There are lots of reasons I am doing that. Among everything else, the most direct one is I will not be able to access the market from Thursday for a while. I believe it's time to cash out and wait for the next opportunity. I cannot see anything big. Maybe a small correction to 1530 area. Me is going to check back when I get chance.
some readings.
Yes, We’re Confident, but Who Knows Why
by Dr Shiller, of Shiller and Case Index.
Collective Intelligence! From MLCO: "As of close on 8 Mar 2013, the S&P 500 front-month (15 Mar 2013) option contracts have a$211.0 billion delta (exercise probability) weighted open interest towards calls. This is the largest call imbalance we have seen one week prior to a triple witching option expiration since our data began in September 1997. Large call imbalances have historically produced positive returns for the S&P 500 over the option expiry week."
An account just bought to close the Mar 1500 calls to sell the May 1550 calls 8k times. This created approx $600m notional deltas to buy, helping to push us higher here. Recall that 11 of the past 14 expiration weeks have finished the week higher, mainly attributed to overwriting flow providing a bid to the market - posted at (12:42CT) 1249.50 high in the SPM.
“Market Wizards” Marty Schwartz aka Pit Bull: Trading rule, look for a low the Thursday/Friday the week before the expiration. This week's scheduled economic/events calendar should be the quietest week in 2013 so far. However, we do have the mid-month asset reallocation and the March expiration on tap.
No comments:
Post a Comment