Being busy this morning: working on the Jaws🙃
plotting some of my favorite breadth indicators for SP-500 sectors
warnings:
huge Jaws across the board
reg-line momentum scoring for all SP-500 sectors
XLF:
% of XLF stocks having 30-day momentum score > 5
less than 20% & decr
plotting some of my favorite breadth indicators for SP-500 sectors
warnings:
huge Jaws across the board
reg-line momentum scoring for all SP-500 sectors
XLF:
% of XLF stocks having 30-day momentum score > 5
less than 20% & decr
warnings:
huge Jaws across the board
reg-line momentum scoring for all SP-500 sectors
XLV:
% of XLV stocks having 30-day momentum score > 5
less than 30% & decr
huge Jaws across the board
reg-line momentum scoring for all SP-500 sectors
XLV:
% of XLV stocks having 30-day momentum score > 5
less than 30% & decr
warnings:
huge Jaws across the board
reg-line momentum scoring for all SP-500 sectors
XLY:
% of XLY stocks having 30-day momentum score > 5
less than 22% & decr
huge Jaws across the board
reg-line momentum scoring for all SP-500 sectors
XLY:
% of XLY stocks having 30-day momentum score > 5
less than 22% & decr
XLP:
% of XLP stocks having 30-day momentum score > 5
less than 38% & decr
Next:
Only bright sector is XLK.. yes, you guessed it. 🙃
% of XLP stocks having 30-day momentum score > 5
less than 38% & decr
Next:
Only bright sector is XLK.. yes, you guessed it. 🙃
XLK:
% of XLK stocks having 30-day momentum score > 5
around 50% & decr
Still "huge Jaws" relative to the previous swing highs.
not good.
% of XLK stocks having 30-day momentum score > 5
around 50% & decr
Still "huge Jaws" relative to the previous swing highs.
not good.
: 🦃 the best of the best Turkey 🦃
% of stocks having 30-day momentum score > 5
less than 8% & decr
We need a different scale for
Notice that Feb 18th "huge Jaws"- unprecedented - just before Feb/March plunge.
obvious? predicting May #CL front month -$40 🦃
% of stocks having 30-day momentum score > 5
less than 8% & decr
We need a different scale for
Notice that Feb 18th "huge Jaws"- unprecedented - just before Feb/March plunge.
obvious? predicting May #CL front month -$40 🦃
:
In summary, aggregating all S&P-500 sectors & stocks
% of 505 stocks having 30-day momentum score > 5
less than 30% & decr
Notice all the previous bearish Jaws & Feb 18th Jaws at the top,
and
all the "Capitulation" levels.
In summary, aggregating all S&P-500 sectors & stocks
% of 505 stocks having 30-day momentum score > 5
less than 30% & decr
Notice all the previous bearish Jaws & Feb 18th Jaws at the top,
and
all the "Capitulation" levels.
update:
Red line= 10-day linear regression line.
amazing.
the short squeeze + Gamma squeeze started 10-day ago.
10-day ago, deep OTM calls around $1200 were less than 20 cents, now worth more than $400 🧐
crazy stuff
Red line= 10-day linear regression line.
amazing.
the short squeeze + Gamma squeeze started 10-day ago.
10-day ago, deep OTM calls around $1200 were less than 20 cents, now worth more than $400 🧐
crazy stuff
FANG+ Sharpe ratios
Annualized 6-month Sharpe Ratio for FANG+ stocks
1 TSLA SR = 2.83
2 AMZN SR = 2.73
3 NFLX SR = 2.22
4 NVDA SR = 1.91
Zone 3 = high return & low risk (Vol)
Zone 2 = high return & high risk
Zone 1 = low Return & high risk
Zone 4 = low return & low risk
Annualized 6-month Sharpe Ratio for FANG+ stocks
1 TSLA SR = 2.83
2 AMZN SR = 2.73
3 NFLX SR = 2.22
4 NVDA SR = 1.91
Zone 3 = high return & low risk (Vol)
Zone 2 = high return & high risk
Zone 1 = low Return & high risk
Zone 4 = low return & low risk
Modern Portfolio Theory
&
Efficiency frontier tutorial.
Based on the Portfolio Sharpe ratio optimization.
Watch below...
investopedia.com/terms/e/effici…
&
Efficiency frontier tutorial.
Based on the Portfolio Sharpe ratio optimization.
Watch below...
investopedia.com/terms/e/effici…
