Gandalf says:
longs are about as long as possible. trend following systems get longer as volatility gets lower and volatility is as low as it can get.
options expire and new puts will be rolled to a higher strike price (insurance closer to elevated equity levels).
vol increases with the roll. the extra long systems come back to the mean (selling).
corporate buybacks and other sources of funding for equities is at reduced year over year levels. oil goes offer.
japan goes home
tora, tora, tora
http://www.zerohedge.com/news/2016-06-14/jpms-quant-guru-unveils-1-trillion-catalyst-will-unleash-next-market-turmoil
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