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Investment Ideas
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Craig P
Independent Macro/Vol/Crypto/Quant/Fintech Nerd

SPX Closing at All Time Highs vs VIX Levels

I saw this model in a recent Goldman report and thought I would try and build it out/ play around with it. 

This chart is essentially showing how the VIX is hitting lower levels each time SPX is closing at a new all time high, which is a trend we haven't really seen since 2017. 

According to the GS report, this could be similar to price action (highlighted in green) during the build up of the 1998 crash . 

Blue: SPX closing at ATH.      Green: ATH between 1997-1998    Orange: ATH in 2021    
Blue: SPX closing at ATH.      Green: ATH between 1997-1998    Orange: ATH in 2021    

Just to try and one up GS, I plotted those dates on to some normal charts to give it more context. You can see the similarity a lot better when it's plotted over the VIX. 

Same GS dates plotted on SPX.


Bonus Chart: 

It's apparently pretty rare for the market to hit a new all time high when the VIX is above 20. Hasn't happened since the build up of the tech bubble. 

So far so good? 
So far so good? 

Fiscal Policy and Tax Resources

Hey guys, 

I am writing some stuff on fiscal policy and taxes so that I can get a better idea of how it will impact GDP and markets. I have a couple of resources I look at already but was wondering if you guys could share yours. Taxes and how they impact the flows of capital seem to be a big deal going forward. If you could provide the resources you monitor for either your personal life or macroeconomically, then that would be awesome. Especially, if there are specific people you follow who provide a good analysis.

A really simple example of how this could impact markets: If they raise the corporate tax then that could change the EPS of major sectors and potentially impact flows. If more international taxes are put into place then this could change incentive structures for where specific companies conduct business. This potentially plugs into the whole deglobalization paradigm. 

Synthesis #1 April 2021

Insolvency phase

Taking much longer than expected adding significant distortion to an already unprecedented amount of distortion in the economy and in asset valuations. I suspect most of the assumptions underlying econometric, valuation and price models do not adequately account for current conditions rendering the models extremely dangerous to institutional investors and market stability.

Residential housing markets may be affected as forebearance ends. Various classes of REITs will be affected... e.g. ...Hotel and Apartment REITs may present some good opportunities soon, strip mall, Hospital and Office REITs may take a dive. Certain foreign markets may provide rock bottom pricing.

Sovereign debt is a firecracker with a short fuse...drop it quick. Taleb popularized the concept of the Black Swan...a large unpredictable event so unlikely to occur that it is universally unhedged. Sovereign debt is in such a precarious position that it is susceptible to a Black Duckling event induced catastrophe.

Small cap funds and equities in hard hit industries will provide some interesting short sale opportunities. Unable to tap into "too big to fail" funding mechanisms they will be taken out behind the barn.

The culmination of the insolvency phase may provide the forcing function for institutional and government cryptoasset, cryptocurrency, NFT and blockchain adoption. Watch for it. Adjust accordingly.

Speaking of Black Swans: quantum computing will not be one. Quantum decryption implies quantum encryption. The leapfrog process between white hats and black hats will continue. Black hats and white hats ensure an ongoing balance of power.... (More)

Craig P
Independent Macro/Vol/Crypto/Quant/Fintech Nerd

Daily SPX Advance/Decline stats for 4/19/2021


Bonus chart for today. Anyone else catch that gap between vol of vol and the vix?