Scott Burrill - Market Notes

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Quick Quant Look

Quick Quant Look

Nov 19, 2018

For the week, the SP500 Option Implied Move is + / - 47 points and updated Magnets that will be quickly tested are:

While only 2 points lower than last week's implied move, the fact we only have 3 1/2 trading days this holiday-shortened week suggests volatility has yet to abate.

In fact, Volatility of Volatility (VVIX Index) is sitting at a still elevated value of 101.93.

While implied correlation is squarely in the idiosyncratic quadrant coming into the new week, macro drivers loom such as Trump-Tariff Tweets that continue gyrating markets.

To recap, intermediate trends are down and short-term trends are mixed.

The efficiency of trading from high impact risk confluence zones remains prevalent and our process accurately identifies those areas. We observe in the SP500 2675-2734-2812 as those key areas for the new week.

Extrapolating our weekly implied move puts the lower and upper 1 sigma edges at 2689 to 2783, so even a 2 sigma move is captured in our pre-computed levels below.

It's a quiet week for catalysts apart from the usual suspects.

Happy Thanksgiving.

All the best,

Scott

Scott R. Burrill, CFA | Partner / Managing Director

Rosenblatt Securities

40 Wall Street | New York, NY

(212) 607-3170

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