Periods of low volatility are often followed by volatility expansions

I like uptrends, until the end when they bend.

This uptrend in U.S. stocks hasn’t seemed ready to bend, but we are observing signs a reversal down could be soon. I’m not necessarily talking about a market crash of -50%, but instead a decline of around -5% or so that we typically see a few times a year as we’ve seen twice this year.

The “long term” investors may wonder why it matters?

All big waterfall declines begin with smaller downtrends. Few stay “long term” investors after large declines. After -30% declines or more, most anyone’s financial plans become negatively impacted. It’s especially true since we don’t know how long it will take to recover and there is no guarantee it will.

So, as a tactical risk manager, I necessarily prepare and apply situational awareness. If we want to manage our drawdowns, we want to do it sooner than later. Everyone is always giddy at all-time highs, then regretful if they don’t derisk or hedge after a downtrend.

Below is an example of a measure of realized volatility charted with the stock index. The top line is the 20-day average true range of the S&P 500 (SPX) and the lower is its price trend. I marked it up to show the average true range indicates a volaltity contraction like we’ve seen twice this year. The point is it preceded a volatility expansion and price declines.  I also added the blue bands around the price trend that reflect two times the average true range of the price trend. When the price trend moves outside this volatility band, I consider it simply outside its recently normal range. As you can see, it can stay outside its range for a while, but the price trend mostly oscillates inside this range. When it swings outside the range, it means reverts or swings the other way.

Average True Range ATR use in portfolio management trading volatlity

We can say the same for expected volatility, as measured by the CBOE Volatility Index, which measures implied volatility on the S&P 500 stocks. The VIX has declined to the 12 level, the low level of its historical range.

VIX $VIX #VIX IMPLIED VOLATLITY

Periods of low volatility are often followed by volatility expansions.

The SPX trend can trend higher, and volaltity can drift lower, but in the short run, it’s a good time to check thy risk.

Investment management is all about probabilities and possibilities, so you can probably see the direction is most probable, though anything is possible.

Why does any of this matter? read Why we row, not sail.

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

Mike Shell and Shell Capital Management, LLC is a registered investment advisor focused on asymmetric risk-reward and absolute return strategies and provides investment advice and portfolio management only to clients with a signed and executed investment management agreement. The observations shared on this website are for general information only and should not be construed as advice to buy or sell any security. Securities reflected are not intended to represent any client holdings or any recommendations made by the firm. Any opinions expressed may change as subsequent conditions change.  Do not make any investment decisions based on such information as it is subject to change. Investing involves risk, including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information and data are deemed reliable but is not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. The use of this website is subject to its terms and conditions.

The stock market is in a period of indecision that it will break out of

As I’ve been pointing out all month in August, the stock market is in a period of indecision, that it will eventually break out of.

Looking at the price trend of the S&P 500 index over the past six months, todays 1.4% move so far has the trend tapping the upper end of the range.

asymmetric risk reward return stocks

Zooming in to the beginning of the month of August, it’s been a month of indecision. Those who want to buy are battling with those who want to sell.

The range of the price trend has spread out, as was implied by the CBOE S&P 500 Volatility Index VIX. It’s been a relatively volatile month with this big-cap stock index swinging up and down in a range of 4%.  As we can see in the chart below, the VIX trended up sharply as stocks declined in price.

What we also see, however, is implied is settling back down as the price trend is swinging up and down in this 4% range of indecision.

What’s going to happen next? 

I don’t need to know what’s going to happen next. I know exactly what I’ll do next with my positions if they continue trending up, or reverse back down.

Using this stock index as an example, if it breaks below this range it’s bearish, but if it has the buying demand to break above it, the uptrend resumes.

That’s why we call price action as we’ve seen this month a base patter and we’ll eventually see a big move out of it one direction or the other.

The S&P 500 index is an unmanaged index and cannot be invested into directly, but if we could and I wanted to be long stocks, I would exit if it fell below the three recent lows.

If I wanted to be short, I would exit if it broke out above the prior high.

This is just an oversimplified example of how I tactically manage risk.

Hurricane Dorian looks to add to the August volaltity.  Hurricane Dorian is now expected to intensify into a Category 4 hurricane as it moves toward Florida and the U.S. Let’s hope it loses its momentum. I’m in Tampa Bay on the other side. It should slow down by the time it reaches us. Our home is made of concrete, tile roof, and 150 MPH hurricane windows, so we’ll be fine.

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

Mike Shell and Shell Capital Management, LLC is a registered investment advisor focused on asymmetric risk-reward and absolute return strategies and provides investment advice and portfolio management only to clients with a signed and executed investment management agreement. The observations shared on this website are for general information only and should not be construed as advice to buy or sell any security. Securities reflected are not intended to represent any client holdings or any recommendations made by the firm. Any opinions expressed may change as subsequent conditions change.  Do not make any investment decisions based on such information as it is subject to change. Investing involves risk, including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information and data is deemed reliable, but is not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

Technical analysis of the stock trend and volatility

Just yesterday I shared the observation in The value of technical analysis of stock market trends that the stock indexes were in a tight range the past month and we’d likely see a breakout, up or down.

I didn’t mention possible macroeconomic or geopolitical factors, I just pointed it out saying the market does what it does., and something or someone gets the blame.

Today, the stock market has shifted from being positive after the open, shaking off news of China imposing new tariffs on the U.S., to a waterfall decline down -2% at this point. Below is the up-close trend of today’s action so far.

Some probably believe the stock market is falling because of the new China Tariffs on the U.S, Trump Tweet about China, Jackson Hole Comments, or The Federal Reserve.

The reality is, it’s just the market, doing what it does.

I focus on that. The price trend and volatility.

Here is the trend looking at the tight range I observed yesterday. As you can see, the price is still within the range, but it’s trending toward the lower range.

DOW STOCK MARKET DOWN DAY TRUMP CHINA

In the meantime, the CBOE S&P 500 Volatility Index (VIX) has spiked up 25% today on the new enthusiasm for expected future volatility.

Wikipedia defines Technical Analysis as:

In finance, technical analysis is an analysis methodology for forecasting the direction of prices through the study of past market data, primarily price and volume.

By that definition, what I’m sharing here isn’t Technical Analysis, I guess.

Investopedia defines it as:

Technical analysis is a popular trading method that analyzes past price action, usually on charts, to help predict future price movements in financial markets.

But, I am analyzing past price action on charts, but not necessarily to predict future price movements.

I’ll just call it charting.

I hope you find it helpful.

Let’s see how it closes. 

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

Mike Shell and Shell Capital Management, LLC is a registered investment advisor and provides investment advice and portfolio management exclusively to clients with a signed and executed investment management agreement. The observations shared on this website are for general information only and should not be construed as advice to buy or sell any security. Securities reflected are not intended to represent any client holdings or any recommendations made by the firm. Investing involves risk, including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information and data is deemed reliable, but is not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

The volatility expansion is here…

Since I mentioned it a week ago, volatility has indeed expanded.

In fact, it’s increased 32% today alone.

Implied volatility as observed by the VIX has almost doubled the level it was a week ago.

The Fear & Greed Index is now at the “Extreme Fear” level. VIX is one of the signals it uses to measure the degree of investor panic.

how to use fear greed index

Clearly, the options market has now priced in more expected movement in the range of prices. When I mentioned it a week ago, it implied a 12% range, now it’s 23%.

The S&P 500 stock index is down 3.35% today.

stock market 2019

We’ll see if this is enough panic selling today to drive prices low enough to attract new buying demand.

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

Mike Shell and Shell Capital Management, LLC is a registered investment advisor and provides investment advice and portfolio management exclusively to clients with a signed and executed investment management agreement. The observations shared on this website are for general information only and should not be construed as advice to buy or sell any security. Securities reflected are not intended to represent any client holdings or any recommendations made by the firm. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information and data is deemed reliable, but is not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

Measuring the volatility expansion

To no surprise, we are observing a volatility expansion.

I say it isn’t a surprise, because I shared my observation on July 28th in Is volatility setting up for an expansion? the following:

I’m not going to be surprised if we see a VIX volatility expansion this week along with the range of stock prices spreading out.

There are plenty of potential catalysts that could drive volatility and uncertainty higher for those who need a story driving it.

This morning, the CBOE Volatility Index® (VIX® Index®) is trending 20% to 21.20, which is its long term historical average. As I pointed out before, it was at 12 when I pointed out the possibility of a volatility expansion. I didn’t expect to see it just because it was at a low level of 12, but instead because there was no shortage of potential catalyst that could cause prices to spread out into a wide range from indecision.

The CBOE Volatility Index® (VIX® Index®) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. Since its introduction in 1993, theVIX®Index has been considered by many to be the world’s premier barometer of investor sentiment and market volatility.

The VIX has gained 76% since I shared the observation.

Is there a way to trade this volatility? Yes, there is, and it’s easier said than done. Tactical traders can trade VIX options, futures, ETFs, or the ETN. I share the below chart for informational purposes only. It’s the iPath® Series B S&P 500® VIX Short-Term FuturesTMETN charted along with the VIX index and does not necessarily represent any position I have taken. As you can see, it has gained 27% over the past week as the VIX gained 76%, but past performance is not necessarily indicative of future results. In fact, trading the VXX is very tricky and timing is everything.

A deep dive into VXX and long volatility ETFs is beyond the scope of my mission here as I just want to show a simple example of “long volatility” for asymmetric hedging. The succinct reason the VXX didn’t track the VIX index perfectly is because he Index offers exposure to a daily rolling long position in the first and second month VIX futures contracts and reflects market participants’ views of the future direction of the VIX index at the time of expiration of the VIX futures contracts comprising the Index. Owning the ETNs is not the same as owning interests in the index components included in the Index or a security directly linked to the performance of the Index. For additional information including the risks associated with VXX and ETNs, please see the VXX prospectus. The bottom line is, to successfully trade the VXX is beyond simply trading its price trend, it also requires understanding its roll yield issues and the VIX term structure.

While CBOE Volatility Index® (VIX® Index®) is a measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices, I use other measures to observe actual, realized, historical volatility.

Below is the S&P 500 stock index with bands of standard deviation. As you can see, the red arrow shows the price has spread out below the lower volatility band. These volatility bands normally contain the range of price, until it doesn’t. In this case, the volaltity is measured by the standard deviation, so this is a simple observation of the standard deviation shortfall. A price trend can and does trend beyond its normal range.

Bollinger Bands Volatility Expansion SPX $SPY $SPX

In the next chart, I use channels that represent a band of the average true range. In this case, the average true range is adapting more responsive by spreading out faster, so the SPX price trend is still within its lower channel as the price trends down.

Keltner Channels ATR SPX $SPX volatility expansion

The bottom line is, we’re seeing a volatility expansion as I suspected we could.

We’ll see where it goes from here…

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

Mike Shell and Shell Capital Management, LLC is a registered investment advisor and provides investment advice and portfolio management exclusively to clients with a signed and executed investment management agreement. The observations shared on this website are for general information only and should not be construed as advice to buy or sell any security. Securities reflected are not intended to represent any client holdings or any recommendations made by the firm. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information and data is deemed reliable, but is not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

 

Now we’re seeing some volatility expansion

I suggested in Is volatility setting up for an expansion? we may see volatility increase.

Sure enough, implied volatility, as measured by the VIX, has trended up from 12.16 to 15.30, which implies the expected volatility over the next 30 days has examined from about 12% to 15%.

VIX

The bands around the price trend below use a measure of realized historical volatility (standard deviation) over the past 20 days. As the realized volatility has contracted, it signals the range of prices spreading out has been narrow. This is an uptrending, quiet, market condition. When I see one market condition like this I’m alert for it changing.

bollinger band spx

In the next chart, we observe another channel of volatility around the stock index measured with average true range (ATR) and it has been a tighter band. The stock index price has also been pushing the upper boundary since the beginning of the year.

spx atr channel position sizing

Periods of low and contracting volatility are often followed by periods of higher and expanding volatility.

On the other hand, here we see the realized volaltity of implied volatility has reached its upper band, so if it remains within a normal range, it may remain inside the band. However, it can certainly spike up if the market expects higher movement.

vix volatilty of volatlity

So, Semper Gumby, always flexible.

This uptrend could change.

I know when I’ll exit all my positions if they trend down enough to cut my losses short. I also know what percent of drawdown that would lead to if all of my positions decline together. If I wanted, I could tighten it up to reduce the drawdown if prices fall more. Or, I could hedge with a short index position or go long volatility.

You can probably see how everyone decides what they get from the market.

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

Mike Shell and Shell Capital Management, LLC is a registered investment advisor and provides investment advice and portfolio management exclusively to clients with a signed and executed investment management agreement. The observations shared on this website are for general information only and should not be construed as advice to buy or sell any security. Securities reflected are not intended to represent any client holdings or any recommendations made by the firm. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information and data is deemed reliable, but is not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

Is volatility setting up for an expansion?

I’m not going to be surprised if we see a VIX volatility expansion this week along with the range of stock prices spreading out.

There are plenty of potential catalysts that could drive volatility and uncertainty higher for those who need a story driving it.

According to Bloomberg:

As Fed officials begin their discussions on Tuesday they will have some more data with which to assess the economy. Personal income, pending home sales and consumer confidence statistics are all due that morning. Then on Thursday, the ISM manufacturing report is expected to show industry is stabilizing and continuing to expand. Friday’s trade data will be pored over for evidence that the skirmish with China is having an effect. Also next week, the Treasury will say on Wednesday how much money it needs to borrow amid rising budget deficits.

For me, the driver of a volatility expansion $VIX will just seem like a normal countertrend from a historically very low point. As vol has contracted into the 12’s it is at the low level of its cyclical range. This is when I start looking for a reversal.

VIX $VIX #VIX VOLATILITY EXPANSION JULY 2019

VIX futures are at a 9.86% contango, so the roll yield is a little steep. That is, the September VIX future is about 10% higher in price than the August VIX price. The difference in the price creates a roll yield those traders who are short VIX options or futures hope to earn.

vix-futures-term-structu

Those of us more focused on the directional trend, especially countertrends, will be more alert to see volatility expand from here. The trouble is, the contango creates a headwind for the ETFs and ETNs we may want to enter long at some point. That’s because they may invest in both the front month and second month, so as they roll forward through time they are selling the lower-priced august to buy more of the higher-priced September. This negative roll yield is why the VIX based ETFs trend down over the long term. To trade them successfully, timing is important, but it’s also not so simple.

The next chart is the S&P 500 stock index with Bollinger Bands around the price trend set at two standard deviations from its 20 day moving average. While the VIX is an implied volatility index based on how the options market has priced options of the S&P 500 index stocks, these bands are measures of realized volatility. Actual volatility has also contracted recently.

bollinger bands realized volatility

Periods of low and contracting volatility are often followed by periods of higher and expanding volatility.

Let’s see how it goes…

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

Mike Shell and Shell Capital Management, LLC is a registered investment advisor and provides investment advice and portfolio management exclusively to clients with a signed and executed investment management agreement. The observations shared on this website are for general information only and should not be construed as advice to buy or sell any security. Securities reflected are not intended to represent any client holdings or any recommendations made by the firm. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information and data is deemed reliable, but is not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

 

The normal noise of the market?

We shouldn’t be surprised to see stock prices pull back closer to their average true range in the days ahead. Such a pullback or stall would be normal.

Below I highlight the strong momentum Technology sector XLK ETF as an example of stock prices in some sectors finally reaching their prior highs. In addition to the price trend reaching a point of potential overhead resistance at the prior high, we observe this trend is also outside the upper volatility band of average true range.

TECH SECTOR MOMENTUM XLK $XLK $IYW

Most of the time, we should expect to see a price trend stay within this range. If a price trend breaks out of the range higher or lower, it can be evidence of a trend change. In this case, the short term trend has been up since January, the intermediate trend has been sideways, non-trending and volatile since last September. Sine the short term trend has been an uptrend since January, I view the upside breakout above the volatility band a signal the trend may be more likely to pull back within the channel range.

The broad stock market S&P 500 index ETF SPY doesn’t look a lot different than the Technology sector, except it’s about -2% away from reaching its September 2018 high.

stock market SPY $SPY

The bottom line is, looking at the directional price trends they are up in the short term but reaching a point they could see some resistance from the prior highs. At the same time, my momentum systems suggest the trends are reaching an overbought level and the price and expanded outside their average true range channel.

A small short-term pullback in stock prices from here would be within the range I consider normal noise of the market.

 

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

Mike Shell and Shell Capital Management, LLC is a registered investment advisor and provides investment advice and portfolio management exclusively to clients with a signed and executed investment management agreement. The observations shared on this website are for general information only and are not specific advice, research, or buy or sell recommendations for any individual. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. All information provided is deemed reliable, but is not guaranteed and should be independently verified. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

VIX Implied Volatility is Settling Down

The CBOE VIX is settling down again after getting after it last year.

The VIX is designed to measure the 30-day expected volatility of the U.S. stock market, derived from real-time, mid-quote prices of S&P 500® Index call and put options.

The VIX Index is a  measure of the market’s expectation of future volatility, so the market is pricing in less volatility from here.

vix $vix #vix term structure asymmetric hedge

VXV calculates based on a 3-month measure instead of VIX’s 1-month measure. The chart gives us an observation of term structure. Typically, we expect longer dated options like the 3-month to be higher than 1-month because they offer “insurance” for a more extended period. If the 1-month is higher than the 3-month, it means near term implied volatility has spiked, so the market is probably buying the protection of options. Right now the 1-month is lower than the 3-month, so the term structure is back to its normal contango.

By the way, anyone trading volatility or hedging with the VXX ETN should be aware that VXX is maturing on January 30th, 2019. Barclays has created a replacement with iPath® Series B S&P 500® VIX Short-Term FuturesTM ETN (VXXB).

Speaking of CBOE, it will be interesting to see the outcome of the earnings report on February 8th and if the volatility last year improves their profitability.  Blow is an interesting observation of the stock. The stock has declined -31% since its high last February. The orange line is the forward PE Ratio, with the stocks price over its earnings per share “predicted” by analysts. Keep in mind, analyst estimates are often wrong. Their expectations are no sure thing. The red line is the trailing 12 months earnings per share (EPS). The gap down in Forward P/E corresponding to the trailing twelve month EPS is an interesting observation.

cboe earnings report eps

The Forward P/E Ratio can signal analyst sentiment of a stock. If the forward P/E ratio is higher than the current P/E ratio, it indicates decreased expected earnings. A Forward P/E ratio less than the current P/E means expected increased earnings. Charting them below, it doesn’t appear the analyst are overly optimistic about the EPS report. But, what if they’re wrong?

cboe pe eps earnings research stock

We’ll soon learn if options and futures trading in VIX results in profits for CBOE in a volatility expansion. Over the past year, that hasn’t been the case, so maybe it’s time?

cboe earnings from vix optoins trading

We’ll see.

Only time will tell if VIX implied volatility continues to contract and the CBOE stock trends up or down. But, if any company that should profit from directional movement up or down and a volatility expansion, it’s the CBOE. Analysts can get the CBOE stock wrong and the market can get the future volatility wrong,

Let’s see how it unfolds.

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

The observations shared on this website are for general information only and are not specific advice, research, or buy or sell recommendations for any individual. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

A Tale of Three Vols

I know, you’re thinking this is about the Tennessee Vols.

Nope.

Different vol.

I’m not talking about Tennessee Volunteers, I’m talking about the volatility of the stock market.

Someone asked:

“With the S&P 500 is up 3.43% on Friday, volatility is up, way up. So, why is the VIX down -16%? “

The short answer is the CBOE Volatility Index (VIX) is volatility implied by S&P 500 options prices, so it’s expected future volatility, not actual or realized historical volatility. In fact, the VIX is an estimate of volatility for the next 30 days. Part of the price of S&P 500 options is an estimate of how volatile the S&P 500 will be between now and the option’s expiration date.  This estimate is not directly observed but is implied by how much buyers are willing to pay for options.  If the market has been volatile as it has been recently, option premiums will increase with the volatility expansion. When the stock market is calm and smooth like it was in 2017, options prices will decrease as a volatility contraction. So, the VIX is implied volatility, not historical realized volatility.

Since investors tend to extrapolate the recent past into the future, they usually expect recent calm markets to continue and violent swings to persist. However, we’ve experienced nearly a year of a high volatility regime with the S&P 500 swinging up and down in a range as high as 20%. However, we’ve now seen two high volume up days and the second is considered to be an upward follow-through day. Such a thrust seems to have the options market expecting lower volatility over at least the next month. That’s how I see it. Others may believe its a reaction to the economic news. It is what it is.

What is perplexing to those not familiar with VIX movement is it decreased so dramatically as the price actually gained a lot. Volatility actually expanded, but to the upside, and implied volatility evaporated. That doesn’t sound like a volatility gauge.

Another issue is not all volatile calculations really measure upside and downside vol the same way. Below is the S&P 500 index.

  • The first chart in the next window below the price trend is an average true range (ATR) of the price over the past 14 days.
  • The second chart is the VIX.
  • The chart in the last window is the standard deviation.

spx spy vix $spx $spy $vix atr volatility asymmetric

A few observations:

  1. The price of the S&P 500 has increased sharply the past two weeks.
  2. The VIX is trending down sharply and so is the standard deviation.
  3. The average true range isn’t trending down. It has stayed about the same.

As the price has spiked up, historical volatility as measured by standard deviation is trending down sharply and so is implied volatility. The only measure actually accounting for this wide range of prices (up in this case) is the average true range.

You may be wondering why?

Standard deviation a statistical model that measures the volatility of a price trend. The calculation assumes that two standard deviations should contain 95% of the price data.

The average true range includes the total “true” range of the price trend by comparing highs, lows, and closes, and compares the price change over different days to account for gaps up and down in price.

As you can see, the average true range of price appears to more accurately reflect the volatility as prices spread out. The standard deviation is recovering from the large deviations as the average true range is reflecting remaining day to day volatility.

What does it matter, anyway?

Volatility measures may be used to create indicators for trading signals. For example, in the chart, I added channels above and below the price trend that are 2 times the standard deviation. These bands are expected to include about 95% of price action.

spx spy $spx $spy atr sd vix volatility asymmetric

There are two ways it may be used for tactical trading.

A trend following system may use them to identify a breakout because moves outside the price range are rare. A trend following system expects such strong momentum will continue.

  • When the price breaks out the upside, a trend follower may buy, expecting the momentum of the price will keep trending up.
  • If the price breaks out to the downside, the trend following system may sell (short), expecting the downside momentum to continue.

A countertrend system does just the opposite.

  • If the channel is reached on the upside, the countertrend system will sell, expecting the price will reverse back down within the range.
  • If the price falls to the lower channel, the countertrend system will buy, expecting the price is more likely to trend back up within the range.

I’m just sharing this as an observation to answer a question. We could test these signals to see their results as a system to quantify which one may have a better asymmetric risk/reward. But, for this purpose, we can see how these three volatility indicators are similar or different.

I could have titled this observation “A Tale of 4 Vols” since we can observe the distinctions between “lower volatility” and “higher volatility” by simply looking at the price trend. Over the past two years, we’ve certainly observed a period of low vol change into high vol. I call it a volatility expansion and though, for me, using the VIX and other indicators signaled the possible change, the price trend itself is the final arbiter.

trend following stocks stock market asymmetric risk reward

By the way, what about the other vol? The Tennessee Vol? Why do they call Tennessee the “Volunteer State” and the Tennessee Volunteers?

Appalachian Magazine shares the story:

“The proclamation went out from Nashville that the federal government needed 2,600 volunteers to assist in the war with Mexico… Within a week’s time, more than 30,000 Tennesseans responded to the call to arms.  And it was from this overwhelming show of patriotism that the State of Tennessee not only assisted in winning the outright sovereignty of the State of Texas, but also in securing its lasting title as The Volunteer State.”

So, there you have it.

I guess I could have titled this observation “A Tale of Five Vols.” You can probably see how observations can spread out to a wider range and become more volatile. It’s even true for the topic of volatility.

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

The observations shared on this website are for general information only and are not specific advice, research, or buy or sell recommendations for any individual. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

To Know Where You’re Going, Look at Where You’ve Been: The 2018 Year in Review

I write my observations of trends and market conditions every day, though I only share some of them on ASYMMETRY® Observations. The advantage of writing observations as we see them is we can go back and read what we observed in real time.

The best “year in review” is to reread these observations in the order they were written to see how global directional trends and volatility expansions and contractions unfolded in real time. Reviewing our actual observations removes the hindsight bias we have today, looking back with perfect hindsight of what happened only after the fact.

It’s one thing to think back and write about what you observed over the past year, it’s another to revisit what you observed as you saw it. It’s even another to review what you actually did in response to what you observed.

Mark Twain’s mother once said:

“I only wish Mark had spent more time making money rather than just writing about it.”

I don’t take the time to share every observation I have because I am no Mark Twain. I am fully committed to doing it, not just writing about it. Writing about observations of directional trends and volatility is secondary to making tactical trading decisions and active risk management for me. I see no use in observing markets and writing about it if I do nothing about it.

The first observation I shared this year was on January 18th. The topic may sound familiar today. From there, I observed conditions to suggested we could have been seeing the final stages of a bull market, a trend change to a non-trending indecisive period, and a volatility expansion. If you want to understand what in the world is going on, I encourage you to read these observations and think about how it all played out over the year.

JANUARY 2018

All Eyes are Now on the Potential Government Shutdown

In remembrance of euphoria: Whatever happened to Stuart and Mr. P?

FEBRUARY 2018

In the final stages of a bull market

Asset Class Returns are Driven by Sector Exposure

Stock Market Analysis of the S&P 500

Stock market indexes lost some buying enthusiasm for the day

The most important rule of trading is to play great defense, not great offense.

Selling pressure overcomes buying demand for the second day in U.S. stock market

February Global Market Trends

Selling pressure overwhelms buying demand for stocks for the third day in a row

Buying demand dominated selling pressure in the stock market

Asymmetric Volatility

MARCH 2018

Stock pickers market? Sector rotation with stocks for asymmetric reward to risk

Investment management can take many years of cycles and regimes to understand an edge.

Asymmetric force direction and size determines trend

Asymmetric force was with the buyers

My Introduction to Trend Following

When I apply different trend systems to ETFs

The enthusiasm to sell overwhelmed the desire to buy March 19, 2018

Apparently there was more enthusiasm to sell

What’s going to happen next?

What’s going to happen next? continued

APRIL 2018

Is this correction and volatility normal?

Global Market Trends

MAY 2018

Is the economy, stupid?

JUNE 2018

Growth Stocks have Stronger Momentum than Value in 2018

Sector Trends are Driving Equity Returns

Trend Analysis of the Stock Market

Trend of the International Stock Market

Interest Rate Trend and Rate Sensitive Sector Stocks

Expected Volatility Stays Elevated in 2018

Sector ETF Changes: Indexes aren’t so passive

Commodities are trending with better momentum than stocks

Investor sentiment gets more bearish

Is it a stock pickers market?

JULY 2018

2nd Quarter 2018 Global Investment Markets Review

Global Stock and Bond Market Trends 2Q 2018

Stock market investor optimism rises above historical average

Trend following applied to stocks

Asymmetry of Loss: Why Manage Risk?

Earnings season is tricky for momentum growth stocks

Front-running S&P 500 Resistance

The week in review shows some shifts

AUGUST 2018

Global Market ETF Trends

Global Market Trends, U.S. Dollar, Emerging Markets, Commodities, and Their Changing Correlations

The Big Picture Stock and Bond Market Valuation and Outlook

SEPTEMBER 2018

The U.S. stock market was strong in August, but…

Emerging Markets Reached a Bear Market Level, or is it a Continuation of a Secular Bear Market?

What trends are driving emerging markets into a bear market?

VIX level shows market’s expectation of future volatility

Rising Interest Rate Impact on Real Estate and Home Construction

The Trend in Interest Rates and the Impact on the Economy and Stock Market

OCTOBER 2018

Stanley Druckenmiller on his use of Technical Analysis and Instinct

Here comes the volatility expansion

Intermarket trends change over the past two weeks

The volatility expansion continues like tropical storm Michael that could become a hurricane

Divergence in Global Asset Allocation

The Stock Market Trend

U. S. Sector Trends

Observations of the stock market decline and volatility expansion

The stock market trends up with momentum

Observations of the stock market downtrend

NOVEMBER 2018

The stock market is swinging its way to an inflection point

Divergence in the Advance-Decline Line May be Bullish

Pattern Recognition: Is the S&P 500 Forming a Head and Shoulders Bottom?

Momentum stocks need to find some buying interest

Will the stock market hold the line?

The Death Cross on the S&P 500

DECEMBER 2018

Stock Market Observations

What’s going to happen next for the stock market?

Global asset allocation takes a beating in 2018

The stock market has reached a short-term extreme as investor sentiment indicates fear

An exhaustive analysis of the U.S. stock market

An exhaustive stock market analysis… continued

Keep in mind, even if I see what could be the final stages of a bull market unfold, it doesn’t mean I try to just exit near the stock market peak and sit in cash for years. For me, it isn’t a simple ON/OFF switch. The highlight of my performance history has probably been my execution through bear markets. I’ve historically operated through them by being a tactical risk manager/risk taker, which means I increase and decrease exposure to the possibility of risk/reward with an objective of asymmetric risk/reward. I can’t assure anyone I’ll do as well in the future as I’ve done in the past, but I do know I’m even better prepared now than I was then. Being as prepared as possible and well-honed on situational awareness is the best I can do.

I’m looking forward to sharing more observations as we enter 2019 as global market conditions appear to be setting up for some trends to avoid, some to participate in, and some interesting trends to write about. To follow along, enter your email address on the top right of this website and follow me on Twitter.

HAPPY NEW YEAR! 

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

The observations shared on this website are for general information only and are not specific advice, research, or buy or sell recommendations for any individual. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

 

Observations of the stock market downtrend

Observations of the stock market downtrend

In the last observation I shared about the stock market, “The stock market trends up with momentum,” we saw the stock market reverse back up with strong momentum. The S&P 500 stock index had declined about -7% from its high, then reversed back up 3%. I discussed how investor behavior and sentiment drives market prices. Many investor sentiment measures signaled investor fear seemed to be in control, driving down prices. Volatility had spiked and then started to settle back down. Many individual stocks in the S&P 500 had declined enough to signal shorter-term downtrends, but then they reversed up. I closed by saying:

In summary, today was a strong upward momentum day for the stock market and most stocks participated in the uptrend. After sharp declines like we’ve seen this month, the stock market sometimes reverses up like this into an uptrend only to reverse back down to test the low. After the test, we then find out if it breaks down or breaks out.

One day doesn’t make a trend, but for those who are in risk taker mode with stocks, so far, so good.

The part I bolded with italics has turned out to be the situation this time.

Below is a year to date price trend of the S&P 500 stock index. As of today, my observation “the stock market sometimes reverses up like this into an uptrend only to reverse back down to test the low” is what we are seeing now.

stock market trend

I’ve always believed investment management is about probability and possibilities, it’s never a sure thing. The only certainty is uncertainty, so all we can do is stack the odds in our favor. As I said before, “After the test, we then find out if it breaks down or breaks out.” 

The positive news is, investor sentiment measures are reaching levels that often precede short-term trend reversals back up.

The bad news is if the current trend becomes a bigger downtrend these indicators will just stay at extremes as long as they want. We have to actively manage our exposure to loss if we want to avoid large losses, like those -20% or more that are harder to overcome.

Down -10% is one thing, down -20% is another. Any investor should be willing to bear -10% because they will see them many times over the years. Only the most passive buy and hold investors are willing to bear the big losses, which I define as -20% or more.

Nevertheless, I see some good news and bad, so here it is. I’ll share my observations of the weight of the evidence by looking at relatively simple market indicators. I don’t necessarily make my tactical decisions based on this, but it is instead “market analysis” to get an idea of what is going on. Observations like this are intended to view the conditions of the markets.

Fear is the dominant driver. 

The Fear & Greed Index tracks seven indicators of investor sentiment. When I included it a week ago, it was at 15, which is still in the “Extreme Fear” zone. The theory is, the weighting of these seven indicators of investor sentiment signals when fear or greed is driving the market. Clearly, fear is the dominant driver right now.

fear greed index investor sentiment behavioral finance

At this point, we can see investor sentiment by this measure has now reached the low level of its historical range. In this chart, we can see how investor sentiment oscillates between fear and greed over time in cycles much like the stock market cycles up and down.

fear and greed back test over time investor sentiment indicator

I believe investor behavior is both a driver of price trends, but investors also respond to price trends.

  • After prices rise, investors get more optimistic as they extrapolate the recent gains into the future expecting the gains to continue.
  • After prices fall, investors fear losing more money as they extrapolate the recent losses into the future expecting them to get worse.

Investor sentiment and price trends can overreact to the upside and downside and the herd of investors seems to get it wrong when they reach an extreme. We observe when these kinds of indicators reach extremes, these cycles are more likely to reverse. It is never a sure thing, but the probabilities increase the possibility of a reversal. But, since there is always a chance of a trend continuing longer in time and more in magnitude, it is certainly uncertain. Since there is always a chance of a bad outcome, I  have my limits on our exposure to risk with predetermined exits or a hedge.

Speaking of a hedge. 

I started pointing out my observation several weeks ago of a potential volatility expansion. If you want to read about it, most of the past few weeks observations have included comments about the VIX volatility index. Over the past few days, we’ve observed a continuation in the volatility expansion.

vix hedge volatility expansion asymmetric hedge asymmetry

Implied volatility has expanded nearly 100% over in the past 30 days.

vix volatility expansion trading

As a tactical portfolio manager, my first focus is risk management. When I believe I have defined my risk of loss, I become willing to shift from risk manager to risk taker. I share that because I want to point out the potential for hedging with volatility. Rather than a detailed exhaustive rigorous 50-page paper, I’m going to keep it succinct.

My day job isn’t to write or talk about the markets. I’m a professional portfolio manager, so my priority is to make trading and investment decisions as a tactical investment manager. I’m a risk manager and risk taker. If I never take any risk, I wouldn’t have any to manage. The observations I share here are just educational, for those who want to follow along and get an idea of how I see things. I hope you find it helpful or at least interesting. It’s always fun when it starts new conversations.

To keep the concept of hedging short and to the point for my purpose today, I’ll just share a simple chart of the price trend of the stock index and the volatility index over the past 30 days. The stock index has declined -8.3% as the implied volatility index expanded over 95%. You can probably see the potential for a hedge. However, it isn’t so simple, because these are just indexes and we can’t buy or sell the VIX index.

vix volatility as a hedge stock market risk management

The purpose of a hedge is to shift the risk of loss from one thing to another. The surest way to reduce the possibility of loss is to simply sell to reduce exposure in the thing that is the risk. That’s what I do most of the time. For example, when I observed a potential volatility expansion, I reduced my exposure to positions that had the possibility of loss due to increased volatility. Once prices fall and volatility contracts, maybe we increase exposure again to shift back to risk-taking. If we take no risk at all, we would have no potential for a capital gain. So, tactical portfolio management is about increasing and decreasing exposure to the possibility of gain and loss. If we do it well, we create the kind of asymmetric risk/reward I aim for.

So, any hedging we may do is really just shifting from one risk to another, hoping to offset the original risk. Keep in mind, as I see it, a risk is the possibility of loss. I’ll share more on hedging soon. I have some observations about hedging and hedge systems you may find interesting.

Most stocks are participating in the downtrend. Below is an updated chart of the percent of the stocks in the S&P 500 that are above their 50-day moving average. If you want to know more about what it is, read the last observations. The simple observation here is that most stocks are declining.

stock market breadth risk indicator

Much like how we saw investor sentiment cycle and swing up and down, we also see this breadth indicator oscillate from higher risk levels to lower risk levels.

  • After most stocks are already in uptrends, I believe the risk is higher that we’ll see it reverse.
  • After most stocks have already declined into downtrends, it increases the possibility that selling pressure may be getting closer to exhaustion.

The good news is, at some point selling pressure does get exhausted as those who want to sell have sold and prices reach a low enough level to bring in new buying demand.

That’s what stock investors are waiting for now.

These are my observations. I don’t have a crystal ball, nor does anyone. I just predetermine my risk levels in advance and monitor, direct, and control risk through my exits/hedging how much I’m willing to risk, or not. We’ll just have to see how it all unfolds in the days and weeks ahead.

Only time will tell if this is the early stage of a bigger deeper downtrend or just another correction within the primary trend.

I hope you find my observations interesting and informative.

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

The observations shared on this website are for general information only and are not specific advice, research, or buy or sell recommendations for any individual. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

The stock market trends up with momentum

When the stock market indexes swing up or down 1% or more I try to share my observations of the directional trend and changes in volatility. Continuing from my observation yesterday in Observations of the stock market decline and volatility expansion when I shared:

The good news is, we’ve now experienced some volatility expansion, stocks have now pivoted down to the lower end of their cycles, so maybe volatility will contract and stock prices resume their uptrend.

We’ll see.

Well, today we saw.

The U. S. stock market gains were broad across all sectors. Communication Services, Consumer Discretionary, Healthcare, and Technology were the relative momentum leaders.

stock market trend sector ETF momentum

Continuing with the % of S&P 500 stocks above their 50 day moving average as breadth indicator was another indication of broad upward momentum. 86% more stocks are trading above their shorter-term trend, an expansion from a low level. For those of us who like to enter trends early in their stage, this is a positive sign of improvement for the stock market.

percent of stocks above below 50 day moving average trend following momentum

We observe the same in the percent of stocks trending back above their longer-term trends. There was a 16% expansion in the stocks in the S&P 500 index trending above their 200 day moving average. The longer-term trend indicators are slower to respond, but this is more evidence of positive directional movement.

stock momentum percent of stocks above 200 day moving average trend following asymmetric

This is happening at a time when many investor sentiment indicators suggest fear has been driving stocks recently. A simple example is the Fear & Greed Index, which reached “Extreme Fear” a week ago.

CNN FEAR GREED INDEX SENTIMENT

As a portfolio manager for the past two decades, I have observed investor sentiment oscillate between fear and greed, but as a contrarian pendulum. Most investors feel the wrong feeling at the wrong time.

  • After prices rise, investors get more optimistic as they extrapolate the recent gains into the future expecting the gains to continue.
  • After prices fall, investors fear losing more money as they extrapolate the recent losses into the future expecting them to get worse.

What happens, though, is market trends move in multiple time frames of cycles up and down. Prices can overreact to the upside and downside and the majority of investors seem to get it wrong.

The level and direction of implied volatility is an indication of investor sentiment. I’ve shared my observations of the volatility expansion and noted some volatility contraction yesterday. So far, the volatility expansion has reversed to contraction, so the expected volatility as implied by options prices now suggests the market expects lower volatility in the weeks ahead.

VIX VOLATILITY CONTRACTION EXPANSION ASYMMETRIC RISK HEDGE ASYMMETRY

But, just as I pointed out on September 25th in VIX level shows market’s expectation of future volatility implied volatility can get it wrong. I pointed out then the implied volatility was very low signaling to me the market may have been wrong to expect such low future volatility, so it can reverse back up again.

In summary, today was a strong upward momentum day for the stock market and most stocks participated in the uptrend. After sharp declines like we’ve seen this month, the stock market sometimes reverses up like this into an uptrend only to reverse back down to test the low. After the test, we then find out if it breaks down or breaks out.

One day doesn’t make a trend, but for those who are in risk taker mode with stocks, so far, so good.

 

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

The observations shared on this website are for general information only and are not specific advice, research, or buy or sell recommendations for any individual. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

Observations of the stock market decline and volatility expansion

Observations of the stock market decline and volatility expansion

On September 25th I shared in VIX level shows market’s expectation of future volatility when I pointed out a low level of expected volatility as implied by the VIX index.

I said:

The current level of the VIX index has settled down to a lower historical level suggesting the market expects the future range of the price of the S&P 500 to be lower. Below is the current level relative to the past year.

I went on to explain my historical observations of volatility cycles driven by investor behavior:

The VIX Index is intended to provide a real-time measure of how much the market expects the S&P 500 Index to fluctuate over the next 30 days. The VIX Index reflects the actual order flow of traders

Since investors tend to extrapolate the recent past into the future, they usually expect recent calm markets to continue and violent swings to persist.

After the stock market declines and volatility expands, investors extrapolate that recent experience into the future and expect volatility to continue. Sometimes it does continue, but this time it gradually declined as the price trend became calmer.

When markets have been calm, traders and investors expect volatility to remain low. Before February, the VIX implied volatility had correctly predicted low realized volatility for months. But, both realized and expected volatility was so low that many investors were shocked when stock prices fell sharply, and volatility expanded.

When the market expects volatility to be low in the next 30 days, I know it could be right for some time. But, when it gets to its historically lowest levels, it raises situational awareness that a countertrend could be near. It’s just a warning shot across the bow suggesting we hedge what we want to hedge and be sure our risk levels are appropriate.

I shared the chart below, showing implied volatility at the low end of the cycle over the past year:

Since that date, we’ve indeed witnessed a volatility expansion of more than 90% in the VIX index and a decline in the S&P 500 stock index over -6%.  Implied volatility has expanded and stocks declined. As implied volatility is now starting to contract, below we can see the recent expansion as it trended from 12 to 24. Today its back to its long-term average of 20.

Stock market indexes, both U. S. and international, have declined 6 – 7% from their highs.

At this point, this has been a normal short-term cycle swing in an ongoing uptrend that is frequently referred to as a “correction.”

To be sure, we can see by looking at the % drawdowns in the primary uptrend that started in March 2009.

Markets cycle up and down, even within overall primary uptrends. As we see over a nine-year period, the current decline is about average and half as deep as the largest declines since 2009.

You can probably see what I meant by situational awareness of the markets cycles, trends, and volatility levels.

It isn’t enough to just say it or write about it. My being aware of the situation helps me to do what I said, which is worth repeating:

But, when it gets to its historically lowest levels, it raises situational awareness that a countertrend could be near. It’s just a warning shot across the bow suggesting we hedge what we want to hedge and be sure our risk levels are appropriate.

As far as the stock market condition, I like to see what is going on inside. Just as volatility swings up and down in cycles, so do price trends. As I’ve pointed out before, I observe prices swinging up and down often driven by investor behavior. For example, many investors seem to oscillate between the fear of missing out and the fear of losing money.

“The less the prudence with which others conduct their affairs, the greater the prudence with which we must conduct our own.” – Warren Buffett

One visual way to observe the current stage is the breadth of the stock market as I shared last week in The Stock Market Trend. Below is the percent of stocks in the S&P 500 index trending above their 50 day moving averages often used as a short-term trend indicator. This is a monthly chart since 2009 so we can see how it oscillates up and down since the bull market started. At this point, the number of stocks falling into short-term downtrends is about what we’ve seen before.

stock market breadth asymmetric risk

The risk is: this continues to be an aged old bull market, so anything is possible. That is why my focus every day is situational awareness. But, there is always a risk of a -10% or more decline in the stock market, regardless of its age or stage.

The good news is, we’ve now experienced some volatility expansion, stocks have now pivoted down to the lower end of their cycles, so maybe volatility will contract and stock prices resume their uptrend.

We’ll see.

All that is left to do is observe, be prepared, and respond tactically as it all unfolds.

Mike Shell is the Founder and Chief Investment Officer of Shell Capital Management, LLC, and the portfolio manager of ASYMMETRY® Global Tactical.

The observations shared on this website are for general information only and are not specific advice, research, or buy or sell recommendations for any individual. Investing involves risk including the potential loss of principal an investor must be willing to bear. Past performance is no guarantee of future results. The presence of this website on the Internet shall in no direct or indirect way raise an implication that Shell Capital Management, LLC is offering to sell or soliciting to sell advisory services to residents of any state in which the firm is not registered as an investment advisor. Use of this website is subject to its terms and conditions.

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