Commentary

7/2/20 Probable xFF

Not much of a productive internal dialogue yesterday, as I bought SOXL soon after my mid afternoon post without waiting for the close. Fortunately, a strong bull move makes even a feeble long entry look prescient. SPY is taking out the prior two weeks bottoming tails.

xFF is a classical Specter/FF5 buy. For the last 2002 trade days xFF has appeared 269 times.

The story for the the 2020 2nd quarter isn’t quite as good as the strong bull move tended to distribute gains to xCF and xFC from xFF.

For TQQQ the .14 under CC shows a natural log return of 14% for the 2nd quarter, so it’s worth playing. If the natural log return is above zero, the vanilla return is some degree larger than the natural log, in this case it is 15%. A log return below zero is some degree smaller (better) than the vanilla return. The weak close to open numbers suggest that longs probably should not be fantasizing about getting rich over the coming long weekend.

The standard deviation numbers are still elevated even though most of the excitement this year was confined to the first quarter. Note that TQQQ is the least volatile equity in the list. That suggests it is safer than the others.

xFF has appeared 7 times in the 2nd quarter (about 62 days). A similar percentage to what we see in the longer time frame.

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