tag:blogger.com,1999:blog-34323687.post3078318692287064321..comments2024-03-28T12:22:11.704+00:00Comments on Macro Man: The Company You KeepMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger26125tag:blogger.com,1999:blog-34323687.post-78595213814376346332008-10-15T04:25:00.000+01:002008-10-15T04:25:00.000+01:00One up day does not mark the end of a trend. It ...One up day does not mark the end of a trend. It can however mark the start of a dead cat bounce.<BR/><BR/>If in the next few days one major bank or finance institution fails, we will see an even bigger slide over the next few days and macroman will need to update his tables with a new date at the top of the 10 worst days ever.Capricahttps://www.blogger.com/profile/03958029133727330453noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-1475349201069732112008-10-15T00:32:00.000+01:002008-10-15T00:32:00.000+01:00anon,Interesting observation on the BullionVault s...anon,<BR/><BR/>Interesting observation on the BullionVault spot price. Of course, the spread there is fairly wide already. There could be a lot of bottlenecks that could cause a premium, as with the coins.<BR/><BR/>And James Turk <A HREF="http://www.gata.org/node/6756" REL="nofollow">says</A>, or at least said four days ago, he is still able to get LBMA bullion in London without paying a premium. Unless I'm totally wrong about how the gold fixing works, this should be a tautology - LBMA is a pure physical market and cannot default. So its "spot" should really be "spot."<BR/><BR/>Comex and LBMA trade at different hours, so it is hard to tell if there is any real tension developing between the two. Perhaps more telling is Comex vs GLD, and I don't see any consistent physical premium developing there. But of course, there is external arbitrage that ties the two, as well as the fund managers' buying and selling.Mencius Moldbughttps://www.blogger.com/profile/16472157249344139282noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-81030420070956459232008-10-14T21:24:00.000+01:002008-10-14T21:24:00.000+01:00"Just prognosticating here, physical gold is a hed..."Just prognosticating here, physical gold is a hedge against financial disaster while gold futures is a financial instrument. So going forward, shouldn't we be seeing a dislocation between the spot and futures price."<BR/><BR/>That we are: the <A HREF="http://www.bullionvault.com/from/atisharma/" REL="nofollow">bullionvault spot bid physical price</A> is $8/oz over what one would expect due to 'great demand'. Even larger premiums on coins (eg kitco).Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-58502275424450128692008-10-14T19:14:00.000+01:002008-10-14T19:14:00.000+01:00Havn't got a clue but feel the best explanation is...Havn't got a clue but feel the best explanation is the dollar/yen deflation versus asset class inflation that minyanville talks about.<BR/>Basically we toggle between deflation and inflation with assets gold/commodities/short dollar/equitities trading as monolith when in asset inflation mode. Of course, there is a zero sum game between them so in any given rise some do better then others.<BR/>Then when debt deflation takes over dollar and yen take over and the rest are trade down. At some point one or other metod of debt destruction will take over and the change in the social mood from extreme debt fueled consumption to austerity argues for a continued period on the deflation side of the wishbone.<BR/>I think they have a good handle on this situation I am just happy to have sold my trading longs for a profit and live to fight another day.Manc Traderhttps://www.blogger.com/profile/15419060899207287530noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-65134381496946827272008-10-14T18:36:00.000+01:002008-10-14T18:36:00.000+01:00On the divergence between spot and futures that so...On the divergence between spot and futures that someone points to above, that's already happening, it seems, no?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-79046985363709286032008-10-14T17:18:00.000+01:002008-10-14T17:18:00.000+01:00Good strategy for year end/09 imo: covered calls. ...Good strategy for year end/09 imo: covered calls. There are several stocks for which you can sell a jan10 100% otm call for 30+% of the current stock price. For the large number of stocks that are ridiculously cheap, that presents very attractive risk reward.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-38529589691225065602008-10-14T17:08:00.000+01:002008-10-14T17:08:00.000+01:00TIP breakevens have nothing to do with inflation, ...TIP breakevens have nothing to do with inflation, even though the CNBC crowd likes to pretend they do.<BR/><BR/>1) The BLS explicitly states that CPI is a price index, and **NOT** a measure of inflation. Prices can increase (or decrease) due to infrastructure/supply issues *or* from monetary inflation<BR/><BR/>2) The definition of CPI has not been constant over time -- the BLS has changed the definition several times. There is no reason to think it will not change it again in the future. This dilutes (and some might say eliminates) the price inflation protection that TIPs might otherwise provide.<BR/><BR/>3) TIPs are really just CPI indexed floaters that happen to be issued by the Treasury. They have a significant liquidity discount (they are no where near as liquid as nominals). This means that even if CPI were a good inflation indicator, TIP breakevens are a very biased estimator of future CPI.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-2872991021825950062008-10-14T16:54:00.000+01:002008-10-14T16:54:00.000+01:00Just prognosticating here, physical gold is a hedg...Just prognosticating here, physical gold is a hedge against financial disaster while gold futures is a financial instrument. So going forward, shouldn't we be seeing a dislocation between the spot and futures price.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-32369168996862265802008-10-14T16:22:00.000+01:002008-10-14T16:22:00.000+01:00Would anyone (MM?) kindly point me to some scholar...Would anyone (MM?) kindly point me to some scholarly reference on the mechanism of TIPS (such as its implicit Put on CPI) - need education here..<BR/><BR/>TIA.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-59092321787138730662008-10-14T15:58:00.000+01:002008-10-14T15:58:00.000+01:00Macro,Gold is just another asset. As financials g...Macro,<BR/><BR/>Gold is just another asset. As financials get pummeled money supply dwindles so all asset prices go down.<BR/><BR/>BestEquivocationhttps://www.blogger.com/profile/06236648392400468820noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-1025027380702787792008-10-14T15:32:00.000+01:002008-10-14T15:32:00.000+01:00It's good to see a bit of the nervousness going. B...It's good to see a bit of the nervousness going. But if the US further deteriorates, its debt that's sitting around the world will cause further havoc.mikarskyhttps://www.blogger.com/profile/07451575916097736038noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-10213351166145837442008-10-14T14:59:00.000+01:002008-10-14T14:59:00.000+01:00trump isn't advertising that, but that's what came...trump isn't advertising that, but that's what came out of a discussion with them two weeks ago...no arm twisting required and no checkbook waving!Dhttps://www.blogger.com/profile/09501392241484422000noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-50376523919726554082008-10-14T14:58:00.000+01:002008-10-14T14:58:00.000+01:00trump is offering 20% off on 3500 sq. foot condos ...trump is offering 20% off on 3500 sq. foot condos in Chicago with the good north-facing view on the upper floors! Trump seeking to sell the commercial floors of the building now.<BR/><BR/>Shangri-La tower halted in chicago also.<BR/><BR/>deflation...embrace it!Dhttps://www.blogger.com/profile/09501392241484422000noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-23918626153213076942008-10-14T14:48:00.000+01:002008-10-14T14:48:00.000+01:00Mark, US inflation at those levels is indeed intri...Mark, US inflation at those levels is indeed intriguing, but security selection is important. TIPS include a 100 put on the CPI index at maturity, so it is true that freshly issued securities cannot give u negative inflation compensation if held to maturity. Of course, if you buy an "old" TIPS, where the CPI index is, say, 130, you can indeed accrue negative inflation comp, as your CPI put is 30% away.<BR/><BR/>There is no such put at all in JGBis, and they are trading breakevens of -175 bps now. Ouch!<BR/><BR/>D, in markets as in property, now is a great time to be renting. (disclaimer: I own my house)Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-12831313219863463482008-10-14T14:36:00.000+01:002008-10-14T14:36:00.000+01:00i've been short gold for about a week now. Long t...i've been short gold for about a week now. Long the N100 as well...profits on both and ownership in this market is always tentative.Dhttps://www.blogger.com/profile/09501392241484422000noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-75452264234329388872008-10-14T14:34:00.000+01:002008-10-14T14:34:00.000+01:00how come I am not comfortataded by the fact that t...how come I am not comfortataded by the fact that the larger updays all occured during the great depression--bear squeeze are the biggest moves up and if i can judge by my neighboors talking about how right jim cramer was yesterday i feel quite good about selling with both hands right now--and you are right even though i run a macro fund might as well just trade s&ps everything else moving off of that and valuation and anything anyone else learned with an mba or cfa chuck out the window--phscy 101 about all that matters at the momentAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-75677380317393542822008-10-14T14:25:00.000+01:002008-10-14T14:25:00.000+01:00Implied inflation in the US? US 5-year inflation i...Implied inflation in the US? US 5-year inflation is 30bp and I don't believe this can go negative. Thoughts?Markhttps://www.blogger.com/profile/12888701978794309054noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-6287238420318995182008-10-14T13:56:00.000+01:002008-10-14T13:56:00.000+01:00What has been intertesting is that gold has yet to...What has been intertesting is that gold has yet to break its Sept. high much lees its July high. I would have expected with the panic more money would have rushed into gold. Maybe I should consult with my local package and arms shop as to how much money ran into spirits and bullets.<BR/><BR/>With all the liquidity being forced fed into the system I expect the inflation trade to rear its head again.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-59914507633367488682008-10-14T13:16:00.000+01:002008-10-14T13:16:00.000+01:00Anon @ 11.35, I always calculate lognormal returns...Anon @ 11.35, I always calculate lognormal returns rather than simply arithmetic returns. In normal circumstances the difference is minimal, but when price moves are large there can be a substantial difference.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-65748096877969530362008-10-14T13:02:00.000+01:002008-10-14T13:02:00.000+01:00I'm hardly an expert in the markets, but one thing...I'm hardly an expert in the markets, but one thing I've read is that in a deflationary environment, i.e. in the great unwind, all asset classes lose value. Funds dump gold positions like positions in commodities, equities, and bonds. If we're seeing the bursting of the us treasury bubble, we could be seeing the burst of the gold bubble, too, at least until there's sufficient air taken out to relieve pressure in a situation where capital is scarce.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-70451338523008908042008-10-14T12:36:00.000+01:002008-10-14T12:36:00.000+01:00Oil producers accumlating gold instead of dollars ...Oil producers accumlating gold instead of dollars going forward?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-83681155226449068792008-10-14T11:54:00.000+01:002008-10-14T11:54:00.000+01:00MM,I suppose an explanation could be this:Gold and...MM,<BR/>I suppose an explanation could be this:<BR/><BR/>Gold and oil have decoupled recently. The correlation from May to July 08 was more than 50%, but from August to now, it's been -2%.<BR/>Instead gold has in general moved in an inverse relationship to the stock markets. As stocks fell, oil fell as well, I guess on worries about reducing demand because of recession, etc. Meanwhile gold rose, probably because of "safe-haven" demand - so the oil/gold ratio decreased along with the S&P.<BR/>There are probably lots more levels to this, eg as the S&P sank, the chances of a rate cut rose so gold also rose as an inflationary hedge, etc etc.<BR/>Does this seem sensible?<BR/>Cheers<BR/>CTAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-13131446441556618472008-10-14T11:49:00.000+01:002008-10-14T11:49:00.000+01:00...and agree with anon#2. The buying of protection......and agree with anon#2. The buying of protection has reached bubble proportions.Charles Butlerhttps://www.blogger.com/profile/00486529931043507880noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-77239406935822305392008-10-14T11:46:00.001+01:002008-10-14T11:46:00.001+01:00Hi MM,The gasp of relief is audible throughout, es...Hi MM,<BR/><BR/>The gasp of relief is audible throughout, especially with all the previous blather about the EU being incapable of action. Unfortunately, the only problem that might have been solved is that equities might have been saved from fallng to zero. There's still alot of turf on the downside without it coming to that and my guess is it resumes going there sooner than we might think. It would be beneficial for all if a few banks fessed up and accepted capital injections pronto so that we can at least dream that the plan is appropriate.<BR/><BR/>All of the anti-dollars look interesting, almost regardless of outcomes and especially if the fear of being sideswiped by discrete events diminishes.Charles Butlerhttps://www.blogger.com/profile/00486529931043507880noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-56363344430891896832008-10-14T11:46:00.000+01:002008-10-14T11:46:00.000+01:00Bull spread VIX options and exchange equity?Bull spread VIX options and exchange equity?Anonymousnoreply@blogger.com