With this the last post of the Aqumin Volatility Newsletter for 2011 I thought it would be appropriate to start by thanking my growing readership. You should be seeing more from Aqumin in 2012 as our 3D quote space starts to take off. My hope is that you found the broad market and dynamic scanning useful for trading in 2011.
Now for today, with worries about tomorrow’s Sovereign Bond offerings shaking things up, investors are taking a breather. The low liquidity is bouncing the market around as these Euro nerves cannot quite go away (even though we have seen huge drops in Implied Volatility over the last month). To end the year I will go to one of my favorite landscapes to identify unusual underlying activity, HV10 less HV30.
The data screening technique using the 3d landscape is one of the best features of using a product like AlphaVision for Bloomberg. Just set up your data space and let the landscape uncover items of interest. Color and order for this landscape are just HV10 (trailing 10 Day Historical Volatility) less HV30 (trailing 30 Day Historical Volatility). A dark green building has very active near term movement and a red building has very small near term movement. I have set that up against 1 week total return for height to see if the stock is just a one direction train or big daily moves up and down but net close to flat for the week. I have two names selected below, AM and AGQ.
AGQ is the levered bullish Silver ETF. The data print was actually bad here on the height (AGQ is not down 60% in a week) so I will pass on it. But note for many of the metals the declining price and underlying volatility. It feels like money is bailing from these metals-type names at the end of the year in a steady, sustained fashion. American Greetings (AM) just reported lower earnings and margins and they have pounded the name down on a drop. The other big drop was in SHLD (which I wrote up for TheStreet’s Options Profits). The funny thing about AM is that recent articles in the WSJ had reports of great paper sales which I guess is coming after the Nov 25th closing period for AM. Maybe this is a time to scoop up some of this stock for a nifty buy write candidate. Might make a nice present come February.
Best Wishes on 2012 and Happy New Year!