Friday, July 13, 2012

Aqumin Volatility Newsletter 07/13/2012 - $CORN

Head High CORN?

For the most part the market seems kind of listless looking for a direction, even maybe finding one today with the volatility indexes coming in. The Europeans have succeeded in extending their problems for the foreseeable future and the US is waiting for earnings to start coming out. Either way it is a recipe for not much to do as we move into next week. What was moving this week?

As I look at the AlphaVision™ for Bloomberg Landscape I see the stand out activity by monitoring 1 week total returns (how tall the buildings are) and for rising volatility I organize color so the dark green buildings show 30 Day Implied Volatility running over the 60 Day Realized Volatility. The idea being a big move accompanied by a run up in volatility should say something. Most of the health care stocks in the foreground (read biotech and drugs) show these kinds of moves. It gets a bit more interesting when the ETF’s do. Take a look at CORN.

7-13-2012 3-20-12 PM

CORN, when I snapped this on the close, was one of the biggest rallying ETF’s with a large premium in IV30 this week. Usually that means the market, and paper, is piling in. What I thought more interesting is after the crop report CORN (the Teucrium Commodity Trust for Corn) bounced and rallied today. Maybe it has more to go. ATM call spreads in August should do the trick.

Read more from Andrew at Option Pit

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