In partnership with Quantilia, GATE Advisory developed a range of Quantamental risk metrics benefiting from my 25 years of experience in finance.
Our liquidity risk metric is flashing red over the last weeks and hereafter, some current figures justifying the color…
Only this week :
- Monday 4th lightest session of the year at 10.1bn
- Tuesday 3rd lightest at 9.7bn
- Wednesday 2nd lightest at 9.5bn
- Thursday lightest at 9.3bn
We just start the earning seasons with JPM figures… Liquidity is drying up while indices are all-time high and some sectors outrageously outperforming the indices…
Anyway, the Bull Run will be fueled by any earnings improvement and this is the key metric to consider…
This week overall px action and volumes have been calm and remind me of Xmas type of trading. There should be little downside in VIX going forward. End of this week we saw a big July 25/40 call spread trade in what looks to be a big hedge/punt from one player.
I mentioned this many times : You buy protection when you can, not when you must.
Last chart shows the VIX July 25/40 call spread scenario chart.
