Aqumin Volatility Newsletter 04/19/2012 - $KIM, $BXP, $PLD, $AVB, $SPG, $PNC, $C

Are the Financials moving in sync?

The Euro Zone is going to stay with the US Equity market for the foreseeable future. If anything, I think there is a dampening effect on whatever good news comes out of the economy. The issue now really is that the Euro Banks can no longer afford to put on the easy carry trade that the ECB made available and that the global bond market will have to suck up all of the available debt the PIIGS produce. As of today they want real money to loan money. How is that affecting the US Financial Stocks? Take a look below.

The AlphaVision™ for Bloomberg Landscape I am using is the standard IV30 – HV60 view. This is essentially my view for judging direction on the VIX and the other volatility products to see how much “weight” there is in the implied volatilities overall. The darker green buildings just mean that the IV is priced much higher than the individual names have been moving over the last 60 days. As we move into earnings season, this make sense (especially for Tech in the foreground) since most implied volatilities get bid up prior to earnings. As you look at the Financials in the S&P 500 they do not look out of the ordinary. Actually Citicorp “C” is looking darn right cheap right now post earnings on a relative volatility basis.

Zoom in below to see a detail of the Financials and I think something interesting is revealed. Note how all of the Financial REITS were up for the week while most of the money center banks got whacked (save for C and PNC).

This still reflects the situation in Europe even though most banks in the USA are probably avoiding European Debt for now. If the Property REITS are seeing a rebound with nothing untoward in implied volatilities, I think that bodes well for them moving forward. This might not be a bad time to pick up some of the better financials names that have already reported. If the property names can catch a bid, the banks that loan them the money are sure to follow.

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Aqumin Volatility Newsletter–04/05/2012 – $AIG

A Little Irony

How the worm turns. After 20 years+ in the securities business it never ceases to amaze me that if you wait long enough (or can hold out) things can turn around. On a day when the latest Euro story threw cold water on our volatility crushing rally the big winner was, wait, AIG. Oh well…

Take a look at my AlphaVision™ for Bloomberg VWAP Landscape built by Aqumin’s Jason Javarone. This is my favorite way to watch daily activity. While I have up the major indexes I find that this landscape tells a better real time story in that stocks trading above VWAP show momentum higher (stocks on the bottom show negative momentum). At the end of the day (Wednesday) this is what a Sub Industry landscape looked like. These are most of the stocks that trade options and if they are green they are also up on the day. If they are dark green they are closing up 5% above daily VWAP. This is a great way to get market depth and way beyond what you can glean from traditional 2D heat maps.

On a day when the issue is really dominated by credit (or lack of easy credit for the Spanish) it is refreshing to see where money is actually flowing. It is flowing into the husk of the company that nearly took down the financial system. Also noteworthy in the news is that the big jet leasing facility, ILFC, a part of AIG, is getting better rates than the sovereign nation of Spain. Maybe AIG is not such a bad bet anymore and even Uncle Sam might break even on it.

 

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Aqumin Volatility Newsletter 03/28/2012 - $AMZN $AAPL $PFE

Window Dressing

Ah, the end of a fat quarter for equities. The naysayers are going to have to re-establish new higher levels to short as most of them got plain run over. The VIX is hanging stubbornly around 15 which I view as the Goldilocks Level, not too hot and not to cold. For the most part April volatility is cheap on a yearly basis as individual equity volatilities are back to or below pre-crisis levels. As the 1^st quarter winds down to remind folks that stocks can go higher, I have a nice view to point out.

The view below is just the standard AlphaVision™ Landscape for Bloomberg that shows real time price change and market capitalization. Fat buildings have larger market caps and skinny buildings have smaller ones. The green stocks shown here were up yesterday. Wow it is a big deal, right? Except I get to see all stocks that trade options in real time. I get what is on my Watch List plus the market. On a dead day yesterday where the liquidity was bone dry I did notice some nice market patterns. One, the smaller caps are still showing some strength into the quarter end and two, there were a few big cap names up on the day. These I will call the Window Dressing stocks.

On a slow day most of these big name gains would be lost under all the bigger gains of the small caps on a downloaded list. This way it is easy to see the pile on toward the quarter end in AMZN, AAPL (big surprise there) and PFE.

For now the Implied Volatilities are relatively cheap in these names and a flyer on some long call spreads into the quarter end might not be a bad idea. All the money sitting on the sidelines in Q1 2012 will have to dress the pig somehow, so take the little cue early on in the week.

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