You'll notice some pretty high correlation values on the longer period inputs. The strategy going forward is to wait and see if the SPX gets the vertical pop that it received in fall of 2010. From there the market fell roughly 5% and then continued to rally well into the spring. Obviously the AAPL/SLV and SPX analogs seem to be all running together, so looking at long positions in some front month otm puts on AAPL, SPY into a move up and then flipping long to far dated atm calls in SPY, SLV after the downside has been observed.
Wednesday, February 29, 2012
AAPL, SLV and SPX Analogs
You'll notice some pretty high correlation values on the longer period inputs. The strategy going forward is to wait and see if the SPX gets the vertical pop that it received in fall of 2010. From there the market fell roughly 5% and then continued to rally well into the spring. Obviously the AAPL/SLV and SPX analogs seem to be all running together, so looking at long positions in some front month otm puts on AAPL, SPY into a move up and then flipping long to far dated atm calls in SPY, SLV after the downside has been observed.
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