914 days without a 2% move up or down on the major indicies (though Nas almost made it today) I think we will get one very soon. I added more ES and NQ puts today and may get the opportunity to add more tomorrow but the next two weeks will probably see some tradable moves down going in to large options expiration on the 19th.
I have to find that number, I think the 914 days on the 2% move may be correct, as for how many days from the last 1% move on the s&p, that has to be searched.
Old Vic Niederhoffer is lovin this stat....with his naked short put strategy....he was "semi-burned" in May, but I understand he has come back with a vengance.
If there is going to be a 2 or even 3 percent down move next week is as good of time as any. At some point option sellers are going to get smoked again.
My theory is that someone has figured out how to game the big black boxes using the indexes. It will work great until they get turned off as they are losing a ton a money. Then the fun begins. The other theory I have is that there is a lot of fear in the markets but it is not fear of losing it is fear of not making the return that you need. This is the fear that fuels the dip buying. For many of these funds lagging the market in returns is almost as bad as blowing up so they all just go for it, after all they are probably out of a job wether they lose all OPM or just have a very weak return relative to their peer funds. The last 6 months have been just awesome riding this wave but at some point the buying power is not going to be there to keep the game going. http://www.hussmanfunds.com/wmc/wmc070102.htm Contrary to popular assertions, the recent advance is emphatically not the result of an ocean of âliquidity.â The rate of money growth has slowed considerably both domestically and abroad, particularly on an inflation-adjusted basis. Mortgage equity withdrawal is also slowing. Foreign central banks continue to tighten. What we're seeing is not liquidity, but risk-blindness.
Remember that 12% one day up move on the Nasdaq in 2000? That's when Greenspan lowered the rates 1% during an emergency meeting because of the 2000 market meltdown. The 12% gain didn't last very long. 2000/2001 had a few 100+ point Nasdaq moves up and down.