tag:blogger.com,1999:blog-34323687.post4631831150688551049..comments2024-03-29T09:24:42.731+00:00Comments on Macro Man: What TMM have learnt this weekMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger12125tag:blogger.com,1999:blog-34323687.post-76152510551100029262011-09-16T18:50:58.836+01:002011-09-16T18:50:58.836+01:00Agreed. They are Too Big To Manage.
The trading ...Agreed. They are Too Big To Manage. <br /><br />The trading floors at IBs resemble those hog farms where the pigs can barely move and are highly stressed. The major product of these operations appears to be closely related, and sewage control has been overwhelming for years. It is one thing for the smaller boutique and mid-size HFs to figure out VaR, but the big IBs have no idea on a daily basis.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-85424505903756907422011-09-16T18:40:48.446+01:002011-09-16T18:40:48.446+01:00If what ever he was up to was being done with an e...If what ever he was up to was being done with an eye to enrich himself then fine throw him to the wolves, but I suspect he was a young guy who dug a hole and panicked. It's not big and it's not clever but if we are all honest with ourselves most of us who have been doing this for a long while have, to some extent, screwed up and panicked (even if we did put our hand up quickly). <br />The real point here is that the banks managers are responsible for putting him in a position where he can take enough risk to loose $2bio (I am struggling to find a reasonable way he could have done that - even trying that is going some), they are responsible for managing the safety net (for him and the banks shareholders) and they are responsible for the legions of risk managers they employ to stop this happening.<br />The kid will be terrified and slaughtered by all and sundry but for me the mass of over paid management in large critical mass type businesses like this must take a huge part of the blame. These banks are managed by the same idiots running the same over staffed and over paid silo'd businesses so that they can get paid the old style renumeration.<br />This model is dead and the quicker the banks boards and shareholders let go of the myth that the model will re create the 'glory' days the better. Drives me nuts.<br />dbAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-69700807163685055492011-09-16T18:35:02.006+01:002011-09-16T18:35:02.006+01:00Take a look at the pink sheets for Soc Gen, BNP an...Take a look at the pink sheets for Soc Gen, BNP and Cred Ag, and Unicredit. All crashing. This may simply be profit taking from those who rode the squeeze.<br /><br />Or..? One way to look at this week's CB bazooka unveiling is that a Greek default is imminent and they will attempt to react to market carnage by squirting liquidity from said weaponry?<br /><br />Or how about the Greek banks to be taken down, Swedish style? I am still long here, just trying to examine the remainder of the potential event space and thinking about the level of equity exposure into the w/e.Leftbacknoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-37520434696214464352011-09-16T18:01:07.318+01:002011-09-16T18:01:07.318+01:00@anon 5:23
It could have been a put ratio say 1.20...@anon 5:23<br />It could have been a put ratio say 1.20/1.05 strikes, where he was long the 1.20 strike, short twice the 1.05, initially delta neutral and gamma/vega neutral (or rather gamma slightly long, vega slightly short). Then spot drifts lower in low vol as it crosses his long strike, and then accelerates on the way down with vol exploding. He loses a ton of money delta-hedging his now short gamma position (buying high, selling low), and the final nail in his coffin is the SNB peg which leaves him long gamma, vega etc. just when vol dies.thetanoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-48766370716454017832011-09-16T17:42:29.577+01:002011-09-16T17:42:29.577+01:00Greek default rumors running main stream now, with...Greek default rumors running main stream now, with a "poll" no less: http://www.reuters.com/article/2011/09/16/us-greece-crisis-poll-idUSTRE78F44V20110916karenhttps://www.blogger.com/profile/01981531601500637583noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-51956409142009265572011-09-16T17:23:58.755+01:002011-09-16T17:23:58.755+01:00P.,
How about he was running about $20M of FX at ...P.,<br /><br />How about he was running about $20M of FX at 100 x leverage, and he was long CHF:EUR at the top, so he was in the hole and then decided to "double down" just before the SNB peg. He goes to the khazi, comes back and said instrument is down 8%. But this only gets us to $200M or so, unless he was playing with far more of the bank's money...? I suppose it must have been a trade long volatility, which effectively vanished..?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-73693500324509921172011-09-16T16:12:34.070+01:002011-09-16T16:12:34.070+01:00Anon 3.40 .. totally agree with your points, but h...Anon 3.40 .. totally agree with your points, but he/something DID by pass all the checks you mention. Our point is that front office staff trying to do the same would be like sending your granny thru one of those raiders of the lost ark final challenges.. no chance. At least m.o. and b.o. know where the traps are.Polemichttps://www.blogger.com/profile/05985506596290073453noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-3660090553232179862011-09-16T15:40:01.887+01:002011-09-16T15:40:01.887+01:00Complete Rubbish about promoting from the back and...Complete Rubbish about promoting from the back and middle offices<br /><br />having worked in middle office before, (albeit in credit) there is NO WAY you can rack up 2yards of losses without MULTIPLE flags being raised to Market Risk, Finance, Collateral, Treasury, Credit Risk, Settlements, Middle Office, Confirmations and the rest of the bank. Even if you knew the entire back office, middle office like the back of your hand it would be impossible. There are different access privileges across multiple systems. you will never have access to all the risk, settlement systems used. If you can get round the internal controls, then there is a serious problem with technical and strategic architecture of the bank, How was this not picked up in the annual external audit? they should whack the head of risk, ops, audit and and the entire risk management committee, <br />Either their entire bank was incompetent or this was a case of kitchen sinking losses. after all, UBS like everyone else were long and very wrongAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-68598175321927445082011-09-16T15:35:35.365+01:002011-09-16T15:35:35.365+01:00Loved this post! and while i looked askance at th...Loved this post! and while i looked askance at those pump priming greek default rumours yesterday.. i'm sure we haven't heard the last of them. There are reputations and egos at stake here. But personally, I'm so over foil beenies.karenhttps://www.blogger.com/profile/01981531601500637583noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-92175480001942198442011-09-16T14:43:38.485+01:002011-09-16T14:43:38.485+01:00Wellred 2.27.. yes was one of the most popular &qu...Wellred 2.27.. yes was one of the most popular "well it must be because...." theories flying around yesterday. Some of which had us reaching for our foil beenies. <br /><br />As for china papers. i ll leave that to nemo.<br /><br /><br />Oh and to all... haven t forgotten the tmmisms.. give us the weekend to decide.Polemichttps://www.blogger.com/profile/05985506596290073453noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-62863314297067031902011-09-16T14:33:21.117+01:002011-09-16T14:33:21.117+01:00Also, links to any discussion of pirmary material ...Also, links to any discussion of pirmary material stockpiling in China would be appreciated (or names of who I should be tracking down).<br /><br />RegardsWellRednoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-34241646823550475612011-09-16T14:27:52.033+01:002011-09-16T14:27:52.033+01:00Has the thought been considered that yesterday'...Has the thought been considered that yesterday's coordinated CB announcement was pump priming in preparation for a Greek default?WellRednoreply@blogger.com