NYSE

[Императорът]

БиТиВиту напоследък ежедневно ни информира за Дау. По информация от преди 2 минути - вчера паднало с 4%, но днес е възстановило 0.5%. Гледам си платформата...... Мъка, мъкааааа Мноу са зле

Да - сега говорят... а когато пазарите растяха здравата, водени от могъщата десница на Доналд - не казваха нищо.

Няма проблем - Евро финанс най-после ремонтират платформата (дано понеделник вече да работи) - и ще мога да се нагувича с туй-онуй.

[Наивник]

БиТиВиту напоследък ежедневно ни информира за Дау. По информация от преди 2 минути - вчера паднало с 4%, но днес е възстановило 0.5%. Гледам си платформата...... Мъка, мъкааааа Мноу са зле

[the architect]

За бога мишок Каква е причината за тези борсови спадове

[Money]

Бил е добър момент за взимане. А и пазара тогава се възстановява за има-няма две-три години.

FNN Market Wrap - 10/19/1987

[Minka]

FNN Market Wrap - 10/19/1987

[pipbel]

https://seekingalpha.com/news/332981...-soft-guidance

Eто на това се надявах, затова само 1/4 от предвиденото съм напълнил досега.
ффо зa 2018 намалени на 4$, ма все пак на премаркет цена от 49.6 са си p/ffo ot 12.4 при 6.37% диви доходност.
Надявам се малкия да е доволен след време, а може и да падне още цената насетне - още по доволен ще е.

[Protokol]

[QUOTE = Императорът; n3296354] Пак ли ще ни бият? : (: (: (: (: (: (: (: ([/ Цитат]
Днес сме на зелено, щото лабавите мечки ще кешират печалбата ....

[Императорът]

Пак ли ще ни бият?

[pipbel]

Спадовете от върха са вече двуцифрени.
Преди 2г корекцията май към 12% беше, не сме далечко, ма200 на спайчо е на 1.7% само...

Ticker	Gain%	RSI
EEM	-12.27%	33.8
DIA	-10.24%	30.24
QQQ	-10.23%	32.72
SPY	-10.10%	28.44
VGK	-9.25%	31.65
TLT	-3.96%	29.88
EMLC	-3.03%	42.36
IAU	-2.47%	47.6
TIP	-1.34%	30.56

[Tkilata]

Mr Rattray said that the rise of volatility-linked products had resulted in a distortion of the Vix index as a reliable indicator of market risk, and inadvertently created more risk for risk models that relied on Vix as an input.

“I think the Vix is being used by banks as an important input into models for risk management, credit spreads, bid-ask spreads. The fact that is has been wired into all of these ways of measuring risk is worrying to me,” he said.

Това е малко по-различно, от вчерашните анализи на квант отдела на Кредит Сюиз.
Честно казано не знам как те не са го забелязали
Въпреки, че банката им управляваше един от фитилите.

Тамън някой ще допише тази статия в уикипедия, че нали знанието вече там:
https://en.wikipedia.org/wiki/Feedback

[Money]

“You have an incredibly active market now in Vix futures, and now the market is clearly moving Vix itself. You have potential for a circular system. Something changed on Monday. If anybody doubted that . . . I don’t think they will doubt it now”.

[Money]

Mr Rattray said that the rise of volatility-linked products had resulted in a distortion of the Vix index as a reliable indicator of market risk, and inadvertently created more risk for risk models that relied on Vix as an input.

“I think the Vix is being used by banks as an important input into models for risk management, credit spreads, bid-ask spreads. The fact that is has been wired into all of these ways of measuring risk is worrying to me,” he said.

[Money]

Опашката сграбчи кучето и почна да го мята из стаята...



Sandy Rattray, who jointly devised the formula to trade futures contracts tied to the Vix back in 2003 when working at Goldman Sachs, said products that allow investors to trade volatility could be creating a “circular system” of measuring risk in financial markets.

“If the tail was wagging the dog before, you didn’t notice very it much. What happened on Monday was the tail grabbed the dog and gave it a swing around the room,” said Mr Rattray, who is now chief investment officer of London-based Man Group, which runs some of the world’s largest systematic trading funds. “The Vix has moved from being a measure of something to being something that influences this thing it is trying to observe”.

[pipbel]

Абе минус 20%, ама все още е 30.
Според мен преди да паднем ощe 100% на 15-20 със стабилен тренд надолу нови върхове няма да има. Дотогава - whipsaw market.

Мдаа, много ефтинко би било да минем само с едно V и после пак иху.
Поне W се заформя, а може и няколко поред...

[Money]

Take Junk over Vix

The quant team at SocGen spent last month coming up with a great new measure that could help time drawdowns of the S&P 500. It worked beautifully and would have forecast what just happened. But to the chagrin of Andrew Lapthorne at SocGen, they did not get around to publishing it until this week. Such is life.

The nub of their argument is that the volatility of low-quality (as in poor balance sheet) stocks, and the volatility of high-yield bond spreads were a better indicator of a coming drawdown than a rise in the Vix. When investors get particularly nervous about the junkiest companies in their universe, in other words, it is a sign of trouble. And indeed, when the volatility of the worst quality companies in both equities and bonds is highest, equity drawdowns tend to follow. The Vix offers no such signal.

***

When interest rates rise it seems obvious that the weakest business with the greatest amount of debt should fall before the strongest. So while the initial reaction to a rise in bond yields may be to sell lower beta defensive/higher dividend yielding business, eventually as the potential pain from higher rates becomes more acute, then selling balance sheet risk and then ultimately the equity market altogether will become the greater priority. So it also seems intuitive to focus on the performance and volatility of the weakest segment of the equity market for signs of stress and not the aggregate market which is often biased toward the biggest, most profitable and usually better financed organizations. To that end, we have focused our attention on the performance of the red lines in the two charts below. The argument being that if the share prices of weak companies start falling, not only does it exasperate the problem by increasing implied leverage, but also it could be an early indication of investors becoming balance sheet risk averse.