Прошу совета у специалистов по опционам – какую стратегию оптимально использовать чтобы по- настоящему заработать на вероятном падении американского рынка в 2020.Сам торгую с 2001 года, акции на России, фьючерсы на России, последние 5 лет акции на США.Вижу дикое ускорение в ключевых именах в NDX с октября 19. На рынок идёт волна ритейла через Robinhood на телефоне, NQE. Если это мания, то на крахе нужно заработать, это может быть шансом десятилетия. Про NQE, поток ликвидности всюду и то что Трампу нужен растущий рынок к ноябрю я в курсе. Плевать, в фазе пузыря рынок протянет месяцы, но не годы.Через акции или фьючерсы не тот выхлоп, будет 100-200% если более-менее нормально угадать точку входа и удержать тренд. Понятно что счет не пару K, но и не бесконечный.Задача заработать 500-1000%. Посидел подумал и решил, что это можно сделать через опционы. Проблема с таймингом, когда всё начнется и будет движение плавным или резким никто не знает.Пытался открывать позиции в put опционах на SPX QQQ со сроком до экспирации месяц-два на проливах вниз в надежде на начало тренда. Паршиво идет – на падении премии по put растут вола растёт, потом рынок разворачивается они сразу теряют половину стоимости. На паре таких попыток денег отдал уже нормально.Решил тупо покупать месячные путы на индекс вне денег каждый месяц. Ну они распадаются только в путь, если брать каждый месяц на 2-3% выхлоп в случае падения будет никаким. Если по 7-10% то к концу года потеряю всё в ноль, если падения не будет. Это хреновый вариант.Может имеет смысл брать call на VXX, на падении VIX улетит. Но опять же как лучше – постоянно брать короткие опционы или сразу взять например сентябрь 2020?Шортить пузырь виде TSLA через опционы дорого, IV там уже 75. Она упадёт и путы тупо сгорят даже при падении бумаги.Интересуют практические советы от реально торгующих на US Market что лучше делать (короткие опционы или трёхмесячные полугодовые) и через какие страйки (ATM OTM). Есть разумная стратегия с нелинейной отдачей и вменяемым риском потерь?
The S&P 500 set a record high close of $3,153.63 on Nov. 27, 2019. This has been accompanied by multiple expansion. Today’s forward four quarter (F4Q) EPS estimate of $171.85
Saudi state own oil giant Saudi Arabian Oil Co (IPO-ARMO.SE), commonly known as Saudi Aramco, is expected to IPO on Nov. 17. Reuters reports that bankers expect Saudi Aramco to
The S&P 500’s 12 month forward (12M FWD) P/E, shown in orange, tends to follow the U.S. 2 year treasury government benchmark yield (2Y), shown in yellow. However, since hitting
Today marks the unofficial start to the 19Q3 earnings season. The S&P 500 is expected to see 19Q3 YoY earnings decline 3.0%, which would be the first decline since 16Q2.
ФРС, несмотря на мягкие заявления своих представителей, продолжает нормализацию баланса строго по плану — $50 млрд/ мес. По сути, если количественное смягчение QE являлось инструментом для смягчения финансовых условий и поддержки экономики, то логично, что количественное ужесточение QT должно действовать в противоположном направлении. Ниже несколько красноречивых графиков, не нуждающихся в комментариях. Рынок облигаций также отреагировал на начало количественного ужесточения, но, по-видимому, быстрее. На следующем графике показана совокупная сумма количественного сжатия с момента его начала в октябре 2017 года. Общие активы ФРС сократились почти на $500 млрд, а объемы казначейских обязательств сократились почти на $300 млрд. Дивергенция очевидна. Дальше либо возврат к QE и баланс ФРС на север, либо рынки на юг.
March 8 Close VIX OI for April 17th Expiry OI Max Pain = 18 OI P/C Ratio = 0.22Большой OI в диапазоне 20-45 сформировался в последние 3 недели.В продолжение темы smart-lab.ru/blog/526796.phpРиски на ближайший месяц: — NO DEAL BREXIT — NO DEAL США-Китай — Rocket Boy восстанавливает пусковые установки — Конфликт Индия-Пакистан — Тарифы на Европу — Тарифы на ИндиюИ всё это в нагрузку к плохой статистике. Еще и Норвежский фонд объявил о распродаже нефтяных и добывающих активов. Возможное движение
While ahead of yesterday's Powell speech, a number of clients and fund managers that Nomura's Charlie McElligott speaks with "voiced intent to cut their risk exposures sharply or even outright SHORT a G20 “handshake deal” relief rally in Equities, under the belief that there would be a grinding move lower thereafter with the impossible trade granulars like subsidies for SOEs and Tech IP seeing no chance of being “worked out” in the near- or even medium- term" the Powell speech changed that calculus, because the previously more nuanced “Fed tone shift” was "abruptly crystalized as something firmer: rationale now goes from the aforementioned “willingness to run restrictive” to now suddenly almost AT the neutral rate—which can be seen as suggesting fewer rate hikes in the eyes of some, or more aggressively, a de facto rate CUT vs where expectations had reset over the past month." This prompted many to conclude that the "Powell Put" is struck much higher than the prior 2400-ish level perceived by market, also revealing what the "breaking point" to the Fed is as was made clear by the recent message tweak. Also, in addition to the "Powell Put", yesterday's speech gave traders confidence there is now a "floor" for equities as McElligott explains in his latest note: Into the risk of a +++ G20 outcome, the “floor” for Equities then too has moved higher into year-end, which too then means that there may be less patience to wait out a dip to buy, and instead could accelerate “grabby” behavior ESPECIALLY with G20 “relief” And yet, there was something strange about yesterday's rally: as McElligott highlights, looking under the surface of yesterday's furious rally which at one point saw the highest TICK print since the February VIX crash, the thematic- and factor- behavior experienced within yesterday's ramp "certainly did not communicate a renewed belief in an “extension of the cycle” despite reducing concerns surrounding running restrictive policy." As the Nomura x-asset strategist explains, it was possible that in light of the yield curve steepening that traders would expect to see "Value" (longs) rally vs "Growth," on account of the heavy “Cyclical” lean within the “Value” universe. Instead however, it was the growth market neutral funds screaming higher vs Value market neutrals sharply lower, "as from the long side, traders went back to “renting” the names they know best over the past few years—THE SECULAR GROWERS which DO NOT REQUIRE A ‘HOT’ ECONOMY TO ‘WORK’—in order to squeeze last drops of blood from the stone in the market across Tech / Cons Disc / Biotech." There was another problem with yesterday's rally: it took place just as many active investors shifted positioning going into year end: And just as hedge funds turned net short... — zerohedge (@zerohedge) November 28, 2018 McElligott confirms as much, reminding clients that as he stated prior to Powell yesterday "the local “pain-trade" remains "Equities higher", as nobody was set-up to capture a gap to the upside, for the following reasons: per Nomura's analysis and Street prime broker data, Equities hedge funds sat ~ 1y+ low in both nets- and grosses (something Goldman made a big point of in its latest quarterly hedge fund positioning report). Additionally, equities market neutral fund performance showed a beta to the S&P at just 57th %ile, thematically shifting more “Defensive” from prior status quo “Growth” / “Momentum” overweight. Macro funds were also recently “tapping” on Equities, with beta to SPX at just 8th %ile; EEM 1st %ile; Eurostoxx 4th %ile; and Nikkei 32nd %ile. Finally, per Nomura's CTA Trend model, the SPX trade position size (estimated dollar exposure) was just 19% yesterday vs ~50% allocation at the start of October Separately, Bloomberg's Andrew Cinko notes several other reasons why yesterday's rally was unlikely to sustain - especially with the major risk event, this weekend's G-20 meeting between Trump and Xi still looming - the main of which is that as BMO strategist Russ Visch notes, the big rally came without being preceded by a surging VIX index or spiking equity put/call ratios. "Those are typically seen as the lows are being put in, before a whoosh higher" according to Visch. Additionally, as we discussed yesterday, the TICK index print of over 1,600 just as Powell's comment hit the tape, would likely limit gains in the very short term. With all that in mind, what are the latest key quant buy/sell levels? As McElligott lays out, last Friday’s WoW change in consolidated S&P options net (negative) Delta was an "enormous" negative $490BN, "which told you that this re-adjustment (chasing) was happening real-time after that much delta disappeared last week." And sure enough, the updated options change through yesterday shows that the net negative Delta shrunk massively, and is now just -$140B. Additionally, Nomura also saw Gamma biased to the upside as well at $15.3B for every 1% change and ~$25.4B at a 2% move, along with as much as $4.6BN of Gamma at the 2750 strike. As a result, yesterday's gap up move could create a "force-in" risk by the fundamental Equities community which as has been the case for the past month has been "synthetically short gamma" as a result of the net-down gross-down on the hedge funds side, or market neutrals who had begun rebalancing more defensively / took-down Growth and Momentum exposure, or even Macros who "gutted their beta to global equities in recent weeks." There is similar squeeze risk from the systematic CTA Trend community, which yesterday lunged to re-leverage week to date, adding $26B in SPX Tuesday and potentially another $16BN if the S&P moves toward or above 2769, to go "Max Long" updated through this morning’s model inputs. Finally, in the past 24 hours we also saw sharp covering of shorts in Russell, Nasdaq, Nikkei and DAX. Putting all this together, the Powell-led "force-in" over the last few days accelerates into the G-20 weekend, with the S&P now +110 handles from last Friday’s lows, but as McElligott cautions, the higher stock market then emboldens Trump's belief that "the selloff was always about the Fed and not China trade wars" which then brings us back to square one. As the Nomura strategist concludes, client concerns now turn to Trump then perversely pushing even more aggressively on his demands for the Chinese - believing that he’s playing with “house money” - and, ironically, resulting in a NEGATIVE G20 outcome, which would promptly see "forced longs" needing to again tap with CTA “sell levels” triggered under 2706 and systematic trend turning again “Max SHORT” under 2648 (-$90B). In short, enjoy the rally while you can: after this weekend if Trump is Trump, the downward slide in the market may return... with a vengeance.
With the exception of the VIXtermination event in early February which followed a euphoric blow-off top at the end of January, the US stock market for most of 2018 was relatively smooth sailing for most traders, with the S&P - largely oblivious to events in the rest of the world - hitting an all time high on Sept. 20. And then everything changed. As Nomura's Charlie McElligott writes, "the moment everything broke" took place just as October rolled in. It is debatable what catalyzed it: some will point to Powell's October 4 "we may go past neutral" speech (which we discussed in "Fed Chair Powell Hints He May Soon Crash The Market"); others note that this is precisely when central bank liquidity took another major step lower as the Fed's maximum quantitative tightening kicked in (as the balance sheet run off increased from $40Bn to its maximum $50Bn per month), when the ECB's bond purchase tapered from €30Bn to €15Bn/month and the BOJ stealth tapered via its YCC 'tweak.' Whatever the reason, it was then that between sliding risk assets, and sharply tighter financial conditions US inflation expectations via 10Y Breakevens collapsed, the first cracks in long/short hedge fund performance appeared, the CTA trend index snapped, beta market neutral funds broke down and risk-parity stopped working as the correlation between stocks and bonds inverted. This is shown in the chart below. And once "everything broke" at the start of October, speculation that the Fed will soon be forced to stop its tightening cycle started to grow, peaking this week with traders quietly hoping that either Clarida, Powell or tomorrow's Fed minutes would hint that the Fed is relenting on its "dot plot" projections which still expect 3 rate hikes in 2019. Meanwhile, as Nomura's Charlie McEllgiott writes, despite expectations for a “balanced, data-dependent” tone from Fed Chair Powell today (in-line with Clarida yesterday), the March 19 implied hike probability has now "shockingly" diped to now just 48% as the market buys-into the “Fed Pause” thesis. Furthermore, overnight newsflow has added further “unease” on the Fed path: Trump’s interview with the WaPo released last night where he stated that he was not “even a little bit happy with my selection” of Powell, adding that the Fed’s current stance on rates was “way off base”—all on top of his interview with the WSJ where he accused the Fed of being a “bigger problem than China” An overnight report from Bloomberg stating that Treasury Secretary Mnuchin was “said to” ask the TBAC whether they want the Federal Reserve to tighten monetary policy by raising interest rates or through faster cuts in its securities portfolio at their Oct 30th meeting—seen as a way of suggesting a way for the central bank to accomplish their goals of avoiding an “overheated economy” without triggering further ire from the President (which ironically would drive an even larger negative impact to risk-assets than further hikes in my personal view) However, as McEllgiott argues, the "Fed Pause" thesis is not simply about weaker Equities (MXWO and SPX -8.5% from start Oct), wider Credit (US IG OAS to 22m wides), and subdued Inflation Expectations (WTI -32% since Oct 3rd and breakevens collapsing to 1Y lows) or, ironically, pressure from Trump, "but now too about the negative trajectory of US economic numbers into a more “data-dependent” Fed." Indeed, as shown in the chart below, the Bloomberg Economic Surprise Index has once again pivoted into outright negative territory for the first time in ~14 months after the recent misses in Industrial Production, NAHB Housing, U. Michigan Sentiment, Cont Claims, Jobless Claims, Durable Goods and Dallas Fed Manufacturing, and today's New Home Sales disaster …while internationally, we see the (consolidated) Global Manufacturing PMI Index down 9 of 10 months and at outright two year lows What are the implications of this change in market narrative, with shadow consensus now that the Fed will halt its tightening cycle some time in early to mid-2019? According to Nomura, "the local pain-trade remains Equities higher" for two reasons: The US “Active” Equities community being effectively a large source of “synthetic short gamma” in the market in light of their recent Net- and Gross- exposure purges, which renders them “buyers higher” on a gap move (also corroborates with the WoW net negative delta in consolidated SPX / SPY, causing spastic hedging “grabs” in Index futures) From the perspective of Systematic funds we’ve seen the similarly “puked” Equities positioning being RE-leveraged longer (or at a minimum, covering shorts) across SPX, DAX, FTSE, CAC and KOSPI And while the market may be at risk of a sharp, if transitory spike, especially when accounting for the systematic, CTA community, where only a modest bounce in stocks would be needed to turn the quant from mostly neutral to "Max Long" (and vice versa to the short side), McEllgiott notes that his "long-term / mid-2019 structural “financial conditions tightening tantrum” view holds" as the cross-asset strategist continues to expect both Dec18- and Mar19 hikes to go through, which in turn will further feed higher real yields, lower inflation expectations and maintain USD strength—all of which are negative macro factor sensitivities for SPX. Ultimately, these will lead to even tighter financial conditions, and adversely impact US growth- and inflation- data, which in turn will force the Fed to end its normalization cycle, in turn steepening UST curves as the “risk off” signal ahead of the next recession, which will officially begin some time in mid- to late- 2019.
The Global Industry Classification Standard (GICS) sectors are about to undergo a major reshuffle that will impact the Consumer Discretionary, Information Technology, and Telecommunication Services sectors. Combined, these three sectors
The markets are cautiously on buy for American stocks, and the dollar adds on fears that trade conflicts are seriously stifling the business sentiment in Europe and Asia. The MSCI Index of the Asia-Pacific region ex Japan loses 0.3%, Nikkei 225 decreases by 0.1%. Pressure on the European exchanges increased after the weak production PMI, indicating a negative impact on the economy of the USA trade disputes region. The dollar index had kept above the 95.00 level by the end of the day. The single currency is traded near 1.16, as at the start of trading on Monday, and the British pound lost 0.8% within a day for the same time to $1.2860. Pressure on Sterling intensified after the news about the decline in production PMI of the country to the minimum since the referendum on Brexit. Asia’s business activity is also decreasing on fears of increasing trade wars, which causes the outflow of funds from the stock markets and currencies of the region. The Indian rupee updates its historical lows to the dollar, and the Argentine peso lost more than 3% on Monday. The Turkish lira exchange rate did not change a lot on Monday, as the central bank of the country made it clear that it was preparing some measures to combat huge jump in inflation. In all cases, the central banks of developing countries are forced to tighten their policy by various measures, which will almost inevitably raise credit rates for companies and consumers and will slow the growth. PMI indices for Europe are also in decline, but are at a higher level, reflecting a robust growth rate, while in Britain and China the production growth is close to stagnation, and has been losing noticeably since the beginning of the year. The latest estimates for August on the United States will be published today, and we have yet to see whether they confirm or contradict the overall trend. According to previous estimates by Markit, the production activity in the United States decreases, but remains at a high level as in Europe. ISM estimates do not mark a certain trend for recent months. Maintaining a high rate of the economy growth despite the threat of trade wars and tightening of the monetary policy favourably distinguishes the U.S. markets from the rest of the world, creating an objective craving in the dollar and stocks. This draught can be intensified with the onset of autumn as the new fiscal year approaches.
Итак, если Конгрессмены не договорятся до 1 марта 2013 г., то выглядеть американское бюджетное секвестирование на 2013 фин. год будет следующим образом.Общий объем автоматического сокращения госрасходов = -$85,4 млрд.Из них:- оборонная промышленность: -$42,7 млрд. - не связанные с оборонной промышленностью дискреционные расходы: -$27,6 млрд. - не связанные с оборонной промышленностью обязательные расходы: -$15 млрд.Здесь еще вопрос в мультипликативном эффекте, т.е. эти $85 млрд. на самом деле обернутся куда большими потерями для экономики.Если все останется как есть после 1 марта 2013 г., то на 2014 фин. год. госрасходы ужмут уже на $109 млрд. На текущий момент настроения по поводу достижения компромисса во властных структурах Вашингтона не очень оптимистичные:Как видно, наибольший удар при секвестре понесет оборонная промышленность. При этом, 40% из $42,7 млрд. урезаний расходов на оборонку в 2013 фин. году. приходятся на 1 марта, т.к. шесть месяцев секвестра (сентябрь-март) ужимаются в один.Сокращения госраходов также коснутся следующих отраслей:Так ведет себя SPX при упоминании слова "Sequester"....хотя надо отметить, что скорее движения рынка пытаются объяснить этим словом, т.е. сначала есть движение в SPX, а потом уже СМИ раздувают эту тему.Show must go on....