Thursday, September 28, 2006
1) So Vega is in the process of imploding. This explains the shocking performance of their (large) positions: short bonds, short NZD, short EUR/JPY. Nothing like a forced exodus to cause a little consternation.
2) The short NZD trade makes sense now. NZ officials are upping the ante on talking down the currency, and October is seasonally a poor month for carry trades. Now that Vega has puked their short, Macro Man looks to establish his. Sell 15m NZD/USD 1 month forward at 0.6550
3) The bid-only price action in bonds now makes a bit more sense as well. Macro Man will try again with the short bond trade, selling 100 TYZ6 at 108-08.
4) Europeans and Japanese are becoming increasingly vocal on EUR/JPY, with no discernible impact. Perhaps they need to quit telling newswires, and start telling China, Russia, SAMA, and the other assorted sovereign names who keep buying EUR (and GBP, for that matter) come hell or high water.
5) The Dow is within a rounding error of its all time high. Macro Man wishes his equity p.a. could ay the same. With oil finally looking like putting in a bottom, Macro Man wonders if US equities are now fadeable. He sells DIA/buys OIH in $10 million/leg @ .9090 on the ratio.
6) It seems like only a matter of time before Eastern Europe explodes. There seems to be too much corruption for there not to be a blowout.
7) Isn’t it amusing that despite all the focus on China and its manipulation of the CNY, that USD/CNY is the only Asian cross that is moving lower?
8) Why is it that the US has a capitalist economy but a socialist sports system (revenue sharing, etc.), while Europe has a socialist economic system but a laissez-faire sports system (cowboy capitalism in European soccer)?
9) The economic bureaucrats in the UK must be calculating export prices using the same formulae that their American counterparts use to calculate unit labour costs, if recent revisions are any indication....
10) This month we’ve had Amaranth and Vega blowing up. When will option Vega quit performing like Vega Asset management’s recent investment performance?