Saturday, March 23, 2019

Delta Neutral Hits a Home Run....03.23.2019

A great couple days for the delta neutral models QLD/QID  and SCHB/SH.  Friday was as picture perfect a delta neutral day as could be imagined. A slow start out of the gate gradually built momentum throughout the day as we were limit stopped out of QLD and SCHB and then reaped some nice gains in QID and SH into the close as S3 pivot support levels held firm.  So, if we can make the big money with the Qs model why even bother with the S&P based SCHB/SH model?
the answer is that SPY and QQQ do sometimes diverge and the SCHB/SH model is a nice safe jumping off point for traders still trying the understand the delta neutral strategy while still outperforming a SPY based directional trade and with reduced drawdown risk.

Monday, March 11, 2019

Delta Neutral Update ....03.11.2019

A good day for the QLD/QID delta neutral setup.  Markets reversed from Sunday night's red open to a Monday morning blowout for the NAZ.  The DOW was held back by a 13% swoon in Boeing stock but the Qs were the momentum leaders from the open to the close.
Note that the "best odds" value for QLD has fallen to a new multiyear low of 1.1...completely contradicting its beta value of 2.

Saturday, March 2, 2019

PONZO Updates for March....02.02.2019

Here are the PONZO forecasts for SPY, QQQ and TLT...our major focus indices. The outlook has actually changed significantly since our last look with the SPY and QQQ decidedly bullish and TLT decidedly bearish.  Fixed income has been faltering recently and the forecast for TLT suggests that continued weakness is the likely path.
The talking heads are screaming "CASH" with a warning that mid March will see a new opening for the bears.  Actually...nobody knows and the motives of the prognosticators are always suspect since no one ever fesses up when they make a lousy call.  That's why we trade strictly data driven strategies based on volatility and mean reversion triggers.  Recent economic data has been weak with retail suffering major hits but the trickle down effect has not yet set it.  When it out below.