Peter Berezin @PeterBerezinBCA In the history of modern finance, no single indicator has done a better job of predicting when the next global recession will start than when the Bank of Japan starts raising rates. Foolproof!
So the SEC goes after our industry, makes us all criminals, brutally sues everyone from the largest firms to the smallest projects, costs the industry hundreds of millions of dollars in legal fees, erases hundreds of billions in market caps, then cries fowl when the industry…
The Fed gave us a clear ‘signal’ that wasn’t ‘noise’ today. The 4.4% unemployment rate call for year-end would take it 100 basis points above the cycle low. Back to 1948, that has never happened without an NBER-defined recession. By the time the jobless rate rises this much,…
Small caps up just 1% in the year since this tweet
"Are you all in on small caps?" @SullyCNBC asks. "We are," says @fundstrat 's Tom Lee. "With the Fed doing a dovish pause and CEOs getting more confident... I do think the Russell can rise 50% this year."
CNN’s Fear & Greed Index is a way to gauge stock market movements and whether stocks are fairly priced. The index uses seven market indicators to help answer the question: What emotion is driving the market now?
For anyone tired of agip posting predictions of "market gurus" that were wrong or right, I am offering an alternative. Why not keep track of cumulative market sentiment of people with skin in the game? This is expressed in the options market, specifically $SPX. This is an European option, settled on a cash basis and can only be exercised at expiration. I posted some stuff a while back by Kris Abdelmessih at Moontower. He discusses straddles and I will use at-the -money ( or close to them; as well as an approximation using his formula ) straddles from Barchart and Optionsprofitcalculator.com.
One of my favorite follows on #voltwit is @SqueezeMetrics. The account more colloquially known as “the Lemon” has a personal crusade against using implied vol to refer to option prices. Recall, volatility is just the asset’s...
As of 3/21/2024; $SPX 5675 straddle for 12/31/2025:
Barchart - BE 6369.70 (+12.4%) and 4980.30 (-12.1%) Net Debit is $694.70
OPC - BE 6366.60 (+12.33) and 4983.40 (-12.1) Net Debit is $691.60 BC uses ask price and OPC uses mid.
Using Moontower's formula, Net Debit is 670.48 (+or- 11.83%).*
BEs are 6338.04 and 4997.08
Keep in mind 3/21/2025 close was 5667.56. The IV is 16.62% and the HV (Historical Vol) is 17.48%. 12/31/2024's close was 5881.63 and the yearly high was 6144.15 on 2/19/2025
I will update this not every week but at least once a month until 12/31/2025.
*Using HV and MT formula Net Debit would be $792.55!
SPX Straddle Calculator shows projected profit and loss over time. A straddle involves buying a call and put of the same strike price. It is a strategy suited to a volatile market. The maximum risk is at the strike price and...
Basically, this is similar to your charts. Instead of past price action I am using the option market's bets on the future price of $SPX, in this case, the price on 12/31/2025. The Breakevens at expiry for a true at -the- money straddle (Barchart and OPC aren't true A-T-M straddles as the put is in the money and the call is out-of-the-money) set the boundaries where those long the straddle (long volatility) win. The figure in Moontower shows 20% probability for final price to be higher than BE+ and 20% probability the price will be lower than BE-, with a 60% probability the price will end somewhere in between. This isn't a prediction of where the price of the S&P 500 will be on 12/31, but more a barometer of major investor sentiment expressed by volatility and how it is or isn't validated at the years end. Have to run, might get back to this in the future.
I don't have access to $SPX historical option price data, but I do for SPY. Using Moontowers formula and option prices for SPY I can calculate implied volatility for the end of the year. On 12/31/2024 the IV for 12/31/2025 was 16.79%. On 2/19/2025, when SPY hit an all time high, the IV was 15.76%. On 3/21/2025 it's 17.8%. Since 1/3/1928 to 3/21/2025, looking at rolling 251 trading days, the average realized volatility was 16.59%.
The SPY breakevens:
12/31/2024; 664.78 and 507.38 ( closing price 586.06 ) { IV 16.79% } EST.
2/19/2025; 685.2 and 540.80 ( closing price 612.93 ) { IV 15.76% } EST.
3/21/2025; 634.95 and 493.05* ( closing price 563.98 ) { IV 17.80% }
*Options imply an almost 20% chance the S&P 500 will be in a bear market at years end. I suggest no one take this as trade advice. This is from an experiment I'm currently executing.
No one could possibly be tired of David Rosenberg being unnecessary bearish.
Here, for example. David Rosenberg being unnecessary bearish. Never gets old. We're still at 4.1%, not 5.0%.
David Rosenberg @EconguyRosie Today’s labor market metrics in the consumer confidence report are consistent with the unemployment rate fast approaching 5%. The Fed’s 4.4% cycle peak is soon to look stale and more jumbo cuts are surely on their way. 12:56 PM · Sep 24, 2024 · 92K Views
This post was edited 3 minutes after it was posted.
So the S&P 500 closing price of 1527.46 on 3/24/2000 wasn't topped until 5/30/2007. Low was 776.76 on 10/9/2002. It hit a high of 1565.15, oddly, exactly 5 years later on 10/9/2007. It crashed down to 676.53 on 3/9/2009 and didn't surpass the 3/24/2000 closing price until 2/19/2013 and the October 2007 high on 3/28/2013.
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