Forwarded this email? Subscribe here for more Stocks Mixed And Volatility Higher Last Week Saturday Review For Week Of May 27, 2024 - May 31, 2024 RUSSELL RHOADS, PHD, CFA JUN 1 A late Friday recovery in stock prices managed to keep the S&P 500 (SPX) and Nasdaq-100 (NDX) from having a more disappointing week. The late day rally also managed to put the Russell 2000 (RUT) in positive territory for the week. Despite Friday’s final hour rally, volatility indices rose on a week over week basis. Shorter dated VIX futures followed the spot index higher but did not rise as much resulting in some flattening of the short end of the curve. Farther dated futures were slightly higher, except for the January contract which was down a whopping 0.025. The short volatility ETPs were down on the week with SVIX as the biggest loser down just over 3%. Despite the drop, SVIX is about 2 points below its all-time high. The big winner was the 2x long UVIX gaining just under 5%. For the year, SVIX is now up 20.65%, while UVIX has given up 53.61%. The volatility oriented ETPs are volatile instruments which results in options on these products offering high premiums for out of the money contracts. For instance, on Friday a trader sold 400 SVIX Jun 21st 25 Puts for 0.25 each. At the time SVIX was at 43.90 so a drop of over 43% is needed in three weeks for this trade to be in danger. European expected volatility in the form of VSTOXX was also higher last week as the Euro Stoxx 50 lost just over 1%. The front month future rose 0.60 while spot was up about 1.55 resulting in the two closing within 0.12 of each other. Farther dated futures were all slightly higher with January losing 0.05, mirroring VIX action. Short dated index straddle selling performance was mixed. SPX straddles underpriced the subsequent move all by one day last week resulting in a net loss of around 10.00 points. NDX straddle pricing was overpriced two days and underpriced two times. The net result was a good week, based on NDX being down only 0.01% on Friday. Straddle sellers, if they stuck with Friday’s short position yielded over 80.00 points in profits. The final US market we follow, RUT, was overpriced for two days as well, however straddle sellers experienced small losses. Euro Stoxx 50 straddles experienced a loss in the first three days last week. They finished out the week making profits, but not enough to overcome Wednesday’s disastrous result. Finally, DAX straddle pricing followed the Euro Stoxx 50’s lead with losses to start the week and a terrible Wednesday result. However, the net result was a gain of 2.60 points after Thursday and Friday came through with back-to-back gains of over 70 points.
The NQ fell 400 points in 3 hours. I looked at hourly charts since the beginning of the year, and that's only happened a handful of times (in either direction}, even with all of the volatility we saw in April. (I had fo gotten about Fed day on May 1st. Wow.) That's a boat load of volatility in such a short time. And since the eod rally had some 40 point moves which happened IN ONE MINUTE, I guess folks were still willing to pay up for some options.
%% SPY down for the week again\ still above the 50dma/. SQQQ up for the week or down a few centsLOL. Almost lunch time . Some buy MCD , Big Mac, but that will take more than few cents profit; unless someone pays asking price/ Panama Penny = $986,000.00