Author: William Smith
June was a volatile month, to say the least. On June 21, the S&P 500 Index (SPX) posted more than a 2% loss, and then on the last day of the month turned around and posted a 2% gain. For a short while, the (VIX) reflected these moves, by jumping to about 26. But by the end of the month it has settled back to the low teens.
The media would have us believe that the anticipated volatility is now lower due to some the decisions made in EU banking system. I suppose investors feel a little less uncertain, but there are still many questions to be answered, so the low implied volatility feels like a bargain to me.
Regarding my own trading model, June turned into a nice month for the MS8 Trading System. (The model is down about 5% over the last year.) Our overall exposure was lower than usual, at just 9.54% (meaning that’s how much time we were invested), and we ended the month with just two open positions.