Tuesday, July 5, 2016

PONZO Updates and New M3 Insight...07.05.16

Uncertainty is still the name of the game as worries abound over the BREXIT fallout.  Who's next? is the topic of conversation for the talking heads.
We have a new M3 Insight post on the current state of our delta neutral basket and an updated VXX/XIV delta neutral panel in the VXX/XIV Case study #2.
The Ponzo Updates suggest the markets might be exhausted from the recent volatility but the really interesting scenario is on TLT with the purple outlier.  Think it can't happen?.  We're well above all time highs on TLT right now and no end of momentum in sight.