The Airport Trade was famous in the 90’s when a floor member, I think it was the CBOT, put on a huge position and left for Brazil. If it worked out, he came back and if it did not he became a new Rio resident. Never came back.
Dashing off on a trip now (no crazy open positions) and I am reviewing the post I did for TheStreet.com today and I noticed a pretty solid undercurrent in Historical Volatility in Aqumin’s AlphaVision Landscape (www.aqumin.com). In general I use the landscape to look for a trading opportunity in real time. Given all the market activity, what looks interesting? Sometimes a longer term trend might appear that is just a consequence of how the data ended up being arranged in a particular view.
Looking at a standard list of two week historical volatilities might not look too exciting. But in AlphaVision™, with the added dimension of relative movement something shows up. The red/white buildings are all names in the top 500 Market Cap stocks and ETF’s trading near or below 37 volatility on a 2 week basis. The 37 volatility number is not that significant, but since I have been watching that is now a good chunk of the market trading down there and corresponds to the lower VIX numbers. Notice most of the tall buildings are red. The building height is the absolute value of an underlying move as a percentage of 1 Standard Deviation. All this means is that tall buildings are moving more than their volatilities imply. Notice how most of that action is bunched in the lower volatility names. The name I selected, Tata Motors, stands out as a volatile name not moving as a point of reference.
Andrew Giovinazzi
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