Some deja vu this morning as the NYAD collapsed to .02 readings before rebounding to the current .05 ( a little gallows humor there). As might be expected, the VIX has jumped 30% and the VXX is up 15%. After almost 3 hours in the markets are giving little hint of impending strength. The 30 minute NYAD chart above, while superficially suggesting positive prospects of the recent rally, in fact reveals the incremental decline in momentum leading to today’s crumble. Op Ex tomorrow promises to be volatile with the usual Friday afternoon fade to cap the week. Delta neutral positions are looking more attractive every day.
As a sideline, both UBS and Goldman issued extensive white papers yesterday highlighting the rise in popularity of various covered call strategies along with some compelling arguments supporting this otherwise defensive tactic typically reserved for retirees and old geezers like yours truly. The trick, of course, is to sell the calls at the top of the cycle and redeem them at the bottom.
