Kass: Jackson Hole Expectations

My fair market value calculation remains (as it has for several months) at 1415 compared to the S&P close of 1410 last night. But given the risks above, there is revision risk to my model to the downside.

I continue to see the S&P 500 trading between 1300 and 1420 over the balance of 2012 (the same view I have consistently had over the past few months).

For these reasons and others, I started the day in a net short position. In fact, I stand today at the lowest gross long position and highest gross short position of the year.