Macro Man has unsurprisingly been busy this morning doing his real job. He offers the following thoughts and notes, and will hopefully have time to post more later:
* Pursuant to yesterday's query, he definitely votes 'b' in terms of what we are observing. Yesterday's price action in equities and the VIX was clearly a market dislocation and/or a volatility event. These are rarely "one and done" affairs. Indeed, Macro Man is somewhat perturbed by the degree of complacence that he observes out there. It seem a lot of people want to buy EM, buy credit, etc. He believes this will prove unprofitable in the near term.
* The risk aversion model that Macro Man follows has turned risk averse today, so he exited the FX carry basket at the morning opening. Rates are in the P/L below.
* An old order in SPY was filled, buying the last of the beta position. Naturally, he wishes he had moved it, but such is life.
* He does NOT believe that we are moving towards option (c), full blown recession. The durables data was horrible, worse than he was expecting, but nevertheless consistent with a substantial inventory unwind. Indeed, the durables data and the Feb ISM inventory reading were, in effect, the same data. What was striking was that the consumer confidence figures registered new highs in a number of areas....hardly consistent with a consumer pinned against the wall by falling house prices and burgeoning debt. He retains the view that Q1 will be the low water mark in US growth for the year.
* For now, Macro Man will likely look to establish risky asset shorts on bounces.
* Macro Man observed a rather large degree of schadenfreude in his trawls around the blogosphere yesterday. This provides a degree of comfort that this episode of risk aversion is simply that, rather than the end of the world
* Pursuant to yesterday's query, he definitely votes 'b' in terms of what we are observing. Yesterday's price action in equities and the VIX was clearly a market dislocation and/or a volatility event. These are rarely "one and done" affairs. Indeed, Macro Man is somewhat perturbed by the degree of complacence that he observes out there. It seem a lot of people want to buy EM, buy credit, etc. He believes this will prove unprofitable in the near term.
* The risk aversion model that Macro Man follows has turned risk averse today, so he exited the FX carry basket at the morning opening. Rates are in the P/L below.
* An old order in SPY was filled, buying the last of the beta position. Naturally, he wishes he had moved it, but such is life.
* He does NOT believe that we are moving towards option (c), full blown recession. The durables data was horrible, worse than he was expecting, but nevertheless consistent with a substantial inventory unwind. Indeed, the durables data and the Feb ISM inventory reading were, in effect, the same data. What was striking was that the consumer confidence figures registered new highs in a number of areas....hardly consistent with a consumer pinned against the wall by falling house prices and burgeoning debt. He retains the view that Q1 will be the low water mark in US growth for the year.
* For now, Macro Man will likely look to establish risky asset shorts on bounces.
* Macro Man observed a rather large degree of schadenfreude in his trawls around the blogosphere yesterday. This provides a degree of comfort that this episode of risk aversion is simply that, rather than the end of the world
