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Doin' It Bloggystyle: Volatility, Gold and Silver, Options Exodus

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Minyanville brings together the best of what they are saying "out there" about the topics we're talking about right here.

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Blogs themselves need no introduction, as they get as much publicity as pretty much anything these days, save maybe the latest Britney news. There's an expanding world of excellent financial blogs, covering just about everything, from global economics to swing trading. Minyanville's goal is to bring together the best of what they are saying "out there" about the topics we're talking about right here.


Yes, it's a "movement of the people", back out of options as the VIX drops a 9 spot. And Bob Marley songs are like potato chips: just try Youtubing up one without finishing the whole collection. Or something like that.



Holy Grail?
  • Historical Volatility is a calculated objective measurement of the degree to which a stock fluctuates--- basically its average daily range over some period of time (typically 30 days).
  • You would think in a bull market, the more volatile stocks would outperform to the upside (beta anyone?)
  • Think again. Larry Connors of TradingMarkets does a comprehensive study and concludes the reverse.
  • Connors runs a study from January 1, 1995 through the end of May this year using all liquid stocks (defined by volume) that traded. They were ranked on 100 day and 250 Day HV.
  • Click through above to see the charts. Here are the conclusions. Bottom line,"the stocks in the lowest 20% ranked by historical volatility outperformed the stocks with the highest volatility by a better than 2-1 margin 252 days later. And the stocks with the lowest volatility rose 74.5% of the time 252 days later, while the stocks with the highest volatility rose only 42.2% of the time, a significant difference."
  • So my first question reading this, what about the bubble and the flying beta? He answers that too.
  • "...if you removed the bubble period, the returns for the highest volatility stocks would be even worse. In reality, as poor as the results have been for the most volatile stocks, they'd be even worse without the 1998-99 bubble!"

Chart House

Educate Me

Ya Gotta Believe
  • Just trying to think of other ways the Mets can lose a game in the last week and a half. They have thought of most so far.
  • Baseball Crank with some lamentations.
  • Interesting tweak in the playoff format this year. The AL team with the best overall record can choose one of two playoff formats, the difference being an extra off day between games 1 and 2.
  • Implications? If effectively lets you use a three-man rotation and pitch the top two starters twice each on normal rest if the series goes 5. And it moderately lets you get away with fewer relievers.
  • So who wants what? I would guess Yankees and Red Sox like their #4 starters (Phil Hughes and Tim Wakefield) better than the Angels and Indians (Joe Saunders/Ervin Santana and Paul Byrd). Yankees certainly rather a matchup of #4's in Game 4 than a rematch of number 2's in Game 5 (Wang versus either his complete style clone Fausto Carmona or Kelvim Escobar).
  • The ALCS is stretched format also, so bottom line is you'll barely need anything beyond three starters and two relievers. Angels and Yankees seem to blow the others away with that, assuming the Joba Rules get relaxed.
Position in SLV.
The information on this website solely reflects the analysis of or opinion about the performance of securities and financial markets by the writers whose articles appear on the site. The views expressed by the writers are not necessarily the views of Minyanville Media, Inc. or members of its management. Nothing contained on the website is intended to constitute a recommendation or advice addressed to an individual investor or category of investors to purchase, sell or hold any security, or to take any action with respect to the prospective movement of the securities markets or to solicit the purchase or sale of any security. Any investment decisions must be made by the reader either individually or in consultation with his or her investment professional. Minyanville writers and staff may trade or hold positions in securities that are discussed in articles appearing on the website. Writers of articles are required to disclose whether they have a position in any stock or fund discussed in an article, but are not permitted to disclose the size or direction of the position. Nothing on this website is intended to solicit business of any kind for a writer's business or fund. Minyanville management and staff as well as contributing writers will not respond to emails or other communications requesting investment advice.

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