Wednesday, May 14, 2014

Pullback Predicted by M3 Volatility Sort...5.14.14

As expected in yesterday's post all the major indices pulled back today on moderate volume.  The big surprise was that XIV ...our M3 leader...actually rose throughout much of he day before dramatically collapsing in the late afternoon session.....see below.
Prospects for tomorrow are muted.  May options expire the end of this week and we can expect the usual volatility surge as traders rollout, rebalance and attempt to drive prices to pin strikes.  If you think that doesn't happen...think again.
Finally, see the new M3 volatility based sort below that combines volatility indices as well as ETN products tradeable in the same fashion as ETFs and stocks. This is just a little research project based on the thinking that if we examine the wider spectrum of volatility metrics related to SPY we may get a clearer consensus of how volatility products are likely to perform in the short term (<7 days in this case).