Saturday, December 8, 2018

Delta Neutral Update....12.08.18

Another nice day for our delta neutral strategy.  It started out looking positive but our limit stops did not fire until QLD turned red and blew through our 2.5% stop.
I've rearranged the charts a bit to show the 60 day relative volatility of QLD and QID.  The actual platform is actually much bigger graphically but we lose resolution when we try and display it on the blog platform.    FYI, the full platform is shown below.
Keep in mind that once volatility fades the frequency of trade triggers will also decline and the equity line will once again flatten out as to look like the May to September portion of the equity chart below.
We're seeing a divergence of the 2 Day Alert and the TrendX (which is closely tracking volatility) so we may see some pullback on further volatility gains for a bit....or Monday could be a washout day.
Major political upheaval in France , England, Italy and imminent demise of the EU, the Saudi issue and other geopolitical questions have spooked the markets...and rightly so.
Pity the poor guys that bought bitcoin at $18,000....now around $4000.