Travel to Financial Success

Figure 1.  SKEW Index vs SPX Index In [1], it states that: Note the recent move lower in skew . Downside protection has become cheaper in terms of volatility (relatively speaking). Are we looking for a similar set up to the one we saw in September? Is Santa still alive? What's SKEW Index? The SKEW index is calculated using S&P 500 options that measure tail risk—returns two or more standard deviations from the mean—in S&P 500 returns over the next 30 days . The primary difference between the VIX and the SKEW is that the VIX is based upon implied volatility round the at-the-money (ATM) strike price while the  SKEW   considers implied volatility of out-of-the-money (OTM) strikes . SKEW  values generally range from 100 to 150 where the higher the rating, the higher the perceived tail risk and chance of a black swan event . A  SKEW  rating of 100 means the perceived distribution of S&P 500 returns is normal and, therefore, the probability of ...

Santa Claus Rally  A Santa Claus rally is a jump in stock prices, observed in the final five trading days of the year, typically starting a day after Christmas and going into the first two of January. Historically, this seven-day period has brought good news for investors, giving them another reason to cheer during the holiday season. [1] Why is that, you might ask? Here are some thoughts: [3] Some suspect that the Santa Claus rally is a result of general feelings of investor optimism around the holidays . Others point to the fact that many institutional investors , who tend to be more pessimistic about the markets, go on vacation around the holidays and leave the market to retail investors who are often more bullish . Other explanations include the investing of holiday bonuses, lower trading volumes around the holiday season, end-of-year tax considerations for institutions and holiday consumer spending boosting sales . Moreover, some say that the Santa Claus rally is a result...

In an article named  Time to chase laggards? published on zerohedge.com website on 12/19/2021.  It asks a good question whether it's time to chase the laggards in the stock markets now.  One of laggards (i.e., it has performed very poorly lately) mentioned in the article is: hedge fund concentration (i.e., GSTHHVIP and GSTHVISP) Note that if a stock is on the "VIP" list, it means that a lot of hedge funds own it and if a stock on the "Most shorted" list, it means that a lot of hedgies hate it. Figure 1.  GSTHHVIP vs GSTHVISP (Source:  Goldman Sachs ) Goldman Sachs Hedge Fund VIP Index In [1], it describes the methodology for the Goldman Sachs Hedge Fund VIP Index: The Goldman Sachs Hedge Fund VIP Index (the “Index”) is owned by Goldman Sachs Asset Management L.P. (the “Index Sponsor”).  The Index is calculated by Solactive AG (the “Calculation Agent”).  The Index consists of hedge fund managers’ “Very-Important-Positions ,” or the US-listed stocks w...