- Market Commentary – My recap and analysis of the most important
events and numbers impacting the financial markets over the course of the past
week, typically including graphs of the SPX, the VIX and at least one market
- Volatility Overview – A discussion of what happened in the
world of volatility during the past week, encompassing historical (realized)
volatility as well as implied volatility.
While the main focus is the VIX and other U.S. equity volatility
indices, I also discuss VIX ETPs, foreign equity volatility indices, volatility
indices across a broader range of asset classes (commodities, currencies,
bonds, etc.) and a select group of volatility ratios I monitor closely. This section includes one graphic of the VIX
vs. multiple measures of SPX historical volatility as well as a table covering
the performance of 24 of my favorite volatility indices, ETPs and ratios.
- VIX Futures Term Structure – Here I comment on the VIX futures
term structure and discuss the term structure relative to several historical
reference points, seasonal factors and other anomalies. Two separate graphics present the term
structure relative to historical data.
- Trading Volatility and the +XIV Index – This is typically the
longest section of the newsletter and makes use of my proprietary +XIV Index, translating
this index (which has shown a strong predictive ability for VIX ETPs for the
next 1-2 weeks) into more actionable trading ideas. The balance of the section examines new and
existing options trade ideas (involving primarily SPX, RUT, VIX, VXX and a
handful of highly liquid commodities and equities ETPs), including thoughts on position
management and related matters.
Typically, there are one or two tables used to monitor open trade ideas,
with performance and other relevant data.
- Risk Assessment: Evaluating
Relative Risk and Volatility in Asset Classes, Geographies and Sectors –
This section drills down on where some of the risk outliers are across the full
universe of asset classes, geographies and sectors. Here is where one is most likely to find an
early warning signal for the next evolving risk area as well as identify areas
where risk is overpriced or under priced.
This may be my favorite section to write each week, as it is always
topical and helps to put a wide range of current threats and opportunities into
perspective, including some analysis of the key drivers of risk in each area. Each week, three separate graphics highlight
the top five areas of highest relative risk in terms of asset classes,
geographies and sectors.
- Probability of a Third Rate Hike, Based on Fed Funds Futures Data
– This section was inspired by the 2013 “Taper Tantrum” following Ben Bernanke’s
first mention of the Fed’s intention of cutting back on monetary stimulus
measures. In this section I translate
futures data into forward-looking probabilities and trends, overlay my own thinking
and discuss issues related to the Fed, interest rates and central bank policy
in general. There are one or sometimes
two graphics related to interest rate expectations here. (The section title is a lot narrower than the
target subject matter.)
- Featured Chart(s) and Commentary – The best part about this
section is that it gives me an opportunity to drill down on one or more issues
that may not fit neatly into any of the other sections. Typically, there are anywhere from one to
four charts covering one or two subjects that range from economic data to market
sentiment to political developments, often using making use of my proprietary
indices and research to highlight areas of current and evolving
importance. In football parlance, this
is where I get to call an audible at the line of scrimmage.
- Current Investment Thesis – The flow of the first seven sections typically provides a natural lead-in for my current investment thesis – which is typically a multi-part thesis. Here I summarize my short-term tactical thinking about the financial markets as well as offer up an intermediate-term or sometimes long-term perspective on where I believe things are going. I touch on what is driving my investment thesis, what key milestones lie ahead and how I am positioning myself to take advantage of those opportunities. I endeavor to make this a make this a wide-ranging investment thesis, incorporating equities, volatility, ETPs from across the asset class spectrum, as well as geographies and sectors. While my focus is generally on growth and speculative opportunities, depending upon the state of the markets, I typically also delve into some hedging ideas as well as some income-oriented trade ideas. Last but not least, each week I offer up a list of my favorite ETP trading ideas and the rationale behind these trades, typically with three new long or short ETP trading ideas added to the list each week.
- Newsletter Update, Stock of the Week Performance Data and the Launch of New Investment Management Business
- Q4 2012 Newsletter Update, with Stock of the Week +109% for 2012 and +4535% Since Inception
- Q3 2012 Newsletter Update, with Stock of the Week +107% YTD and +4473 Since Inception
- Changes to Newsletter Place More Emphasis on VIX Exchange-Traded Products
- Highlighting Newsletter Content Focus with Content Pyramid
- Newsletter and Portfolio Performance Update Through 12/31/10