关于XIV/SPY的看法（分析与讨论 for 2015.09.04）

Today is another up day with reduced volume, and as discussed yesterday, today's price action shows again that the index is weaker and weaker.  From the 5min/15min/1hour chart, it indicates there might be another push-up effort tomorrow morning (possible induced by the labor report out at 8:30EST as an excuse), and that would be the last (4th) push-up, which is unlikely to prevent the upcoming big drop from happening.  

Also as discussed yesterday, today Bears successfully defended the daily BB midline (at 23.59) and now the 4-hour/daily plots indicate more and more clear that the big drop will start in next 1-2 days (as early as tomorrow).  Note from the seasonality viewpioint, tomorrow favors Bulls as a lot of people/trader have left for the long weekend and so there should be not too much selling pressure and so become easier for MM to hold up the market.  

So from the operation viewpoint, Bulls should use this last opportunity (probably only first 1-2 hours after opening) to exit any long position, and Bears can consider building put position at high.  Quantitatively, the height of XIV could be the 15-min BB upper boundary at 25.88 (~4% over today's closing price of 24.53), and the corresponding SPY's target is the ~197.32.

 

Trading principles for next few weeks:

1) As the mid-term trend is clear down, do not buy dip and ONLY buy inverse-etf (or do nothing).

2) When time is appropriate for building up short position, scale in in a few batches.

 

Today's operation (as it was very busy and so only had time to do some small operations):

Opened up short positions at SPY=~197.7 with 1/10 fund.  Out half before closing with 15% gain.

Any comment is welcome.

 

Additions (6:30am CST):  this morning ES shows the index may open low, but the chart shows the Gap down shall be filled sometime today and so this gap down can be considered as a Bear Trap ... 

Update (12:51pm CST):  an intraday big rebound may have started and MM may use it to close the gap, probably before the closing.  So if not done yet, one should sell all the long position by closing.  Next few weeks will be really bad for Bulls in terms of seasonality.  Good luck everyone.   Note: if the rebound does not kick in before 2:15pm CST, there will not be enough time to close the gap and Bulls should consider sell all the remaining positions before closing ...  Forget to mention there will be a Treasury STRIPs report at 2pm CST and so probably MM will use that as an event to pop up the market in the last hour.  Let us wait and see