Wednesday, April 25, 2012

Aqumin Volatility Newsletter 04/25/2011 - $AAPL, $BAC, $C

Bobbing for Apples

Since AAPL reported last night I will let myself be drawn into the maelstrom of noise and give my two bits on what I see from the AlphaVision™ for Bloomberg point of view. From the fundamental side AAPL makes more money than any analyst thinks possible. AAPL already talked down the next quarter so I am sure there will be room to beat again. The first global company that combines high hardware margins with the power of the Cloud and internet is probably going to baffle the analysts for a while since this scale is really the first of its kind. So while AAPL sells more stuff to China today, let’s look at some relative volatility.

This landscape below is an end of day snap of the S&P 500 looking at 30 Day Historical Volatility and Market Cap. Green buildings are more volatile with dark green names trading over 40% HV30. I highlighted AAPL with C and BAC to illustrate a point. C is trading in the low 30% range for HV30 and BAC in the high 40% range. AAPL is trading in the low 30% range. The big difference is AAPL is a $600 (at least this am) number and C is trading around $33 and BAC is $8+. AAPL has been generating massive realized volatility for such a big name into earnings. The iPhone maker is generating HV30 at near the same level with the poster children of the 2008 financial crisis. From that point of view the balance of panic activity is moving away from the financials, which is probably good for the market as whole. The market is saying it is time to back to speculating on how much companies can make versus how fast they are going to 0.

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After earnings, implied volatility comes down usually around 10 to 20% in the next available month in AAPL. The mistake after this earnings cycle would be to sell too much IV and ignore the big HV in the name. Selling juice in a financial stock going nowhere is one thing, selling juice in a $600 freight train is another.

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Thursday, April 19, 2012

Aqumin Volatility Newsletter 04/19/2012 - $KIM, $BXP, $PLD, $AVB, $SPG, $PNC, $C

Are the Financials moving in sync?

The Euro Zone is going to stay with the US Equity market for the foreseeable future. If anything, I think there is a dampening effect on whatever good news comes out of the economy. The issue now really is that the Euro Banks can no longer afford to put on the easy carry trade that the ECB made available and that the global bond market will have to suck up all of the available debt the PIIGS produce. As of today they want real money to loan money. How is that affecting the US Financial Stocks? Take a look below.

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The AlphaVision™ for Bloomberg Landscape I am using is the standard IV30 – HV60 view. This is essentially my view for judging direction on the VIX and the other volatility products to see how much “weight” there is in the implied volatilities overall. The darker green buildings just mean that the IV is priced much higher than the individual names have been moving over the last 60 days. As we move into earnings season, this make sense (especially for Tech in the foreground) since most implied volatilities get bid up prior to earnings. As you look at the Financials in the S&P 500 they do not look out of the ordinary. Actually Citicorp “C” is looking darn right cheap right now post earnings on a relative volatility basis.

Zoom in below to see a detail of the Financials and I think something interesting is revealed. Note how all of the Financial REITS were up for the week while most of the money center banks got whacked (save for C and PNC).

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This still reflects the situation in Europe even though most banks in the USA are probably avoiding European Debt for now. If the Property REITS are seeing a rebound with nothing untoward in implied volatilities, I think that bodes well for them moving forward. This might not be a bad time to pick up some of the better financials names that have already reported. If the property names can catch a bid, the banks that loan them the money are sure to follow.

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Thursday, April 5, 2012

Aqumin Volatility Newsletter–04/05/2012 – $AIG

A Little Irony

How the worm turns. After 20 years+ in the securities business it never ceases to amaze me that if you wait long enough (or can hold out) things can turn around. On a day when the latest Euro story threw cold water on our volatility crushing rally the big winner was, wait, AIG. Oh well…

Take a look at my AlphaVision™ for Bloomberg VWAP Landscape built by Aqumin’s Jason Javarone. This is my favorite way to watch daily activity. While I have up the major indexes I find that this landscape tells a better real time story in that stocks trading above VWAP show momentum higher (stocks on the bottom show negative momentum). At the end of the day (Wednesday) this is what a Sub Industry landscape looked like. These are most of the stocks that trade options and if they are green they are also up on the day. If they are dark green they are closing up 5% above daily VWAP. This is a great way to get market depth and way beyond what you can glean from traditional 2D heat maps.

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On a day when the issue is really dominated by credit (or lack of easy credit for the Spanish) it is refreshing to see where money is actually flowing. It is flowing into the husk of the company that nearly took down the financial system. Also noteworthy in the news is that the big jet leasing facility, ILFC, a part of AIG, is getting better rates than the sovereign nation of Spain. Maybe AIG is not such a bad bet anymore and even Uncle Sam might break even on it.

 

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