It's been a while since Greek banks have been in the news, and Greece remains in a depression. Some may remember the economic mess Greece was earlier in the decade, and its banks reflected that mess. Let's just say those banks were not the best of investment choices for the time since.

Cut to 2018. Is it time to think of Greek banks as investable? I posed this question to a few friends and received some interesting answers, including that I might want to consider investing in Sears instead, that Spanish banks might be of greater interest (not until the Catalan situation clarifies—I doubt that it will be successful in seceding, but it will be at least a distraction), Italian banks might other better risk-reward, and the question of why banks.

So I put the question to the list: What think you of Greek banks as current investments? The blood's run in the streets and is slowly being cleaned up. Is this the time, or is it a matter of waiting a few years more?



Watching the basketball playoffs I see quite a correspondence between the basketball scores and the market moves. Hopefully the market will get to the point where they have the bevy of statistics starting with the plus and minus for each man on the team that the basketball routinely has. They also have stats on the number of shots made from each position classified by number of dribbles which lends itself well to market action.

Steve Ellison writes: 

Plus-minus is a favorite statistic of more knowledgeable hockey fans. William Karlsson of the Vegas Golden Knights not only scored 43 goals and 35 assists this year, but he had the best plus-minus in the National Hockey League at plus 49 (meaning his team outscored opponents by 49 goals during the time he was on the ice).

There are counterexamples, too: players high in the scoring standings whose plus-minus is negative. Rather than name names, maybe it is best to leave their identities as an exercise for the reader.



 I'm reading Ed Renehan's biography of Jay Gould: Dark Genius of Wall Street. It's an informative and entertaining read and gets 4.6 stars in my book.

Some takeaways. Gould got in a railroad war with Commodore Vanderbilt, and the Commodore lowered shipping rates by 99% to put Gould's Erie under. Gould went into the cattle business in the Midwest and shipped his cattle by Vanderbilt's railroad. The commodore was apoplectic when he found out what Gould was doing.

Gould would get control of a company short the stock, then water down the stock, and buy back the watered down stock with a great profit.

Gould and his buddy James Fisk tried to corner the gold market, and Renehan cites other players like Henry Clews on the mechanics of the deal and what really went down.

There are a couple hundred other little anecdotes, stories, and plots in this book. Too many to recount.

This book provides a very sympathetic look at Gould. None of the hate I've seen in other bios of Gould.



Here are monthly rankings in S&P 500 points 2006 to 2017. Two summer months in bottom quartile, but one summer month near the top. The best month to avoid last 12 years is Jan.



 Alfred Thayer Mahan is an estimable fellow who wrote 25 books and was considered the dean of naval strategists. His contemporaries railed against him for rehashing the English strategies in the age of sail while they were in the age of steam. But he was adamant the way we are about reading 100 year old books. He said "nothing could be more practical then formulation of the principles and methods by which war may be carried out to the best advantage through the study of history". He managed despite much opposition to the rehashing of Nelson's tactics in the battle of the Nile and Trafalagar to stay president of the war college for 7 years. His main principle was to prevent the enemy from engaging in commerce. His major strategic principle was "throw by strategic movements the mass of an army successively upon the decisive points of a theater of war and also upon the communications of the enemy without compromising your own". I believe this strategy for a money manager is very good and I aim to follow it in the main in the future.

anonymous writes:

If you believe in the Special Relationship's value for Americans' self-interest over time, then Mahan is your guy. If you think, as I do, that Britain's insistence on choosing the Ottomans over the Russians was the folly that produced the shames and greater follies of imperialism and led the Adams idiot brigade to reject Washington's Farewell wisdom, then Mayan is just another puffed-up fool who taught America's better minds to worship the warlordism known as strategic thinking.



The current broadway show Carousel was Rodgers' and Hammerstein's favorite show. The scene where Billy tells his wife that's he's a no good according to Sondheim was the turning point in modern theater…. The music was very good and the dancing was good also. However, the principal is a man of color and he sung and spoke the lines as if he was engaging in a rap contest or had recently been trained in that other nightmare Hamilton. Aubrey and I took in Carousel and My Fair Lady on successive days and we can recommend My Fair Lady as being timeless and having great songs and music including the second act where it was the custom of American composers to compose it during the tryouts in New Haven.



Dear Muskaan,

Soon, in a couple of months, you would step out of your teen years. Your daddy is very happy to find you have worked at configuring a fine personage. One has written to you a few years ago, a great mind works well in a healthy body & the two are held together well by a fine personality. While you are pursuing varied extra-curricular activities that range from numeracy skills to verbal to spatial I take note of the fact that you are moving forward in the Rubik’s cube championship in moving to the National round. Heartiest congratulations! The cube puzzle is a test of pattern memorisation, mind-body co-ordination and highest levels of focus! All three are a matter of practise. If possible, for preparing for the national round try to pick up a cube that resembles closest the one provided to you at the contest and buy several pieces of the same and set them up for different levels of smoothness and practise across all of them. This will provide you the familiarity with any cube piece you may get to work with at the National Round!


One draws immense satisfaction that you have worked at developing a vocabulary that is talked about much amongst your peers. Today amongst a few things daddy would like to first share with you how a powerful vocabulary can be delivered with unprecedented impact. Daddy has learnt from his Gurus those who are champions are economical in their movements & speech, on one hand. On the other it’s a well- known and widely known truth that body language is what brings impact to frugal speech. A rich vocabulary empowers you to express the closest hue of the most relevant emotion for the moment. The impact is brought in by emoting your words. I suspect, body language drives communications deeper for two reasons:

1. Mind processes things at the subconscious level much faster

2. Body language actions travel at the speed of light & reach faster than your speech that can travel only at the speed of sound.

In any Acting 101 class it is taught early to students of acting that if body language of physical actions accompanying speech are signalled out before the words are let out the acting becomes way more real. Likely the two facts enumerated above make this happen.

While there are a few good books always on the market on explaining body language, a fine personage that is always a student will continue to learn by constantly being observant. There are three perspectives from which any observation can be made as far as body language is concerned. To observe which physical expressions or signals of yours worked well in achieving your communication goals and which did not is one. To observe how others’ body language triggers positive & negative feelings in you is as good. To observe how one another impacts with her body language yet another even better. The best way is however none of these three. If you can train yourself to observe yourself as a third person in your interactions with any other person you will begin to minimize the self or ego and maximise the objective mind in you.

Ego is a construct nature built into all beings to give them a sense of identity so as they can practise with greater seriousness self-preservation, self-propagation & self-expression. One cannot thus and should not be ego-less. The problems of most relationships are a far heightened sense of self, i.e. an extra-ordinarily larger than required ego. All of us know what is wrong with most things. Few of us get the opportunity to learn from others or by self-deduction how to overcome the wrongs. One good way to minimize the self, down to only the necessary level is to be observing the self from another’s point of view at all points of time.

A heightened sense of the self or a larger than required amount of ego is also the origin of all passions or passive emotions. The switches that world can trigger within one make one easier to be manipulated into digressive emotions. To suffer pain & fear or to be taken over by lust or anger are all due to this larger than required ego.

When the ego is huge, the sense of entitlements is huge. In this world those living with a sense of entitlements undergo most denials! The switches of an ultra-sensitive person with higher sense of entitlements are dangling out in the open. Anyone can click those switches. Hide & fade away your switches. This can be done only by fading and minimizing “you” to just the required humble level!

So I urge you to think about this know-how that daddy just shared on how to dilute the self by containing the ego through always be observant of the self in third person. Such a personage is also able to generate feedback ahead of what the world will tell you about your “self”. You will be a step ahead then! Humility is one of the big outcomes of ego-reduction & it is the world’s most powerful currency that works even when money fails! It helps you provide a continued supply of put options that the world writes to you at your own follies! The other equally important outcome is annihilating the sense of entitlements. You are the daughter of a capitalist & one knows you have learnt today the communist ideas of entitlements make the whole life and not just economics, a paralysis.

Emotions are not at all bad. They are necessary. But the problem with emotions is only when we get driven by them, due to this ego, instead of driving our own motions / petitions / proposals / pitches to the rest of the world. You must not by any chance understand that daddy is an anti-emotion robot. No way! Emotions drive relationships & all engagement in human society. Yet one must ride the horses of emotions and not be dragged by them into a directionless whirl-wind of a life. However, any energies you draw from your well thought out principles for life & values are emotions rising from within and they will make you compassionate, honest, and sincere & therefore a happy & successful person. Let them prevail. The rest need to be left outside like you would leave your shoes.

Having discussed briefly emotions & how to emote, daddy has stated in passing that you would be a happier person in doing these effectively. Yet, the essence of life is not happiness, it is really how each will overcome suffering. Pain is guaranteed to each in some or the other form in some or the other intensity at all points of life yet suffering is optional. Those who can train them to choose to not suffer and handle pain really only as a signal requiring one to bring change are the ones who are successful at whatever they could choose to pursue in life. Pursuit of happiness is a chimera. The real pursuit of evolving as a human being is to be able to minimize suffering. Those who choose to not suffer are the ones who are happy. Else happiness becomes contingent on outcome of events and quality of objects & behaviour of other people. To have your locus of control right within yourself it’s important you switch your perspective today and now that the pursuit worth undertaking for this life is to minimize suffering. Daddy awaits to realize in the near future his daughter has become one of the strongest people, he has known, who chooses not to suffer!

Change is the only constant in the world we live in. A transitory, impermanent universe of objects, processes, people & ideas is what our world is. We have a finite beginning & a finite end. Our body continuously keeps changing and it can be proven that in approximately seven years every single atom in our bodies is new. So that brings to this concluding note for now, your body is not you. Your body is one of the key devices given to you by nature. You are an infinitely more potent force than can be seen, heard or perceived. So, while you must take care of this very important device your body, you have to be confident as this body changes over time that the real you is an infinitely more sophisticated and capable construct.

Today the world is getting swept by ideas of the internet of all things and the coming wave of artificial intelligence. There is excitement as well as fear that the coming AI Robotic age may destroy us humans. Elon Musk has often been tweeting about the dangers of Artificial Intelligence. You however might agree with me the term Artificial Intelligence itself is ultra-egoistic. No one can prove if we the humans are not already one layer of Artificial Intelligence brought into being by a higher degree intelligence that is often called God?! Perhaps AI should be renamed to Derived Intelligence? Irrespective, of the nomenclature, the fears are uncalled for. Perhaps mankind will learn to emote well enough with the coming AI Driven Robots & turn them emotional when required (wink, wink).

All I would tell you for now, fear again originates from a sense of entitlements and too much attachment to the idea of the self. The way evolution of species has propagated so far the best would survive. If AI is going to produce entities driving emotions and not driven by emotions then daddy has rested a compelling case on your desk now, emote better my daughter than getting emotional! You will then certainly be riding well through the age of AI & Robots also & until then more effectively with mere humans! Wink! Wink!

Proudly yours,




 He told me some time ago, before I woke up and while I was dreaming that Sell in May and go away is known to everyone including every cabbie anywhere in the world, even the ones in Namibia and Ethiopia.

So I asked him, what are you trying to say just tell me clearly. Can't you have some compassion for a man deep in sleep in a comfort zone that one earns after a day's hard work.

He smiled. Said once those who have read the book that is an Almanac of the past year's behaviours and have sold it out, the market mistress will inflict regret and then anguish. There will be many who sold by the book and will be forced to buy it back. That's when you sell at the end of May or even if it becomes early June.

I almost had woken up by then. Asked him now what is this way to startle someone and pose a riddle first and then surmise a conspiratorial idea as if now the flexions have also taken the cabbies within their matrix. He said well everything is possible but the simple idea is some always say "this time its different" and the mistress must keep them in the business as well to keep the infrastructure complete as ever.

So I had two choices. To fix a cup of coffee and abandon sleep and get back to some mumbo jumbo. The other choice was to leave this note on this erudite list and ask as usual another question. Would you care to think of what just this cabbie uttered and then vanished away in ether? Oh I forgot to tell you, he also had said if you can figure out Sushil what is the density of High of the Year in any given week number or month its not a bad thing to burn the midnight oil on.



We have been looking for a summer home in Montana and am amazed at the number of properties for sale; and the number that have not sold, many have dropped prices.



This morning’s headlines include an EU push to save the Iran Nuclear deal. Is the deal that good? Why do they want to save the deal? Are they being paid off? Do they really want Iran to have nuclear weapons? Next door to Europe? What makes this deal good for the west? All I know about the deal is that the USA delivered billions of US dollars to Iran on pallets in order to circumvent their own currency export regulations. Seems like a hinky deal to me but copies of the exact text and terms of the deal seem to be as elusive as the yeti, Loch Ness Monster, or abominable snowman. Please explain to those of us in the nose bleed grandstands.



Quoting Anatoly Veltman:

DB 90% off its record doesn't scare me. I'd buy that before any lottery ticket in the world. But back to EUR/CHF's first touch of 1.2000 since SNB had refused to prop that Maginot line January 2015–this is a market significant event.

about CHF: (I have been wrong before – more often than right.) But I think the SNB wants a weaker franc (e.g =eurchf goes up). So they will love the eurchf up here–the same on all the other CHF-crosses.

The break in 2015 was a failure of their intervention.

On the other hand, there is the chair's round number phenomena. I don't know how to play this.

about DB: The DeutscheBank chart is scary to me, because:

- I think investors can not value the bank.
- by now other EU countries have more successfully managed their failing banks (like Italy)
- I think some sort of strategy of betting for time is going on in Germany
- this strategy seems to fail, because the stock does not participate in the recovery in EuroLand or the world.
- some might bet on a bailout
- there is a strong anti-capitalistic sentiment in Germany and any bailout will trigger one more annoying socialist debate – hence the betting on time (by the government)

The chart attached is the ratio DB(in USD) vs SP500 financials (via XLF).



 The chair wrote about the movie "The Death of Stalin".

I watched it the first time, as a comedy, and did not like it. I found it is not funny. I watched it a second time as a drama/documentary–and now it is an excellent movie to me.

Another book about Russia, that recently impressed me a lot is Former People: The Final Days of the Russian Aristocracy by Douglas Smith.I don't know if this book was introduced to the site before.

The background about Lenin resonated the most with me. An entitled aristocrat started out to better the world and killed millions in the process.I think this happened multiple times in history.

From google-books:

Former People - Epic in scope, precise in detail, and heart-breaking in its human drama, Former People is the first book to recount the history of the aristocracy caught up in the maelstrom of the Bolshevik Revolution and the creation of Stalin's Russia. Filled with chilling tales of looted palaces and burning estates, of desperate flights in the night from marauding peasants and Red Army soldiers, of imprisonment, exile, and execution, it is the story of how a centuries'-old elite, famous for its glittering wealth, its service to the Tsar and Empire, and its promotion of the arts and culture, was dispossessed and destroyed along with the rest of old Russia



I met someone who invests by heavy construction company activity. He claims that heavy construction leads a rise in certain commodities as well as the general market, and that the top companies he monitors establish a rough lead time for investment. It would seem easy to identify the top ten companies online and chart their activity vs. specific commodities and the general market to see if it's true.



 Chart of USPS annual mail volume from the USPS website.

Carder Dimitroff writes: 

I'm wondering if it makes sense to sell US Postal System assets. 

anonymous comments: 

There are basically three different theories on what to do with the post office.

Theory 1: The post office is dying. The solution lies in free markets which means privatizing it which may or may not mean ultimately the sale of many of its assets and properties.

Theory 2: Yes first class mail is dying, but package delivery is increasing. We can't privatize the post office because nobody will ever be able to put together this package of assets/distribution again. The post office just needs to re-purpose it's assets the way it has already started to do and get into same day package delivery. This of course is supported by the postal union and its political allies.

Theory 3: (This was once the position of the postal union, and is now relegated to weird, out of touch leftists): The postal union is an American institution that connects us all into a society. Yes, you don't know anybody who hangs out at the post office, but believe me, if we close a lot of post offices it will devastate small communities where people hang out at the post office. Again, you don't know anybody who hangs out at the post office, but millions of people do.

It's an interesting debate between theories 1 and 2, but unfortunately the debate is always mixed up with a bunch of people lobbing Theory 3 stuff into the conversation.

anonymous adds: 

New Zealand's experience: "history of new zealand post".



 Why MC Rove's way ahead of the curve prediction that the "automation is going to take all of our jobs" theory was not correct:

"Why Isn't Automation Creating Unemployment"

Stefan Jovanovich writes: 

Consider the source: a law school in Boston.

"In the more distant future, the story might be quite different and service sector jobs might experience the kind of declines we now see in manufacturing."

1. Manufacturing employment in the U.S. is actually increasing because 3-D printing and other new forging and fabricating technologies are reviving job shops.

2. "Service" sector jobs are already declining. The big employers now are the box stores - Wal-Mart, Lowes and Home Depot to name a few, medical care, and "education". The box stores and other retailers have already seen peak employment. The non-profitistas come next.



The use of deception by the US in the missile strike on Syria where they sent destroyers to the Mediterranean and had the Syrians thinking the missile strikes would come from there but in actuality they came from 3 other directions was similar to the market deceptions where they have a market that is usually associated with a move like bonds down which usually is associated with S&P up but then S&P tanks as it did on February 5th.

Anatoly Veltman writes: 

Interesting. Does anyone have good number: were 70% of Tomahawks shot down, or only 30%? 

Stefan Jovanovich replies: 

There are no "reliable" sources for such matters, but it is usually wisest to take the military reports first as "data".

As the report notes, the attack came from US Air Force bombers, Navy ships and a Marine electronic warfare suppression support aircraft. It is also careful to specify that there was no intrusion into "Syrian" air space by any plane. Only the munitions "invaded".

The reported "feint" is mostly Washington Post nonsense. The attacks came from every point of the compass except North. (Theoretically, the U.S. destroyers in the Black Sea - the Carney and Ross - could have launched their missiles; but that would have been a direct provocation of Turkey and Russia.) The French frigate and the British Virginia class submarine fired their missiles from the Mediterranean. The American attacks came from the Red Sea and the Persian/Arabian Gulf. The Syrian AA capacities, which are entirely Russian, were limited.

What I find notable is that this was very careful gunboat diplomacy on both sides. The Americans, French and British clearly warned the Russians and Syrians that there would be an attack; the buildings and their surrounding areas had been completely evacuated. The Russians, in turn, were careful to keep S-400 systems turned on but they did not launch their ground-to-air missiles while the attacks were underway. 

Anatoly Veltman writes:

Wow. Stefan's opinion, although carefully qualified, tends toward 0% (?) Russian Minister claims 71%.

Stefan Jovanovich responds: 

The truth is always the first casualty. My initial report had the British attack coming from a Virginia class submarine in the Med. Right weapon, wrong country. The sub was the U.S.S. John Warner.

The British Forces net has a detailed report of the weapons used.

Here is the report from TASS.

The Russian report says that the defensive weapons used were the S-125, S-200, Buk, Kvadrat and Osa air defense systems. The Pentagon referenced the S-400. The differences among these weapons is considerable.

The S-125 was introduced by the Soviets in 1961.

The S-200 also dates from the Cold War but is still in active service - hence, the Wikipedia page. The Syrian inventory dates from the 1980s.

The Buk, Kvadrat (Kub), and Osa are of a slightly more recent vintage; but none would be called "modern".

The question to be asked: Why would the Russians omit any mention of the S-400 when the Americans had identified it? The S-400 is the one system that is not a worked-over antique.



It appears New Jersey's governor will sign a bill subsidizing the state's nuclear power plants:

"One bill would provide two Public Service Enterprise Group nuclear power plants with subsidies costing ratepayers about $300 million per year."

While friends at American Nuclear Society and Nuclear Energy Institute may be celebrating, those invested in the power markets may have a different view.

The issue is "market response." When a state pays an owner to run their plant independent of regional market signals, the owner will run his plant. In fact, the owner will happily run their plant when their production costs fall below market prices.

That's fine for the nuclear plant. It's not fine for other participants. When large assets ignore market signals and continue to produce, market-clearing prices for everyone crashes. The nuclear owners win, other producers lose. Those other producers include coal, natural gas, oil, hydro, wind, solar, and storage.

FWIW: Consumers win with lower energy costs (yes, they could get some of their $300 million back). State and local governments win with SIP programs and tax bases.

The power market may adjust bids in the attempt to offset state subsidies. While adjustments help, they would not address the behavior.

This is not a new problem. In US, EU, and other deregulated power markets, nuclear plants frequently ignore market signals. When they do, market-clearing prices frequently cross $0.00. With added incentives to "must-run", zero-priced energy may appear more frequently.

To be candid, I'm being a bit ornery. I believe it's in the nation's best interests to keep existing nuclear plants running. For free-market proponents, there are no perfect solutions. For New Jersey (and Illinois and New York), this is one of the policymakers' least bad options.

IMO, there's another choice. It relies on markets. It would reside at the wholesale level (multi-state). The grid could offer a two-tier pricing system for capacity. One tier would be for baseload plants, which would capture nuclear, large coal, large hydro, and large natural gas. The other would be for non-base load plants, which would include small gas, oil, small hydro, wind, and solar.



P. Allen Smith, a fellow alum from my undergraduate days, produced this informative segment for his PBS show. It's about the Memphis Cotton Exchange Museum, and has good shots of the exchange trading floor and the big board. There are some very nice historical pictures of the floor during it's heyday.



In the last few days one of the economic talking heads commented on how he has "not seen volatility like this since" sometime in the past. I forget whether the former time was 1998 or 2008, but it doesn't matter, as there are many periods in the past with greater volatility.

My quick look at past volatility consists solely of looking at the height and duration of VIX in earlier periods. I took the standard measure (VIX) because of its relatively universal acceptance. I could use some of my own measures, but not without the risk of being flamed for subjectivity, despite the fact that they compare with VIX on a relative basis.

Question: Is there something I am missing? Is there some measure of vol that I am unaware of? Could the high volatility simply refer to the gentleman's equity balance? Could this simply be an effort to gain a headline, i.e. fake news? Any thoughts?

Gibbons Burke writes: 

The VIX seems skewed to being more sensitive to downside volatility and not so much to upside volatility, and it is based on one instrument: the S&P 500 index calls and puts and their ability to speak to the volatility of the underlying index.

The standard Historical volatility calculation of the same underlying instrument used as the input for option pricing models is somewhat more flexible in that it can be applied to any instrument since all it requires is daily closing prices, and the S&P 500 retroactively before the VIX was created.

The two measures, VIX and SPX historical volatility correlate closely—and most interesting is when they depart from that correlation, which shows that the options market is anticipating something which has not shown up in the movement of the underlying. You know all this of course, and have developed some very interesting work on options and their open interest already as it relates to the underlying, no?

In technical analysis realms, average range, and Wells Wilder's Average True Range (which considers the previous day's close as part of the day's range if it is above or below the high or low of the day, which captures post-close volatility and gap moves) has been used as a volatility measure for input into risk allocation components in trading systems, and as breakout bands for trading systems like one made famous by Larry Williams and others like Steve Notis.

A newer volatility measure which came out of chaos theory ideas when they became popular measures the total range (or true range) over some n-period window of previous market activity, and measures the sum of all the individual period ranges (or true ranges) as a ratio. Two instances of this volatility measure are Adam White's VHF index (vertical-horizontal f-something) and CTA Ed Dreiss' Choppiness Index. Both are solid conceptually, easy to calculate, and are already implemented in many systems.

anonymous writes: 

For the S&P, here is the mean daily High-Low range as a % of the Open, for each year since 1962:

year  /  mean daily H-L as % of Open

2018 -  1.44%
2017 -  0.51%
2016 -  0.95%
2015 -  1.10%
2014 -  0.86%
2013 -  0.85%
2012 -  1.06%
2011 -  1.62%
2010 -  1.36%
2009 -  2.00%
2008 -  2.74%
2007 -  1.17%
2006 -  0.85%
2005 -  0.88%
2004 -  0.95%
2003 -  1.41%
2002 -  2.08%
2001 -  1.75%
2000 -  1.84%
1999 -  1.54%
1998 -  1.58%
1997 -  1.42%
1996 -  1.01%
1995 -  0.72%
1994 -  0.82%
1993 -  0.71%
1992 -  0.82%
1991 -  1.11%
1990 -  1.31%
1989 -  0.95%
1988 -  1.22%
1987 -  1.77%
1986 -  1.12%
1985 -  0.79%
1984 -  1.00%
1983 -  1.01%
1982 -  1.60%
1981 -  2.03%
1980 -  2.21%
1979 -  1.55%
1978 -  1.60%
1977 -  1.37%
1976 -  1.60%
1975 -  2.16%
1974 -  2.58%
1973 -  2.06%
1972 -  1.53%
1971 -  1.54%
1970 -  2.09%
1969 -  1.74%
1968 -  1.78%
1967 -  1.62%
1966 -  1.77%
1965 -  1.26%
1964 -  1.16%
1963 -  1.26%
1962 -  1.73%

Sushil Kedia writes:

​VIX measures the price of volatility all are wagering on. Price is the weighted mean/vector sum of all individual values of volatility the various have for themselves. 
Combining a few well accepted ideas, here & everywhere else: 
Depending on where one is in the market food chain there are different versions of what is noise and what is tradeable information content. 
So a simple and effective & consistent to calculate the value of volatility for oneself is to objectively write down what is the minimum movement size below which you dont act. For a HFT robot it could be every tick & for "markets cannot be timed behemoths collecting only other people's money, a.k.a. long only passive funds" it could be 5%. Whatever it be define your sensitivity and lets call it your sensitivity unit move. 
Then each occurence of a move of a unit size is counted — as in counting by toes or a computer programme over any observed length of data. Count the absolute vaues of the Unit sensitivity. Divide the net change over the same length of data with the sum of absolute values of unit sensitivities observed. 
A straight line move would thus give you zero volatility or noise and a perfectly tradeable information content. If however over the observed length of data, on the other hand, net change is zero then there is only noise. 
I remember, many years ago Bill & few others had discussed here how Point & Figure method from the university of mumbo jumbo is an approach that is very similar to this thinking and a fantastic way to separate signal and noise relevant to each as per their forebearance within the food chain. 



Pardon my links but this is pretty interesting conversation between Elroy Dimson and Meb Faber.



The other day, I wrote/postulated the equation:

MTM Impact of Long Ins - MTM impact of short Ins = = - (Opportunity Impact of Outs + Opportunity Impact of Virgins)

(details here)

Transposing this symbology:

<=> MTM Impact of Long Ins + (Opportunity Impact of Outs + Opportunity Impact of Virgins) = MTM impact of short Ins

Interesting perspective comes by:

Given that the present moment monetary value of gains and losses made by long and shorts must be equal in value, the insertion of Opportunity cost (which has infinite degrees of freedom for value of time) in this equation is more a logical symbolism than any arithmetical thing (which is only derivable by focusing on the present moment).

If markets are falling & the shorts are gaining, it is not only the suffering of the existing longs but a much larger mass of the Virgins is stacked in along with the Outs to fight with the Longs in their war with the shorts!

If markets are rising however, the self fulfilling prophecy of trend-following works much more given financial markets follow the economics of giffen goods (ownership is the utility, there is no physical use of the financial asset).

In simpler language what it implies to this back-bencher in the class of counting is that its not tough to visualize a mirrored convexity working in the markets. The present moment, defined in terms of change in prices, is where the Outs and Virgins appear to have the minima. But either which ways the price changes, the Outs and the Virgins are on the side of the longs!

The short seller is the loneliest animal in the food chain of the market wilds (you can see him here). He is not lonely only in the long run due to the drift, but at each change of the tick!



We are at a point where MA 50 day is crossing down the 100 MA…

Sure, we are in a low, and maybe we will see a bounce to retest higher values, but the point is, use this rebound to lighten up, thanking God for giving us new highs from which to sell, or are you really aiming for new highs ?

What should push the markets to new highs in your point of view? Better express it now than later…

Adam Grimes writes: 

Is there any statistical edge to the 50 day MA crossing the 100 day? This is something that is easily testable, and if you have tested it and found no edge (beyond the baseline drift, of course)… then the only reason to be talking about it now is that we must be convinced "this time is different" and it matters this time, right?

If so, why?

Unless there are good answer to those questions, isn't all discussion of moving average crosses just noise?



 There's a new game in town. It's called Stockpile, an app/brokerage that allows one to buy fractional shares of stocks in price increments online. They also offer gift cards at places like Target where one can buy fractional shares of every stock on the S&P 500 and many ETF's etc. One can buy the gift card, open the account, and redeem it for a partial share. It was very disconcerting on so many levels to see a rack of gift cards of partial shares…at a Target. At $0.99 per trade, it's very expensive considering it's almost a buck for a partial share. Still, the millennials will love it. Stockpile's website is here.  Here's a very good Youtube of Jim Cramer discussing Stockpile with the founder. Here's what the rack of gift cards looked like.



Nice interview with Dimson:

Episode #100: Elroy Dimson, "High Valuations Don't Necessarily Mean That We're Going To See Asset Prices Collapse"



 I've been busy at Slab City. The three year era of rental cars expired when I pulled my old Ford Contour out of mothballs and it promptly blew a head-gasket. So I'm riding a Honda 185 motorcycle that is fun. I put a sidecar on it that fell off, so I'm looking at the world again between the grips of the Honda. I've been sleeping in a shipping container on the rim of the Walmart wash where a couple people were found in a public display like the Tarot Hanging Man card. Slab City has changed dramatically in the past two years since DailySpeculations began printing some of the Slab series that are accumulating into a book. The surprise is the power of the press that has catalyzed the shift. There has been a tremendous influx of travelers, weirdos, and anarchists who used digital devices to research 'Free places in USA' for which there is a preponderance on this town. They are marijuana smokers down to the last man and woman, supplanting the methamphetamine population. The cultural impact is vivid: Marijuana, just legalized in California, is basically a sedative, whereas methamphetamine is a stimulant. The town has become safe and boring to and because of this author. I'm going to get on the motorcycle and drive south to San Felipe, Baja to finish the book, and then look toward new horizons.



 I have a cold and so not much energy for anything other than watching tv. I'm catching up on Michael Woods' show about China, and in episode three there is an incredible story about the siege of Kaifeng and the destruction of one of the dynasties in the early 1100s by northern invaders (vid cued up to that point). If you watch it, be sure to get to the poem that is read, "On the Defeat of the Nation" by Li Qingzhao.

I can't find an online version of that specific poem by Li Qingzhao, but I did find this group of translations of some of her other poetry, and there is some really striking stuff with such a clear voice from nine centuries ago:

A sample:

Last night, dead drunk, I dawdled
While undoing my coiffure,
And fell asleep with a sprig of
Faded plum blossom in my hair.
The fumes of wine gone,
I was woken out of my spring sleep
By the pungent smell of the petals,
And my sweet dream of far-off love
Was broken beyond recall.

Now all voices are hushed.
The moon lingers and softly spreads her beams
Over the unfurled kingfisher-green curtain.
Still, I twist the fallen petals,
I crumple them for their lingering fragrance,
I try to recapture a delicious moment.

Leo Jia writes: 

In Turkey today, it is illegal trying to inquire about one's ethnicity. The country stands by a slogan that it is one country, one race, and one religion. I bet they learned the tactics from China just about 2000 years ago when all the country men were termed the Han.

Speaking about Chinese poems, I always wondered in what dialects they were chanted. Obviously not in the mandarin as we know it today, because it's been only widely spoken for less than a century even though it was used mostly in the royal courts as early as the Qing Dynasty some 300 years ago.

But anyhow, due to the nature of the Chinese language being based predominantly more on writing than speaking, it's very hard for a listener to fully understand the chant of a poem, mostly tersely phrased. One just can not easily guess which actual character (which defines the meaning) of a particular sound (which can mean many things) is used.



 The book The Evolution of Everything is a hard-hitting and informative analysis of how unplanned activity in every field has led to greatness.

There are numerous eye opening facts in the book in the field of the economy, government, religion, science and the arts.

The market is shown to be Darwinian, and Smithism and Darwinism are shown to be complimentary forces in every field you can think of.



The moment a tick changes, at that moment parties that transacted on the prior tick "experience" a zero sum game. If the same parties only continue to transact with each other with every further change of tick it remains a zero sum game.

However, soon as the "pool" of competing players changes in the pit, either by someone closing out all outstanding positions for whatever reasons and stepping aside or any new players entering the pit, the game changes. It creates a very interesting web of potential ways to lay out the game in a mathematical sense. This remains true for any further longer / larger time frames. Lets focus on this part.

The gains or losses made, lets call it impact for ease of language, by existing players is shared now with the new ones. But not only MTM impact that can be measured only at the present moment, this ultra sophisticated "game" must account for Opportunity gains / Opportunity losses or the Opportunity impact also.

The zero sum game can still be visualized as zero sum where the sum of all MTM Impact + Opportunity Impact = 0.

MTM or the present moment impact is simple and lets leave it aside. The real juice is this Opportunity Impact construct. Before we enter this labyrinth let us first choose to do a post mortem of those who left the game. Lets use the term "Out" for those who are out of the game. Lets use the word "In" for those who remain in the game up to any point of time.

The Out have taken an MTM Impact and gone! Right? No Opportunity Impact taken by them? Well if I sold out a position at 100 and became an Out, and the price becomes 125 in a year have I incurred an Opportunity Impact of 25? I have, since if i came back into the game a year down the line I would be shelling out 25 dollars more. Same way if price went down to 75 in a year I have an Opportunity gain impact of 25.

This is what makes the market appear like a variable sum game.

Things get a little more interesting and more realistic when we introduce one more final variable, Those Not yet In the game whom lets call for this note, whom we can say name as the Virgins. so for any stock, any contract, any investible or tradeable entity this world produces three types of Players: Ins, Outs, Virgins.

For an easier visualization lets assume we are only evaluating the game of playing the long term drift.

So the MTM Impact of Ins = -(Opportunity Impact of Outs + Opportunity Impact of Virgins)

This equation above is an over simplification and displays only a long only deliverables only contract. If we add the derivatives layer the left side of the equation will have instead:

MTM Impact of Long Ins - MTM impact of short Ins = = - (Opportunity Impact of Outs + Opportunity Impact of Virgins)

Finally if we will allow minds to now wander along a constantly fluctuating market that has the drift or some markets that are bereft of it, different time horizons, different risk-return optimal curve seeking individuals, different tax & liquidity constraints apart from the decisively different placements within the food chain causing differences in information seeking, processing and actionability skills the market can still be described as a zero sum game in terms of the net value of all actions taken, not taken, exposures taken, not taken, different skills, abilities, compulsions to be zero.

Obviously then such a zero is a philosophically provable construct that:

a) Skill pays in markets,

b) As much as luck might pay

c) No one is in a real sense out of the markets. Those without an exposure have a notionally negative exposure to markets! They are the one's who will get lured at some point.

d) Apart from maximising the number of hands feeling that they have a bad game, the tape is likely moving in ways to minimize the number of Virgins of markets left in this world, I surmise.

d) MTM is a game of money management (LHS) which derives its value from the Inability of all those who are not managing their emotions well (RHS)

e) Whether the universal prevalence of deception as an evolutionary tool pervading the markets or the flexions or the skilled they all are part of the grand design of the market mistress who indeed plays a zero sum game on N dimensions, not on a unidimensional game of just MTM.

f) As much as this is true in life that no one wants to die a virgin, the markets have achieved a constructal to fulfill this idea in the context. This is where the deception, the flexionic matrix works most silently.

anonymous adds: 

It is not a zero sum game. True value and wealth are being created in large part due to the liquidity and capital created in the capital markets. As the the prices rise, wealth is created out of thin air, out of confidence, out of technological advances, out of new ideas, out of new people, out of new people participating in the global economy. 



 I ordered fifty books of Narrative Press from Amazon that arrived last week.

The postmaster remarked it was fortunate that I brought a big bag, and I rode the motorcycle lopsided to my camp.

The first book The Oregon Trail: Adventures on the Prairie in the 1840s by Francis Parkman is easily the best account of pioneers of the hundred I've read.

It's a cliche to say Parkman put me there, but he did, ready to trade in my motorcycle.



It appears many American media are worried that the US will lose the trade war against China. That sounds very cowardly. The trade war will hurt parts of the American economy, but how can it lose? For every $1 America sells to China, it buys $4 from China. So China's loss will be at least 4:1 vs America's if the trade war goes into full motion. Plus, a few of the big imports by China, like soybean and Boeing, are irreplaceable. Other things like the semiconductors are critically needed by Chinese economy. So China doesn't really have a lot of weapons.

Any other opinions?

Stefan Jovanovich writes: 

Trade wars helped build the United States. So it should hardly be surprising that the people most dedicated to tearing the country down are hysterical at the prospect that county may be having another one. 

Stef Estebiza writes: 

America has already lost.

You have decided to invest in China/Asia rather than in your population. I would not see it only at the "trade war" level. Globalization has allowed you to ignore internal problems, your population, to focus on foreign profits. The structural problems are the same worsening. Either you decide to reduce your earnings by investing in your own home but by recovering structural problems, your population…or you will have to keep it.

Unbelievable watching the children, the students who survived the massacre in the streets demonstrate against the weapons without the support of the American political parties. It speaks volumes about the real situation of America.

If there's one thing you really have to worry about losing, it's your population…that you've already lost for the interest of a few.

Here in Italy we rejected right and left, the major political parties. There are two major parties in the government, both as out of the popular discontent. If Americans wake up and form a third party (your constitution permitting) you can put Republicans and Democrats in mothballs.

Then either raise your population from poverty, put back a little balance in the system, or they will show you the green mice.

Stefan Jovanovich writes: 

"America" has not invested in China/Asia. Even our war spending kept most of the money here on-shore. (I can remember lobbying to abolish the draft in 1971 after I got out of the Navy and running up against all the Congressmen whose districts were prospering from the war orders.)

When I wrote that trade wars helped build America, I was not being facetious. The times when the United States has been a taker in foreign exchange have been the times when the country's population and wealth have grown. Whenever the U.S. has been "protectionist" - i.e. let people and money come here freely but charged goods and services an admission fee, the place has boomed. Whenever "prudence" - i.e. worries about paying off the debt - and "internationalism" - i.e. let's become allies with the French, British, etc., etc. - has guided Congress, we have "lost", as Stef puts it.

We certainly lose whenever "policy" takes hold and questions of "structural" reform become more important than the common sense that even Congress accepted before our best and brightest all went to graduate school - don't let people come to the country with diseases or criminal connections and choose: (a) free trade for goods and services and no immigration OR (b) open immigration and tariffs. Most of the time the political majority chose (b). They are doing so again right now.



Is the S&P 500 falling because the Chinese wont let American companies profit as much? If this is the reason, why are the US Treasuries not falling? Can America become a safer and better economy (which is what rising Treasuries should mean) while American corporations are going to lose money or make less money?

Or are we being fooled by the tape to imagine that as the Chinese make more money they will buy even more of the US Treasuries? Aah so Ms. Market is trying telling us the Chinese are such fools they will buy more of safe assets in America while negatively impacting America's riskier assets with a long term drift due to the power of compounding the re-investment in growth?

A risk off kind of emotional feeling more than any rationale? Ok so in emotions everything seems as valid. Hmm.



First first of month decline of over 2% in 30 months (SPY)

Date         1OM
4/2/2018  -0.021
3/1/2018 -0.015
2/1/2018 -0.001
1/2/2018 0.007
12/1/2017 -0.002
11/1/2017 0.001
10/2/2017 0.004
9/1/2017 0.001
8/1/2017 0.002
7/3/2017 0.002
6/1/2017 0.008
5/1/2017 0.003
4/3/2017 -0.002
3/1/2017 0.014
2/1/2017 0.000
1/3/2017 0.008
12/1/2016 -0.004
11/1/2016 -0.007
10/3/2016 -0.002
9/1/2016 0.000
8/1/2016 -0.001
7/1/2016 0.002
6/1/2016 0.002
5/2/2016 0.008
4/1/2016 0.007
3/1/2016 0.024
2/1/2016 0.000
1/4/2016 -0.014
12/1/2015 0.010
11/2/2015 0.012
10/1/2015 0.003
9/1/2015 -0.029



So hobbling down on all fours motivated by the waves and the counts that I am used to looking at from the old university of mumbo jumbo.

Wondering what the erudite quants are seeing at this hour….

A cane it out moment? At some points surely all religions are unanimous. Is this that moment?


Resources & Links