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HIPOS Weekly Update: A Healthy Serving of Low Volatility

Our latest iteration of the HIPOS spread trade took advantage of a brief blip higher in volatility to enter the position. Since then the underlying Nasdaq 100 Index (NDX) has moved higher which is a positive for your clients. As of early trading Wednesday, the index is sitting above 14% above the short strike price and above the purple defensive posture curve. With 23 days to expiration on December 15th, the trade is moving along and will continue to realize positive time decay. Even tomorrow when the market is closed.

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Volatile Month for High Yield Bonds

Source: YCharts

Recently we have seen increased volatility among high yield bond funds. However, some funds have not experienced quite as much of it. Above we can see how Symbol: HYG, a high yield exchange traded funds, and two Guggenheim hold to maturity short duration high yield ETFs have performed. The chart illustrates recent changes when looking at the daily total return of each which includes dividends.

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Just past the halfway mark in Earnings season!

Earnings season is more than halfway done – especially within the large cap and mid-cap space.  There will be more reporting over the next couple of weeks – but our IAS Equity portfolios have more earnings events behind it than in front of it.

As we have always said in the past, our performance numbers alone do not tell the whole story for the IAS strategies. Our strategies are built to find companies that are winning in their industry – but the Wall Street analysts are not observing that success like we are.  In other words, these are companies that are likely to surprise the market.

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HIPOS Weekly Update: Another Trade in the Books Despite Continued Low Volatility Regime

Last week I received an email from J.P Morgan Asset Management asking, “Where has all the volatility gone”? That is a question many have been asking this year. In the piece linked above the author David Lebovitz pointed out that thus far 2017 has seen the lowest implied volatility on record. Naturally as someone who regularly writes articles around our HIPOS short volatility strategy, this perked up my interest.

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HiPOS Weekly Update: On the Goal Line

While not wanting to start dancing in the end zone prematurely, our primary HIPOS trade is near the goal line as the spread position has 7 calendar days until expiration. With the sideways and slightly lower action in the underlying Russell 2000 Index, our short call...

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HIPOS Weekly Update: Remaining Below the Curve

With 15 calendar days until the November 3rd expiration day, the underlying Russell 2000 Index remains about 4.7% below the short 1575 call strike. As time decay has continued to build, the mark or value of the spread has come back down from where it closed at the end...

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HIPOS Weekly Update: Waiting for Time Decay

Another 5 days have passed and the Russel 2000 Index (RUT) has been relatively unchanged. However, the price of the HiPOS call spread has had significant time decay over the past week dropping from $1.15 to $0.50 after Wednesday’s close.
The reason for this is twofold, one, the sideways movement of the market is increasing the position’s probability of NOT going above the 1575 level. Said another way, if the market doesn’t rocket up like it did in Aug/Sep, the RUT won’t hit our short strike of 1575.

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