Egypt has not dominated the headlines like this since Anthony and Cleopatra hooked up. For all of the unrest I think it is going much better now than for the Egyptians back in the day. For selfish reasons, all I care about is what the noise does to the market for option volatility. That is what Aqumin’s AlphaVision (www.aqumin.com) is good at ferreting out.
What I have selected is the Debt Fund sector for reasons I will explain in a minute. Flight to quality is always the game when global tensions notch up a bit. That is totally understandable. What surprised me is the giant yawn that this democratic rollover in the Middle East caused. The View below is a combination of 1 Week change in 30 Day Implied Volatility (height) and a 1 Week Change in the price of the underlying (color and order). For a leveraged name like the TMV (Direxion Daily 30 yr Treasury 3x Bear ETF) that meant up 1% for the week and the 30 Day Implied Volatility up a whopping 1.8 pts on a 40+ Implied Volatility number.
To me that means the market is taking the news on Egypt well and portends good things (generally bullish) down the road. Another thing to note in my very unscientific rambling, the color variation over the last week you see a lot of red and green. Stocks are not moving in lockstep recently and the equity correlations, at least on a casual look, seem to be dropping. Maybe we start looking at fundamentals again in equity prices. It is about time.
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