CBOE EQUITY OPTION VOLUME: 40% HIGHER FRIDAY & 1SD ABOVE 3M AVRG
CBOE Equity Option Volume:
1. Total Equities Option volume now trades above all moving averages and is currently 1 deviation above the 3 month and 1 month average - we moved 40% higher on Friday post yellens hawkish Jackson Hole Speech, from 1700000 to 2500000.
- Though we remain about 40-50% below the "risk-off" shift levels that we usually see in a firm bear market (Brexit and Yuan deval/ Feb sell off levels trade at 3700000)
2. This is important as increasing equity options is highly correlated with risk-off markets (as investors increasingly turn to derivs to hedge their long cash exposure) - watching closely for another 40% move higher, which is easily possible given Fridays move as this will likely signal the start of the september sell-off that I have been expecting.
3. Short SPX is my view on any rallies into 2180 this week - looking to double my position here.
Questions, Comments and Likes encouraged!!
1. Total Equities Option volume now trades above all moving averages and is currently 1 deviation above the 3 month and 1 month average - we moved 40% higher on Friday post yellens hawkish Jackson Hole Speech, from 1700000 to 2500000.
- Though we remain about 40-50% below the "risk-off" shift levels that we usually see in a firm bear market (Brexit and Yuan deval/ Feb sell off levels trade at 3700000)
2. This is important as increasing equity options is highly correlated with risk-off markets (as investors increasingly turn to derivs to hedge their long cash exposure) - watching closely for another 40% move higher, which is easily possible given Fridays move as this will likely signal the start of the september sell-off that I have been expecting.
3. Short SPX is my view on any rallies into 2180 this week - looking to double my position here.
Questions, Comments and Likes encouraged!!
1. Option Volume unable to hold up, inline with VIX trading lower and forward IV pulling back also.
- May have to wait for Friday again (jobs report) to trigger the full risk-off shift.