Third Quarter

Thurs, Sept 17, 2015: We just let it ride. The past two weeks jostled with volatility until VIX expiration this past Tuesday, with Quadruple Witching tomorrow.

Half the hedges are deep in the money, with the out of the money side zeroed, so it will be anybody's guess as to how tomorrow will end. The last hour of trading gave up over 20 S&P Handles.


Thurs, Sept 3, 2015: It's a wild whipsaw ride. The hedge metric has changed because the second order derivatives of volatility are more variable, leading to wild swings.

It has wobbled from 5 to 2 billion on the YTD in a matter of days. Different sides of the traditional hedges are even disconnected more, like they are trying to shake us. They can't believe how futile it is, resorting to fraud with real money. We have a front row seat to it all.


Mon, Aug 31, 2015: The S+P lost big since just before last options expiration. The hedge balance fell apart as the ratio became variable. The short side became quite crowded as the volatility rose to more traditional, and even unprecedented levels, with VVIX topping 211.

 

 At one point, we were over 4B YTD, but lost it all in the crash. The normal hedge balance has not returned.

Thurs, July 30, 2015: There was the Fed meeting minutes with no press conference, and it ended flat yesterday.

We no longer have that silly N/A on the VIX. Boring. We are now half way to the quad witch of September. Yawwwwn.

I am amazed at the complacency that sets in with extremely complex ventures, such as the Apollo Missions. By 13, nobody even watched, a mere 10 months after the First Lunar landing, the greatest achievement of mankind. They did not even carry the telecast on the networks prior to the explosion. Perhaps this is like that; The next Fed meeting may restore time value of debt at inception. Now the S+P is in a lazy inflationary residual climb, close to a top. Perhaps this is the calm before the storm of forced growth, and return to reality of stock valuations sans inflation.