tag:blogger.com,1999:blog-34323687.post4939126372682202780..comments2024-03-18T18:27:47.714+00:00Comments on Macro Man: Commodities Are a JokeMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger32125tag:blogger.com,1999:blog-34323687.post-12436720306428713412009-06-23T15:39:10.820+01:002009-06-23T15:39:10.820+01:00in FX world..
long overnight brazillian straddle.....in FX world..<br />long overnight brazillian straddle..Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-83088901896382980452008-12-10T19:48:00.000+00:002008-12-10T19:48:00.000+00:00damn macro man im afraid to bother u ur so busy!! ...damn macro man im afraid to bother u ur so busy!! but very nice work with the site, very well writtenAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-55052195020115695872008-12-03T10:47:00.000+00:002008-12-03T10:47:00.000+00:00Surely sterling should now be called "Ugly Betty"?...Surely sterling should now be called "Ugly Betty"?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-63023584987079047752008-12-03T06:39:00.000+00:002008-12-03T06:39:00.000+00:00Hi Macro Man,Your proprietary risk indicators show...Hi Macro Man,<BR/><BR/>Your proprietary risk indicators show good correlation with market tops and bottoms. (vs SPX Index)<BR/><BR/>It is probably difficult to judge the direction over the next few weeks. <BR/><BR/>We are currently 2 Standard Devi's away from normal range, but we might just remain here, hey?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-72564067102074565802008-12-03T03:58:00.000+00:002008-12-03T03:58:00.000+00:00Well if you look at commodities overall... one cou...Well if you look at commodities overall... one could only conclude that they all<BR/><BR/>" Tossed their cookies "<BR/><BR/>And are now praying to the porcelain "god" and gonna have a bad hangover for a couple yearsThe Dudehttps://www.blogger.com/profile/05021298821431905171noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-26408034517018262162008-12-02T23:55:00.000+00:002008-12-02T23:55:00.000+00:00rubber meltedpalm oil spreadsorry trying to get ex...rubber melted<BR/>palm oil spread<BR/><BR/>sorry trying to get exotic here..no i do not want to rec 30y ...swaps<BR/><BR/>love ur blogAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-14210042657822066712008-12-02T21:01:00.001+00:002008-12-02T21:01:00.001+00:00Corn came a cropper. Oranges got squeezed. The egg...Corn came a cropper. <BR/>Oranges got squeezed. <BR/>The egg dropped. <BR/>Beef got pounded. <BR/>Beer went flat. <BR/>Tomatoes went splat. <BR/>Potatoes were fried. <BR/>Spices burned. <BR/>Cement is cracking. <BR/>Rubber was vulcanized. <BR/>Uranium got nuked. <BR/>Coal came off the mountain top.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-1096514446943689292008-12-02T21:01:00.000+00:002008-12-02T21:01:00.000+00:00MM I have to agree the impact if any would not be ...MM I have to agree the impact if any would not be immediate and in fact oil is making new lows. I wonder though if Asia can give a bid hand to Team 850. I have been right with you in the bear equity trenches but am now playing from the (small) long side thinking that for krissakes is there no pony in this room full of road apples?? TARP and all the rest, oil below $50m 30-year mortgages dropping 90bp IN ONE DAY...<BR/><BR/>Sold some Gilts at the close too, went from medium long to small short, "we'll see how THAT works out..."Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-39378893212495100462008-12-02T19:43:00.000+00:002008-12-02T19:43:00.000+00:00Anon, yeah, you're right, I foolishly didn't accou...Anon, yeah, you're right, I foolishly didn't account for convexity. I do think the issue of the zero bound is an important one...at some point the risk/reward will just look too good for me to pass up.<BR/><BR/>Steve, I think it's a bit of a leap to go from China letting the currency weakening to a concomitant demand-driven bid for oil. There are a lot of intermediate steps (and time) that will have to occur before that chain can make an appreciable impact on the price, IMHO.<BR/><BR/>Darth, I use logarithmic rather than arithmetic returns.....hence my somewhat different figures.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-81900732252098387592008-12-02T18:20:00.000+00:002008-12-02T18:20:00.000+00:00Macro mancorrect me if i'm wrong but concerning th...Macro man<BR/><BR/>correct me if i'm wrong but concerning the 30y US swap, your max drawdown on this trade (paying 10kUSD/bp)could be much bigger than 2.78M per annum...<BR/><BR/>I think you forgot the convexity effect : if yields were to collapse, the sensitivity of your position will dramatically increase (for example, for an immediate fall of 100bps of the whole curve structure, the sensi will increase from 10K to 13K), so each marginal bp fall will increase your loss...<BR/>In that case, you won't lose 1M USD but 1.1 M USD<BR/>and if yields were to fall by 200bps, you wouldn't lose 2M but 2.6M...<BR/><BR/>That's the convexity effect : you need 5M USD nominal for 10KUSD/bp when yields are at 2.78, but the same nominal won't have the same sensi if yiels move significantly (and that won't be so much surprising given the current volatility !!!)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-80903751148118525482008-12-02T18:03:00.000+00:002008-12-02T18:03:00.000+00:00Speaking of commodities and uhm China, MM have you...Speaking of commodities and uhm China, MM have you noticed the yuan over the past two days?<BR/><BR/>Still trying to eek out a decent month...and this seems like the way to do it. I can't trade the yuan, or even the Chinese stock market, but I'm looking for the knock-on effects. Seems to me that oil could actually benefit (despite the initial reaction) since the stimulus to the Chinese economy will probably offset the higher cost of fuel, which is at any rate fixed by the govt.<BR/><BR/>Any interest? Thoughts?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-60578581846344981332008-12-02T17:26:00.000+00:002008-12-02T17:26:00.000+00:00Was the market not down 8.93% on Monday, thus putt...Was the market not down 8.93% on Monday, thus putting the down day into the top 10 post war?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-19588804240563408522008-12-02T17:17:00.001+00:002008-12-02T17:17:00.001+00:00Arcturus, he is correct - the picture shows 30yr t...Arcturus, he is correct - the picture shows 30yr trading at 2.78, hence at 10k/bp (assuming libor can go no lower than 0) that's a max loss of 2.78mm.<BR/><BR/>Trying to move your dad jokes to the FX space...<BR/>Cable's been chopped?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-84698554775831010382008-12-02T17:17:00.000+00:002008-12-02T17:17:00.000+00:00Sterling is err... disappearing?Sterling is err... disappearing?Unknownhttps://www.blogger.com/profile/05977957674213647788noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-88971460750977303482008-12-02T15:49:00.000+00:002008-12-02T15:49:00.000+00:00Macro Man,In the section where you discussed the 3...Macro Man,<BR/><BR/>In the section where you discussed the 30yr swap spreads, were you saying that risking $10k/bp your max downside on that trade is $2.78 million? Sorry, was just confused if mio was a misprint. Thanks.Arcturushttps://www.blogger.com/profile/09740317943469339163noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-89844894087529782802008-12-02T14:08:00.000+00:002008-12-02T14:08:00.000+00:00Wool is unravelingWool is unravelingAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-81498427778209034142008-12-02T14:02:00.000+00:002008-12-02T14:02:00.000+00:00Mandelson should be drowned in guacamole...sorry, ...Mandelson should be drowned in guacamole...sorry, mushy peas.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-48697648554995391162008-12-02T13:53:00.000+00:002008-12-02T13:53:00.000+00:00SD, yes...though I am looking to roll, and finding...SD, yes...though I am looking to roll, and finding that the bid/ask on vol in that market is as wide as the Grand Canyon. It seems like once you have a position, you need to give it a wedding ring, because you are married to it, such is the disparity in bid/ask.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-3571289280216035342008-12-02T13:43:00.000+00:002008-12-02T13:43:00.000+00:00MM - Still sportin' the receiver on the DI rates? ...MM - Still sportin' the receiver on the DI rates? (hope so anyways!) Trade of week seemms to be receive DI, buy USDBRL for better risk/return... what u think of that?SDhttps://www.blogger.com/profile/02004788658738987967noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-41273005982493117872008-12-02T13:22:00.000+00:002008-12-02T13:22:00.000+00:00Cassie...surely freight is sinking?Cassie...surely freight is sinking?Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-19756952319686999772008-12-02T13:19:00.000+00:002008-12-02T13:19:00.000+00:00As for the Daily Express article...I wish you hadn...As for the Daily Express article...I wish you hadn't posted that, anon. I was eating my lunch, and seeing the leering visage of Mandelson was almost more than I could take. I am close to convinced that that guy is Nosferatu or some other sinister creature of the underworld, and there is very little that I would put past him.<BR/><BR/>That having been said, the Daily Express is about as trustworthy as the Weekly World News when it comes to...err...news.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-45755338249155399552008-12-02T13:08:00.000+00:002008-12-02T13:08:00.000+00:00Bravo, Nordic Dude...well done. You obviously hav...Bravo, Nordic Dude...well done. You obviously have kids to make that many bad jokes. Cannot believe I forgot hogs get slaughtered!Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-87265303907673577122008-12-02T13:05:00.000+00:002008-12-02T13:05:00.000+00:00macro man you've created a monster... anon @ 11.29...macro man you've created a monster... <BR/>anon @ 11.29, it's probably the illuminati or else the new world order.. unless its the rosacrucians or opus dei of course.. maybe the "world's best newspaper" will run a follow-up tomorrowAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-65127000467548455852008-12-02T13:02:00.000+00:002008-12-02T13:02:00.000+00:00Oats are getting rolledScrap steel is getting crus...Oats are getting rolled<BR/>Scrap steel is getting crushed<BR/>Freight-futures are getting deep-sixed<BR/>Heating-oil is ummm errrr .... tanking?"Cassandra"https://www.blogger.com/profile/17412381249313151515noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-83107004230630835172008-12-02T11:40:00.000+00:002008-12-02T11:40:00.000+00:00corn got poppedcorn got poppedBrianhttps://www.blogger.com/profile/01239493152352335722noreply@blogger.com