Monday and the bulls are off to the races. VIX is down 4% and the indices are destined to close in the green despite worsening conditions in the middle east. What, me worry? is the mantra carrying us along to the inevitable SPY 200 payday.
Here’s a look at what I’ll call the XIV premium chart (also the VIX premium chart). They look at the value of SPY relative to the value of XIV and VIX respectively. Now we talked extensively before about XIV being and ETN tradeable only as a security and VIX being an index tradeable only using options (or futures), so there is instability between the 2 instruments. Read the rest of this entry »
Banco Espirito Santo, Portugal’s second-largest bank by market value reassured the markets late Thursday that potential losses resulting from its exposure to Espirito Santo Group will not compromise its compliance with regulatory capital requirements and the bulls were back in business. While the small cap suffered, S&P and Tech. held in very well and may challenge the highs next week into option expiration.
Top callers are again out this week, but the bulls continued to march higher. While the Jobs gap left today may fill in the coming days, the trend is pointing up with economy picking up strength. Happy 4th.
In part 1 of the series we introduced a three-factor model that decomposes momentum profitability and how that can be translated into a momentum score for an asset universe. In this post we will show how momentum strategies can be profitable even under the conditions where the market is efficient and time series performance is not predictable.