DISQUS

Daily Options Report: What Might Correlation Actually Tell Us?

  • shrek · 5 months ago
    Whats going on is simply bizarre
  • Adam · 5 months ago
    i think it's as much summer blahs as anything else.
  • MutantDog · 5 months ago
    Increasing correlation led to the downfall of LTCM, and is/was a big part of the current mortgage meltdown; so I had the idea that it is always bearish. ON second thought, though, increasing Bullish correlation wouldn't get the same kind of attention - plus numbers do not create a noteworthy event, as opposed to failure. So I suppose correlation could be bullish.

    How far back has the time-series been calculated ? I would like to study the dot-com era thru that series. I hypothesize that in the manic (price) phase, correlation would be increasing, and that the correlative trend might have broken pre-crash, or early in the top formation (which would be useful money-making info, if correct).
  • Adam · 5 months ago
    good question, not sure how far this one goes back. You'd get really different correlation readings during the dot-com era depending how inclusive you are. Correlation between tech and non-tech seemed incredibly low at the time. But stocks that normally would not correlate much did seem to move together then. Like we had CAT and American Home Products options at the time. Pre-1999 they moved pretty opposite as we were either anticipating a recovery or a recession. In 1999 they moved in unison though as part of not-tech.
  • Procol · 5 months ago
    This is as much a repricing of the end of the world play, as anything else.

    Since nearly everything was bashed, you pretty much have to have high correlation on the way back. This was not hard to predict.
  • Procol · 5 months ago
    heres a scoop for ya

    985 on the spooz is a 50% retrace on the BIG DIPPER.

    measured from Sept 08

    Has Durden put his site up for sale yet, I need that signal
  • Adam · 5 months ago
    too busy with the VWAP disparity, lol
  • MutantDog · 5 months ago
    As Citi executed the common/preferred swap today, the conversion trade is over, and C options trading should get back to normal, I hear. Your analysis of said normalization is hereby solicited (like, if you run out of stuff to post about). Thanks as always, enjoy the weekend.
  • Adam · 5 months ago
    will look, but quick glance is it's now just a cheap dollar stock, so not sure there's all that much to do unless they threaten to go under again.
  • Procol · 5 months ago
    would think you'd have to wait until they actually deliver the shares