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The Seasonality Of $VIX - 2021 Update (Preview)

By Lawrence G. McMillan

We occasionally publish the composite chart of $VIX dating back to near its inception. For these purposes, we use the original $VIX – $VXO – since it has the longest price history. That history is shown in the chart on the below. It has generally been the case that $VIX rises early in the year, peaks in the spring, declines into the late summer, and then begins a rapid acceleration in October, before finally tailing off towards the end of the year.

Could It Really Be 2020 All Over Again? (Preview)

By Lawrence G. McMillan

No two markets are ever exactly alike, but there are quite a few similarities between our indicators at the current time and where they stood a year ago – comparing the third Fridays of February in each case. As noted in the Market Comment section, that was the last day (February 21st, 2020) before stock crashed into a violent, short-term bear market. There are a lot of similarities. Of course, this article doesn’t compare other periods in history where there were also similarities, yet the market didn’t crash. Perhaps almost every top has some of these similarities.

Update on Cumulative VOLUME Breadth - CVB (Preview)

By Lawrence G. McMillan

One of the cumulative breadth indicators that we follow is cumulative VOLUME breadth (CVB).  It is the running daily total of “volume on advancing issues” minus “volume on declining issues.”  While it can be calculated using NYSE, NASDAQ, and “stocks only” data, we prefer the “stocks only” (i.e., all stocks on which listed options are traded in the U.S.).  

Update on the CBOE Equity-only Put-call Ratio for 2020 (Preview)

By Lawrence G. McMillan

In the November 15, 2020, issue we had a rather comprehensive discussion of the CBOE’s Equity-only put-call ratio. Both its history over the last 20 years and the comparison of 2020 statistics with those past 20 years were discussed. This is just a brief article to update the figures through the end of the year.

A Realized Volatility Sell Signal (Preview)

By Lawrence G. McMillan

A couple of years ago, we put together some facts and came up with an “early warning" sell signal, based on historical volatility of $SPX.

A “New” Strategy – Just In Case The Market Collapses (Preview)

By Lawrence G. McMillan

As we have shown, there is a massive number of overbought put-call charts and just a general level of extreme speculation in the current market.  In late 2017 and 2019, conditions were similar and they persisted into February before the market collapsed.  The market is rarely so accommodating as to keep repeating itself, so while I definitely feel that a major correction could occur, I would expect our indicators to get ahead of that.  But just in case something comes out of the blue, this strategy is designed to generate large gains in a collapsing market, at only a small cost if that does not happen.

Thanksgiving Week Seasonality: 2020 Update (Preview)

By Lawrence G. McMillan

Thanksgiving sets off a number of seasonal patterns, although we combine several of them for one trade.  The three main seasonal patterns are:

1) post-Thanksgiving bullishness: buy the market at the close of the day before Thanksgiving and hold into mid-December.

The Heating Oil – Gasoline Spread: 2020 Update (Preview)

By Lawrence G. McMillan

We have been trading this seasonal spread annually every year since 1994, except for 1995. The spread has a good track record, but suffered its worst loss to date last year. All of the pertinent statistics are included below.

Put-Call Ratios in 2020: A Historic Year (Preview)

By Lawrence G. McMillan

We have continually been talking about how low the equity-only put-call ratios have been this year – first in January when they dropped to the lowest levels since levels since 2014, but then again in August when they dropped to the lowest levels in our database, which goes back to 2001.

The October Seasonal Trade - 2020 Update (Preview)

By Lawrence G. McMillan

One of our favorite seasonal trades – and one of the most rewarding – is the October Seasonal Trade. It will be coming up at the end of October. It calls for buying “the market” on October 27th and selling out your position on November 2nd . BUT...the trade is only taken if there has been a 3.2% or larger decline sometime during the month of October. So far, we don’t have that last criterion satisfied, but it’s still early in October.

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