tag:blogger.com,1999:blog-34323687.post3617333353325684116..comments2024-03-19T03:05:57.184+00:00Comments on Macro Man: The title of this post has already been takenMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger13125tag:blogger.com,1999:blog-34323687.post-20084632695439338912007-08-24T21:44:00.000+01:002007-08-24T21:44:00.000+01:00can you elaborate?thxcan you elaborate?<BR/><BR/>thxJeremy Lymanhttps://www.blogger.com/profile/09556310214918932525noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-23735325279964251022007-08-24T18:08:00.000+01:002007-08-24T18:08:00.000+01:00You can certainly create it through buying/selling...You can certainly create it through buying/selling bills and borrowing/lending in the interbank market. However, the breakdown in the ability to transact large size in these markets probably has reduced the attractiveness of doing these kinds of trades.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-31415657610617813912007-08-24T18:05:00.000+01:002007-08-24T18:05:00.000+01:00I was told that the TED Spread is "no longer trade...I was told that the TED Spread is "no longer traded." Can a TED Spread position still be traded?Jeremy Lymanhttps://www.blogger.com/profile/09556310214918932525noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-6596089756128792022007-08-22T13:54:00.000+01:002007-08-22T13:54:00.000+01:00I also look at C&I industrial loans as a leading i...I also look at C&I industrial loans as a leading indicator of volatility (i.e., representing corporate risk-taking and leverage); this measure should correlate very closely with your first factor, FR.<BR/><BR/>BBG shows the swap spread curve inverting briefly in February 1997, but frankly I cannot remember it and it may well be a bad print. Certainly flat or inverted swap spread curves have no tended to accompany docile markets!Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-78862024144406616582007-08-22T12:58:00.000+01:002007-08-22T12:58:00.000+01:00not only are swap spreads wider, but the (usd) 2s/...not only are swap spreads wider, but the (usd) 2s/10s swap spread curve is inverted for the first time since, what, 1994?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-78180114857755749242007-08-22T07:39:00.000+01:002007-08-22T07:39:00.000+01:00Hi MM,There are two other data series that have a ...Hi MM,<BR/><BR/>There are two other data series that have a long-term correlation with the VIX and are actually leading by ~24 months. 1) Credit growth "Nonfarm Nonfinancial Corp Bus: Credit Market Instruments YoY growth" from the Fed Fund Flows report I think and 2)the 3m-10yr UST spread. Both were pointing to higher volatility this year.<BR/><BR/>Regards,<BR/><BR/>FRAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-34949203086798085312007-08-22T04:45:00.000+01:002007-08-22T04:45:00.000+01:00MacroManI enjoy reading your blog. Very interestin...MacroMan<BR/><BR/>I enjoy reading your blog. Very interesting. Keep up the good work.<BR/>Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-42292281169421056972007-08-22T03:00:00.000+01:002007-08-22T03:00:00.000+01:00Dear MM,Thanks and well explained.I was just worri...Dear MM,<BR/><BR/>Thanks and well explained.<BR/><BR/>I was just worried if you lost the touch with those long sunbaths on the beach. ;-)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-45667308657314828402007-08-21T19:23:00.000+01:002007-08-21T19:23:00.000+01:00The point of maximum pain for global markets is no...The point of maximum pain for global markets is not necessarily the point at which the S&P 500 reaches its low. <BR/><BR/>EM, for example, has tended to operate with a lag in recent years, reaching price extremes after those points have been reached in developed markets.<BR/><BR/>Certainly the rouble, for example, has reached an extreme today not matched elsewhere! <BR/><BR/>I still think that the next downleg in global markets will start from a modestly higher level than we currently see today.<BR/><BR/>That downleg, which will be noisy and seem horrible, will in my view NOT see a new extreme low reached on the S&P 500. I could, of course, be wrong, but would anticipate putting some money where my mouth is.<BR/><BR/>However, I would expect EM indices, particularly in $ denominated terms, reach new lows for the move. Maybe not all EM indices, but certainly the popular ones, which are likely to be the most crowded and the least sold (up til now.) I would count India among those.<BR/><BR/>Brazil, as well, which is one reason I am very likely to lower my offer in EWZ much closer to market in the very near future.<BR/><BR/>Sorry for the confusion; I am certainly not trying to say apples yesterday and oranges today, and thus be correct no matter what happens. If the SPX makes a new low, or a new high before touching 1400, I will have been wrong, and admit as much.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-27126325333916558472007-08-21T17:49:00.000+01:002007-08-21T17:49:00.000+01:00dear MM,Yesterday you said " S&P low is already se...dear MM,<BR/><BR/>Yesterday you said " S&P low is already seen"<BR/><BR/>today you say "max pain and panic is yet to come"<BR/><BR/>what exactly is your prognosis dear ?<BR/><BR/>What abt EM stocks (esp india) ?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-25680832369057121042007-08-21T16:05:00.000+01:002007-08-21T16:05:00.000+01:00somehow, it all goes back to the smiths/morrissey....somehow, it all goes back to the smiths/morrissey...a testament to art, if unintended.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-37649949904209029072007-08-21T15:51:00.000+01:002007-08-21T15:51:00.000+01:00The policy index is a GDP weighted index that look...The policy index is a GDP weighted index that looks at CB policy rates relative to a simple concept of neutrality. The construct is simple enough but the output is very similar to somewhat more sophistcated measures like Taylor rules. A reading of -1 indicates that rates are 1% below neutral.<BR/><BR/>On Nat Gas, it could be another blow up, thoguh I suspect that someone like Citadel is much too diversified to come under serious stress from one commodity trade(r). Note, though, that yesterday's futures volume appears to have been less than accompanying the rally earlier in the month, so if someone has hit the panic button then presumably nat gas will go a lot lower.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-15904940021624455612007-08-21T15:40:00.000+01:002007-08-21T15:40:00.000+01:00MacroMan,Your global monetary policy index looks v...MacroMan,<BR/><BR/>Your global monetary policy index looks very interesting and your insights always enlightening. Is the index just a weighted average of the major CB's target rates demeaned to 0?<BR/><BR/>Also, the Nymex NatGas action certainly suggests an Amaranth 2.0 (Citadel???) situation.Anonymousnoreply@blogger.com