some degree of experience, having seen the early 1973 market firsthand.
By Lawrence G. McMillan
In December, we presented a strategy for trading the highly leveraged ETFs. At that time, we said that perhaps an option strategy would be a better approach. In this article, we expand on that original research by examining one option strategy (and discarding a few others). This deeper I dig into this subject, though, the more possibilities present themselves.
By Lawrence G. McMillan
Most professional traders tell novice investors not to chase earnings. I have felt that way throughout my trading career. However, I never actually did any statistical work, nor did I come across any papers of statistical work by others, that actually document this fact. That statistical work – or at least some of it – has now been done by us, and the results are presented in this article.
By Lawrence G. McMillan
Currently, option implied volatilities are near extreme lows, by many measures. We have seen that VIX got down to nearly 12. It has been below 10 in the past, though, so it is not at historically low levels. However, many stocks have options that have never been cheaper. For example, IBM’s composite implied volatility (VIX) has been hovering near 10 lately. It has never had cheaper options in the nearly 40 years that listed options have been traded on the stock.
By Lawrence G. McMillan
Section 1256 trades include all futures trades, as well as futures options. They also include option trades on cash-based indices ($OEX and $SPX, and especially $VIX), but not SPY or QQQ, for example, for the underlying there is an ETF, not cash.
It’s that time of the year when reviews and forecasts are prevalent. As most of our subscribers know, for our purposes this is an exercise in theory more than practice, for we don’t take positions that last an entire year or longer. In fact, our longest positions are perhaps three months at most – straddle buys, Total put-call ratio buy signals, or other such positions of intermediate-term length.
By Lawrence G. McMillan
With the “fiscal cliff” dominating the news, the media tries to link every market wiggle to what some politician has just said about it. Meanwhile, there are plenty of real market forces that are influencing the stock market, but those seem to only be of interest to participants who aren’t media addicts – i.e., only a few. It is our contention that these “real” factors are what is actually driving the market.
By Lawrence G. McMillan
We keep track of “90% days” with a great deal of accuracy. A “90% up day” is, in its purest form, a day when advancing issues outnumber declining issues by at least a 9-to-1 ratio and advancing volume outnumbers declining volume by at least a 9-to-1 ratio.
By Lawrence G. McMillan
We occasionally publish charts showing the seasonal pattern of $VIX. Figure 2 below shows the composite price of $VIX for a 23-year history (1989 through 2011). This chart is constructed simply by following this method: gather the 23 $VIX prices for the first trading day of the year, sum them, divide by 23, and that is the first point to plot on the left of the graph. Continue that way throughout the year.
