A number of asset classes, e.g. US Real Estate, are leaving Bear Mode and moving into Recovery. For details see the Trend Mode Report.
Profit Protection Overlay – protect profits in
- EQ US Technology, $QQQ, roll #options MAR14 81 calls to MAR14 87 calls.
- EQ US Smallcap, $IWM, roll #options MAR14 107 calls to MAR14 115 calls.
For more PPO details.
The Variance Risk Premium for S&P 500 has surged ahead of the Fed-meeting. The cost of protection has increased without an increase in the realized volatility. For details see the report Variance Risk Premium.
Multiple new entrants in ‘Warning’ Mode and FI US Corporates joining other Fixed-Income asset classes in ‘Bear’ Mode. For details see the Trend Mode Report.
The Variance Risk Premium for S&P 500 is fast approaching the “Worry” zone. For details check the report Variance Risk Premium.
The realized volatility across many asset classes stays low. For details check the report Realized Volatility.
Calendar Backspread: SO sell JAN14 40 calls @ 2.65, buy FEB14 45 calls @ 0.25, ratio 10.2. Event P&L / Max Risk 11.7. Strategy details.
The action across asset classes has been muted recently – however – EQ US still supported and in overbought territory. Check out the Indicator ScoreCard for details.
Multiple new entrants in ‘Bear’ Mode among asset classes. For details see the Trend Mode Report.
The S&P 500 Earnings Revision Ratio has entered the U/N Quadrant. This is short-term positive for stocks. Check the report Earnings Revision Ratio Quadrant.