股票期货突破技术分析(英文原版)-第32章

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I　point　this。pattern　out　not　to　proclaim　that　GM　does。not　have　the　problems。that　have　been　well　documented　in　these　articles。　But　I'll　also　note　that；　in　my　opinion；　there　is。absolutely。nothing　that　was。revealed　in　this。somber　and　extensive　cover　piece　that　has。not　been　thoroughly　documented　and　discussed　on　numerous。occasions　in　numerous。other　media　forums。　
Calling　a　bottom　in　a　troubled　pany　is。always。supremely　difficult　（I've　been　thus。far　way　too　early　＇read：　“wrong”＇　in　calling　one　for　GM）；　as。much　of　the　negative　sentiment　is。well　deserved　and　the　weak　price　action　does。not　provide　the　〃contrarian　contrast〃　between　negative　sentiment　and　strong　technicals。that　is。at　work　in　the　best　of　contrarian　buy　situations。　It　is。only　when　the　sentiment　bees。over…the…top　gloomy　and　almost　inescapable　in　its。pervasiveness。and　totally　dismissive　of　current　and　potential　positive　developments。that　one　can　feel　somewhat　safe　in　making　the　bottom　call。　And　I　think　with　the　arrival　of　this。latest　GM　cover　story；　we’re　there；　just　as。we　were　in　November　1992；　when　Time　magazine’sver　asked；　“Can　GM　Survive　in　Today's。World？〃　
This。does。not　mean　that　GM　stock　has。no　additional　downside。　It　is。certainly　possible；　even　if　bankruptcy　were　not　at　all　a　concern；　for　the　shares。to　retest　the　recent　lows　in　the　18　area。　And　one　cannot　pletely　rule　out　the　worst　case。　But　investing　is。a　probability　game　and　a　game　of　paring　potential　rewards。and　risks；　and　in　GMs。case　here　and　now。　I　believe　the　potential　upside　is。well　worth　the　risk　of　the　potential　downside。　
The　Volatility　Payoff　
If　an　options。trader　takes。away　just　one　concept　from　this。chapter；　it　would　be　the　following：　When　buying　options；　the　trader　pays。for　volatility　but　the　payoff　is。in　directional　price　movement。　In　other　words；　options　are　priced　from　a　statisti…
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But　Harley…Davidson　call　buyers。received　a　double　benefit：　They　paid　relatively　little　for　their　options　because　of　the　stocks。modest　volatility　and　their　payoff　was。huge　on　the　big　rally　in　the　shares。　
The　point　here　is。that　there　is。a　sweet　spot　for　the　option　buyer—a　period　during　which　volatility　is　low；　option　prices。are　cheap　（due　to　the　low　volatility）；　and　directional　movement　is。robust。　Steady…as…she…goes。rallies。such　as。that　experienced　by　Harley…Davidson　in　Figure　7。8；　perversely。enough；　register　as。a　low　volatility　input　to　the　option　pricing　models；　which　then　spit　out　low　option　premiums。　In　such　an　environment；　the　leverage　offered　to　option　buyers。for　the　risk。they　assume　increases　substantially；　often　skewing　the　risk…reward　equation　dramatically　in　their　favor。　
In　the　Harley…Davidson　example　（assuming　a　25　percent　annual　volatility）；　a　six…month；　50…strike　on…the…money　call　option　would　have　been　priced　at　about　3。50　when　the　shares　were　trading　near　the　50　level　in　June　and　July　2006。　Harley…Davidson　proceeded　to　trade　as。high　as。75　by　November　2006　（see　Figure　7。8）；　and　this。50…strike　call　option　would　have　had　a　value　of　25　（75　…50）　at　that　time。　The　call　buyer　thus。achieved　a　profit　of　21。50　on　a　3。50　investment；　for　a　611　percent　gain；　and　the　options。leverage　in　this。example　on　the　50　percent　gain　in　the　stock。was。12。3　to　1　（614　percent　50　percent）。　But　if　the　options。on　Harley…Davidson　were　priced　at　the　40　percent　volatility　level　（parable　to　those　of　Schlumberger　during　this。period）；　this。leverage　would　have　been　significantly。reduced　to　about　7。5　to　1。　
Before　the　Storm　
But　does。the　fact　that　low　volatility　can　turbo　charge　the　leverage　of　option　buyers。have　significance　for　the　stock。trader？　It　does。in　the　sense　that　major　troughs。in　volatility　are　often　a　signal　of　the　calm　before　the　storm；　the　storm　being　a　major　directional　move　for　an　asset。　
A　funny　thing　happened　in　July　2006　as。crude　oil　futures。（CL/）　were　pushing　through　the　80　mark。amid　talk。of　ever…rising　energy　prices—the　four…week。historical　volatility　for　crude　oil　reached　a　three…year　low　（see　Figure　7。9）。　In　fact；　crude　oil　volatility。had　declined　by　60　percent　from　its　pinnacle　in　late　2004　and　by　50　percent　from　its　September　2005　peak。　And　this。trough　in　volatility　was。quickly　followed　by　a　20　percent　decline　in　crude　oil　prices。　

The　collapse　of　Amaranth　Advisors。（which　lost　half　its。asset　value　in　September　2006　as。a　result　of　trading　blowups。in　the　natural　gas。market）　was。a　tough　lesson　on　the　volatility　of　natural　gas。prices。　But　in　yet　another　instance　of　the　calm　before　the　storm　（see　Figure　7。10）；　by　early　September　2006　the　10…day　historical　volatility　of　natural　gas。futures。（NG/）　had　declined　to　less。than　half　its。level　of　just　a　month　earlier。　And　natural　gas。futures。then　proceeded　to　tank　to　the　tune　of　about　25　percent　during　the　two　weeks。that　followed。　
But　major　troughs。in　volatility　can　also　be　followed　by。moves。to　the　upside；　such　as　that　which　occurred　with　the　stock。market　in　1995　at　the　inception　of　a　multiyear　bull　market。　Note　in　Figure　7。11　how　the　3…month　volatility　for　the　S&P　500　Index　（SPX）　hovered　at　very　low　levels。from　1993　to　1995；　with　most　readings。below　the　10　percent　mark。　The　powerful　bull　market　that　began　in　1995　and　ended　in　early　2000　was。characterized　by　steadily　rising　volatility。　
Note　as　well　that　during　the　period　from　2004　through　late　2006；　the　market　was　characterized　by　low　volatility　readings。similar　to　those　registered　a　decade　earlier　at　the　beginning　of　a　multiyear　bull　market。　Yet　what's。particularly　interesting　is。the　nearly　unanimously　bearish　conclusion　by　the　investment　munity　regarding　the　implications。of　these　low　volatility　levels。　The　low　VIX　has　been　professed　to　be　an　indicator　of　increasing　investor　placency；　which　isnsistent　with　a　stock。market　that　is。fast　approaching　a　major　top。　
Troughs。in　volatility　often　indicate　an　uping　acceleration　in　directional　movement。　In　the　examples。from　the　crude　oil　（Figure　7。9）　and　natural　gas。（Figure　7。10）　markets；　this　acceleration　was。to　the　downside。　In　the　case　of　the　stock。market　from　1993　to　1995　（Figure　7。11）；　the　acceleration　was。to　the　upside。　It　appears。that　the　odds。favor　a　similar　resolution　of　the　2004…2000　low　volatility　
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that　leaves。them　vulnerable　to　failure　when　market　environments。change　or　when　some　or　all　of　their　trading　criteria　lose　effectiveness；　often　from　overuse　by　peting　traders。　
One　promise　is。to　use　a　screening　process。to　identify　potentially　tradable　opportunities　based　on　a　set　of　objective　criteria。　A　trader　then　drills。down　to　extract　much　more　detail　on　each　name　generated　by　the　screen　to　determine　which　of　these　stocks　might　be　tradable。　The　operative　concept　here　is。that　it　is。impossible　to　screen　for　all　the　criteria　necessary　to　generate　a　trade；　but　without　the　screening　process。one　will　fall　prey　to　being　〃objectivity　challenged”　and　insufficiently　disciplined；　and　the　breadth　of　ideas。suffers；　as。well。　
What　follows。is。an　illustration　of　a　screening　process　that　used　criteria　based　on　the　principles。discussed　in　this。chapter。　The　screen　is　for　potential　buy　candidates。and　is。based　on　the　general　principle　that　stocks。with　strong　price　action　bined　with　evidence　of　skeptical　or　bearish　sentiment　have　a　greater…than…average　likelihood　of　posting　additional　gains。　This。approach　bines。the　best　features。of　〃trading　with　the　trend〃　and　〃avoiding　the　crowded　trade；〃　that　is；　the　trade　that　might　look。good　on　the　chart　but　is。dangerous　because　too　many　players。have　already　mitted　too　much　money；　causing　the　stock　to　be　excessively　vulnerable　to　a　reversal。　
Our　screening　criteria　are　as。follows：　
。　
Put/call　open　interest　ratio　（SOIR）　is。in　excess。of　1。00　（open　put　positions。exceed　open　call　positions）　

。　
SOIR　is。in　the　75th　percentile　or　greater　of　all　SOIR　readings。taken　during　the　past　year　

。　
The　stock。has。outperformed　the　SPX　by　at　least　10　percent　during　the　past　fifty　trading　days。

。　
The　short…interest　ratio　（short　interest　average　daily　trading　volume）　is。above　3。00　

。　
Less。than　50　percent　of　analysts。rate　the　pany　a　buy　


This。screen　returned　28　names；　and　Figure　7。12　displays。a　subset　of　seven　names。　


Investors。often　fear　that　fo