Wann und wie kommt der nächste Crash? (Seite 23)

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17.11.
Record Options Trading Shows Jitters Before $2 Trillion ‘OpEx’
https://finance.yahoo.com/news/record-options-trading-shows-…
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“We did see a lot of recent interest by call buyers and short-covering,” said Steve Sosnick, chief strategist at Interactive Brokers LLC. “One can argue that leaves us a bit more exposed to a down move, but the mood generally remains hopeful. That’s why Fed governors feel the need to continually remind us of their resolve to fight inflation.”

While it’s not easy to get a clear picture about investor positioning in options, dislocations create opportunities for traders.

Easing interest rate volatility will help the equity market stay contained, according to Goldman’s Fishman. He recommends buying puts on Cboe Volatility Index, or VIX, to bet on potential calm into the yearend. The Cboe VVIX Index, a measure of the cost of VIX options, sat below its 20th percentile of a range in the last decade, an indication of attractive pricing, per Fishman.

“Low skew and vol-of-vol point to diminished concern about tail risk,” he wrote in a note.


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Skewness (third moment of a distribution) characterizes departure from symmetry:

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10.11.
Stocks Reap Double-Digit Returns After Inflation Peaks, History Shows
https://news.yahoo.com/stocks-reap-double-digit-returns-1705…

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5.11.
The Fall of Big Tech Is Boosting Stock Quants on Wall Street
https://finance.yahoo.com/news/fall-big-tech-boosting-stock-…
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With rising interest rates spurring an abrupt end to the leadership of Big Tech, the largest technology companies are wielding less and less power over broader indexes, as former high-fliers like Meta Platforms Inc. and Amazon.com Inc. crash anew in the latest wave of selling. Reversing the extremes of the cheap-money years, the capitalization-weighted S&P 500 hit the lowest versus an equal-weighted version of the benchmark since 2019.

All this is a boon for so-called factor investors, who dissect equities according to their math-derived traits, from how cheap equities look to how fast they’ve risen. These funds are typically underweight the tech megacaps and have a propensity to spread out their exposures, a favorable setup in this era of improved market breadth.

In 11 of the last 13 sessions where the S&P 500 has dropped more than 2%, strategies beloved by factor funds like value, quality, momentum and low volatility have all made money, according to Dow Jones’ market-neutral indexes.

“You got a much more diverse opportunity set that allows for more factors to come into play,” said Sean Phayre, head of quantitative investments at Abrdn Investment Management. “Previously 2019, 2020 was a very one-dimensional market.”
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Meanwhile, 87% of high-momentum firms have beaten earnings expectations this season, compared to 70% of the S&P 500, per Harvey. These winning names are also getting rewarded more for good results and punished less for bad ones.

The value strategy of buying cheap shares has also seen another bump with rising rates driving investors away from stocks with high multiples. Meanwhile the low-volatility trade is shining as steadier stocks like health-care names win out.

These trends have only intensified lately with American heavyweights like Amazon, Alphabet and Microsoft posting disappointing earnings -- a big turnaround compared to the unbridled tech optimism of the low-rate era.

“The single dimension that was driving those names to excess returns -- that model is somewhat broken,” said Phayre at Abrdn. “Come 2021, 2022 there’s a realization there’s going to be some form of payback for all the cheap money.”

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7.11.
Midterms are 'seasonally bullish' for markets; A Republican Congress would create beneficial 'deadlock' - Bill Baruch
https://www.kitco.com/news/2022-11-07/Midterms-are-seasonall…
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“If the Democrats win this election, and I don’t think they will… then there’s likely to be more spending, which could lead to higher yields,” he said. “I don’t think that’s going to be the case, so I’m pretty bullish right now.”

He added that election season is “seasonally bullish” for markets, based on historical data.

“Historically, it’s the most seasonally bullish time of year,” he explained. “For the period of six to nine months or so after the midterms, that’s when you want to be buying… but you’ve got to see Republicans take some seats.”
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4.11.
BofA Says Rush to Cash Is Now at Fastest Pace Since Pandemic
https://finance.yahoo.com/news/bofa-says-rush-cash-now-09230…

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As October winds down, it’s time to apply a tactic that’s as close to a “sure winner” as you’ll ever find in the stock market: Shop for stock bargains created by tax-loss selling.

Mutual funds have until the end of October to realize losses they need to offset their winners. Buying good names that they annihilate is consistently a winning tactic, particularly in dismal market years like this one.

Since 1986, in years when the market was down for the year through October, tax-loss-selling candidates beat the S&P 500 SPX, -0.45% 100% of the time during November-January, notes Bank of America. They beat by 8.2 percentage points on average, says the bank.

Otherwise, for all years they outperform 70% of the time, beating the S&P 500 by 1.8 percentage points, says Bank of America in a note written by quant analyst Savita Subramanian.

One wrinkle: These names can lag a bit in December, the month individual investors focus on their tax-loss selling. But that seems like an opportunity to add to positions because those names more than make up for it in January.
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31.10.
Opinion: This seasonal investing strategy is 100% accurate in the past 35 years...
https://www.marketwatch.com/story/this-seasonal-investing-st…
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mutmaßlich pimpt nun meiner Meinung nach die Biden-Administration den U.S.-Aktienmarkt bis zu den Midterms-Wahlen (November 8, 2022). Wie damals die Trump-Administration:

Zitat von faultcode: zur Erinnerung: die U.S. Treasury beendete den "Corona-Crash" 2020 seinerzeit mit Mitteln aus dem Exchange Stabilization Fund:

Zitat von faultcode: das noch dazu, wie z.B. der $QQQ (mitten im "Corona-Margin-Calls-Crash"/FC) drehte nach dem Einsatz von Mitteln aus dem Exchange Stabilization Fund's:




gut, könnte man nun sagen, die Bank of Japan, wie auch eben die Treasury, haben sowas schon lange gemacht.

Dennoch: viele Hedge Funds, gleich mit Büro in relativer Nähe zur New York Fed, waren eben damals von der raschen Markterholung, und für den Rest des Jahres 2020, überrascht worden:

22.04.2021
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Siehe auch nochmal:

23.9.
Biden administration watching stock market closely as equities drop, spokeswoman says
https://www.marketwatch.com/story/biden-administration-watch…


Exchange Stabilization Fund (ESF): https://en.wikipedia.org/wiki/Exchange_Stabilization_Fund

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Antwort auf Beitrag Nr.: 71.943.321 von faultcode am 08.07.22 14:27:58

Zitat von faultcode: ...
8.7.
How Retail Option Traders Have Lost $1 Billion During the Pandemic
https://www.bnnbloomberg.ca/how-retail-option-traders-have-l…
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22.10.
Retail investor portfolios down 44% year to date
Higher borrowing costs make more speculative companies less appealing
https://www.ft.com/content/406f65f9-8cf3-416f-9171-ea7b8da03…
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Retail investors are nursing steep losses this year, leading many to shun individual stocks in favour of funds that track the biggest high-tech companies on the Nasdaq in the hope of clawing back losses.

Personal portfolios in the US fell 44 per cent between early January and October 18, according to data compiled by JPMorgan Chase, in a reflection of the acute pressure applied to highly valued equities by rising interest rates and a darkening economic outlook.

“Retail investors have been conditioned to invest into growth categories,” said Jose Torres, senior economist at brokerage IBKR. “But as the money supplies contracted, there’s less liquidity driving up asset prices.”
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17.10.
One Trading Strategy Is Winning Big in This Nasty Year for Stocks
https://finance.yahoo.com/news/one-trading-strategy-winning-…
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The thinking goes that the winners and losers in the S&P 500 have become more pronounced in a world where corporate fundamentals matter. But index volatility is proving less severe, as price moves of its constituents offset each other, while demand for hedges remains muted due to low investor positioning.

For whatever reason this short-index-long-single-stock-volatility trade is working and may prove particularly lucrative this earnings season. The likes of PepsiCo Inc. and JPMorgan Chase & Co. have been posting notable gains after better-than-expected reports while disappointments such as Morgan Stanley are getting punished.

“We haven’t seen any panic protection buying that will drive volatility much higher,” said Daniel Danon, managing director at Assenagon Asset Management, whose Assenagon Alpha Volatility fund is up 12% this year. “So your short leg is helping your long leg to perform.”

The VIX, which tracks the cost of S&P 500 options, has stayed at elevated levels relative to its five-year average, but it’s yet to revisit 2022 highs of above 35 points. At the same time individual members in the S&P 500 have been moving the most since the global financial crisis, according to Societe Generale SA.
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Yet going forward, the big challenge for dispersion traders is hiding in plain sight: Supersized Fed rate hikes risk causing a sudden collapse in economic growth that may in turn spur a big jump in index volatility.

Still for now, institutions appear to have little appetite for adding market hedges, according to Michael Purves, founder of Tallbacken Capital Advisors. He recommends betting on the VIX to fall till the end of the year.

“Perhaps yields can creep higher, but not in a shocking way the way they did when they pierced 4% in September,” he wrote in a note. “Markets appear to have processed the notion that there is little doubt that a Fed pivot is not close at hand.”

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Antwort auf Beitrag Nr.: 72.462.240 von faultcode am 24.09.22 20:51:01

Obacht auf der Short-Seite (2):


https://twitter.com/zerohedge/status/1582180439359246336