Tuesday, September 18, 2012

Aqumin Volatility Newsletter 09/18/2012 $NUGT

Golden Times Ahead

This week is already feeling like zip is going to happen. No real volume, no real announcements and just a general lack of enthusiasm. Back in late June, I remarked on how listless gold had become (see the post from June 26th). And in fact the product I referred to, NUGT, hung around the 10 handle for the next two months. Things are a little different lately.

As you can see from the AlphaVision™ for Bloomberg realized volatility landscape below, NUGT was the equity ETF standout over the last week. As a matter of fact, most stocks did pretty well except for the volatility products. In this realized volatility landscape, the green stocks have short term realized volatility increasing over the last 30 days. It is not a surprise since the market has had pretty good sized up days in the last 10. Note how most of the market had much higher short term realized volatilities (all the green shown) NUGT by its short term nature is riding the gold miners to some near term highs for the name.

9-18-2012 12-43-30 PM

As in the early summer, most of these levered ETF’s have a hard time maintaining momentum once they race this far up (or down) ahead of everything. I would not be surprised If NUGT lost a little momentum going forward (although I have a hard time fading the gold rally). Maybe a name like NUGT would be best served with an upside trade that is still long but takes in some premium like an ATM butterfly. That should get us to mid-October when the ECB weighs in with yet another decision.

AlphaVision™ – data from Bloomberg

Read more from Andrew at Option Pit

No comments:

Post a Comment