tag:blogger.com,1999:blog-34323687.post5865435188325477594..comments2024-03-28T00:23:22.838+00:00Comments on Macro Man: Ten Things I Think I ThinkMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger54125tag:blogger.com,1999:blog-34323687.post-23259178128615065322016-07-22T08:09:24.234+01:002016-07-22T08:09:24.234+01:00can't stay sidelined with such VIX decimation
...can't stay sidelined with such VIX decimation<br /><br />short term / weak bulls were decimated on June 24th<br /><br />since then short term / weak bears have been eviscerated - so time for a swing to 2110Nicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-26132430993597453972016-07-22T05:17:09.102+01:002016-07-22T05:17:09.102+01:00Nico I thought u went on vacation brah. Stay away ...Nico I thought u went on vacation brah. Stay away from shorting US marketo until surprises start to roll over. I'm guessing and 6 weeks at least. <br /><br />I still like eem for a catch up trade. <br /><br />Lb, let's see where oil goes now. It's key. But thanks for your comments<br /><br />I'm still playing my double top thesis in spoos. abee crombiehttps://www.blogger.com/profile/13320039155613443039noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-69758021252599716142016-07-22T05:16:39.126+01:002016-07-22T05:16:39.126+01:00Nico I thought u went on vacation brah. Stay away ...Nico I thought u went on vacation brah. Stay away from shorting US marketo until surprises start to roll over. I'm guessing and 6 weeks at least. <br /><br />I still like eem for a catch up trade. <br /><br />Lb, let's see where oil goes now. It's key. But thanks for your comments<br /><br />I'm still playing my double top thesis in spoos. abee crombiehttps://www.blogger.com/profile/13320039155613443039noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-75706115076481747432016-07-22T04:39:07.547+01:002016-07-22T04:39:07.547+01:00Yen: Short USD/JPY @ 106.5Yen: Short USD/JPY @ 106.5Skrnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-51460240624768069252016-07-22T03:00:11.997+01:002016-07-22T03:00:11.997+01:00Copper at neckline/resistance on weekly chart.
A...Copper at neckline/resistance on weekly chart. <br /><br />Any retracement in dollar, and I will look to buy around the 96.3/5 area for third and final entry to dollar long.<br /><br />Took short Yen at 106.5 a weekly close below this level...<br /><br />Still long US - Short Europe equities, but getting itchy fingers, will give it another week or two to evaluate.<br /><br />Skrnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-70024287865832482382016-07-21T21:23:15.033+01:002016-07-21T21:23:15.033+01:00Just back from a golf course... Today I let my sec...Just back from a golf course... Today I let my secretary to handle the trailing buy orders for LQD and TLT and for selling vol on HYG and XLU in the morning. Everyday being the same story, I rather do something fun...<br /><br />About the HY: Using the recovery rate of 40% for ex-energy and 25% for energy HY with respective default rate of 5% and 20% for HYG (with 12% energy) in the worst case, I get the loss rate of 444bp (with the help of my 5y old boy). The cap weighted OAS on HYG is 455bp => buy dips and sell vols.<br /><br />I give you a piece of advice, for free, that saves you tons of money - all that DB (and any other IB) want is to get you into a sucker trade, rip you off with commissions and carry costs and, in the end, to liquidate your account into a buying frenzy induced by DB quant trading algos.<br /><br />If you need to catch up with P&L this year, create a risk-parity trade with HYG and 5y UST. You can use 35%-65% weights if you don't have quants to do math for you.<br /><br />There were a few lucky people today who got bunds at positive yields. However, every time the yield crossed the zero from below, there was a greedy, insatiable demand. I think the opportunity to get something for nothing is over for now.<br /><br />The belly outperformed... May-be people are starting to understand that is an ATM that gives you money for free of charge.<br /><br />P.S. I am off to French Riviera tomorrow to view a couple of mansions. I will let the secretary do my trades again tomorrow morning.<br />Sigmanoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-20231262087317714262016-07-21T19:36:15.051+01:002016-07-21T19:36:15.051+01:00The worm (in this case USDJPY) has turned. Give it...The worm (in this case USDJPY) has turned. Give it up for LB, yo. We called that one. <br /><br />There are clear signs that none of the major central banks is going to intervene to increase liquidity for the next six days, and markets are already starting to show signs of panic ;-)<br /><br />How far the worm can wriggle and take the spoos lower remains to be seen. Is this the time for all those leveraged punters suddenly buying back yen and then having to sell spoos/Nikkei, or are they selling spoos/Nikkei and then having to buy back yen? Chicken or egg, it doesn't matter. Once those leveraged carry trades cease to make profits and start to lose money, it can all come unglued fairly rapidly. A 5-10% pull back in this market into August, lower oil prices and a firming dollar will be enough to persuade the Fed to push off hikes beyond September and perhaps into 2017.<br /><br />Regarding the discussion of high yield and credit defaults above, it's all about oil prices. Another trip to the sub-$40 basement for WTI and all those lovely "high yield" instruments in the energy space will be renamed "junk" in short order. It's a house of cards with demand for oil and gasoline waning and global growth slowing.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-33490398239390378612016-07-21T18:40:11.926+01:002016-07-21T18:40:11.926+01:00Nico, any chance you could lend me 200,000 euro, p...Nico, any chance you could lend me 200,000 euro, please?<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-59494390017218724372016-07-21T18:36:18.795+01:002016-07-21T18:36:18.795+01:00Mr t. Practically the only commodity companies in ...Mr t. Practically the only commodity companies in the US making free cash flow at current prices are coal companiesAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-28986108115141179022016-07-21T17:53:42.589+01:002016-07-21T17:53:42.589+01:00Re: coal: a certain candidate for the U.S. Preside...Re: coal: a certain candidate for the U.S. Presidency seems to think the opposite.Markoshttps://www.blogger.com/profile/00235830172089111112noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-90918575505921945292016-07-21T17:22:23.220+01:002016-07-21T17:22:23.220+01:00Coupled with our 20% commodity HY default rate for...<i>Coupled with our 20% commodity HY default rate forecast...</i><br /><br />This guy is crazy. To my eye we are at that inflection point in the commodity cycle where 1/2 the street is digging in their heels with short positions saying "but but look at the balance sheets" while the other 1/2 is looking at the spot prices, looking at the secondaries, looking at the M&A and wondering how things ever got this cheap. How about CHK as a proxy for this - end of Januaray the stock was at a buck-fifty, natty was on its way to multi-decade lows, 5 year debt was trading at 30 cents on the dollar, short interest was closing in on 40% of float. 5 months later the balance sheet has some fresh air, the stock is up 200%, the bonds are trading at .90 on the dollar, natty is up ~80%. And this is the "worst of the worst" - the LEH of commodity space. The one so bad (ex)management was choosing to not even live to see the outcome.<br /><br />Analyst dispersion is very high. Check out ECA today - they beat by 18 cents, and this is another 'left for dead lower quality' operator. There will no doubt be some more HY commodity defaults, but at least looking at the situation now this guy is needlessly bearish.<br /><br />And in reference to a question previously, no I would leave coal out of this. Coal is in a quick death cycle, but net energy consumption is not.Mr. Tnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-15586616758180971332016-07-21T16:01:44.012+01:002016-07-21T16:01:44.012+01:00Correlation fuzziness day. EURUSD doing squat. LB ...Correlation fuzziness day. EURUSD doing squat. LB will resist the temptation to celebrate after his call on the ¥. LOL.<br /><br />USDJPY looking like it will put in a reversal candle, and Spoos is in limbo thinking about following its latest dance partner lower. This is the sort of day that often marks major market turns.<br /><br />Initial claims in the US still at lows, everything set fair for the Fed to upgrade their outlook for the US economy. ECB was a super-snoozer (see @CV above), b/c Draghi can't figure out what to do other than more of the same when things get worse.<br /><br />We might see a small step back for the DX here, before it roars back. As always, if/when we start to see both ¥ and DX gaining strength together, watch out, 12 y-o HFMs, dip buyers and vol sellers. Risk assets will be offered.<br /><br />Silly Season in the US, so often it's the perfect time to break open a whole can of European banking crisis Whoop Ass.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-27983595758868171042016-07-21T15:17:20.562+01:002016-07-21T15:17:20.562+01:00FT is reporting that JP Morgan’s Jamie Dimon is le...FT is reporting that JP Morgan’s Jamie Dimon is leading a group of powerful financial services company executives to seek the end of corporate earnings guidance.<br /><br />http://www.ft.com/cms/s/0/4c60d8a0-4e8f-11e6-8172-e39ecd3b86fc.html#axzz4F2VYh5fiAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-89380681511124687822016-07-21T15:07:27.386+01:002016-07-21T15:07:27.386+01:00Meanwhile on the ECB. Zzzz. The comments on bank e...Meanwhile on the ECB. Zzzz. The comments on bank equities were interesting, but I doubt that they will buy DBK shares anytime soon. Otherwise, same old. The scene is set for a QE extension in September I think personally, but otherwise I doubt that they will do something dramatic. Of course, a little swoon in the next couple of months would push them. <br /><br />Meanwhile in the world of politics. Trump says he won't go to war over the Baltics, fair enough I suppose, or maybe not. Next step is for May to go ... "Well, if you want us to protect the EU, you better play ball on single market access." ... I won't be pretty, but ultimately a time for the EU to go for the "nuclear" option of total integration. If the U.K. just sticks up a sign that says "We have Trident, so you can f'ck off" ... the EU will be forced to turn its back on the island. It will be painful for a while, but the world will keep spinning in the end. It always does. CVhttps://www.blogger.com/profile/16843402165210120665noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-58949184278823021082016-07-21T14:46:01.024+01:002016-07-21T14:46:01.024+01:00Up 33 for the year.
Not millions because I can...Up 33 for the year.<br /><br />Not millions because I can't piss that high due to a testicular deficiency.checkmatehttps://www.blogger.com/profile/03688082792316894545noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-67956811780681810252016-07-21T14:19:58.506+01:002016-07-21T14:19:58.506+01:00I usually take the offer on Nico's posts, just...I usually take the offer on Nico's posts, just you know, because ... ;), but ... <br /><br />"get out of all risky assets in the coming weeks"<br /><br />I actually agree with this. Whether it will be the big deluge, I have no clue, but the air is thin here and the oxygen bottles are running dry. CVhttps://www.blogger.com/profile/16843402165210120665noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-78467668999277602842016-07-21T14:07:07.995+01:002016-07-21T14:07:07.995+01:00You reminds me of one Attila Demirey back in 2007/...You reminds me of one Attila Demirey back in 2007/08, he also make the killing then, but stayed in one course for to long..Anonymoushttps://www.blogger.com/profile/15465583809802386246noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-21397514835500890362016-07-21T14:01:16.864+01:002016-07-21T14:01:16.864+01:002.7 and?2.7 and?Anonymoushttps://www.blogger.com/profile/15465583809802386246noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-38810753315208407432016-07-21T13:54:53.225+01:002016-07-21T13:54:53.225+01:00i am up eur 2.3m so far this year
you?i am up eur 2.3m so far this year<br /><br />you?Nicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-59598284466694997082016-07-21T13:54:23.774+01:002016-07-21T13:54:23.774+01:00Just imo but don't think there's going to ...Just imo but don't think there's going to be a gargantuan sudden death bust a la GFC since CB will just unleash an ocean of liquidity on any fire. But think the next recession plays out not in the banks, but in the "real economy" over a very long time as this liquidity crowds out the relevant groups making up the "real economy" from investment returns in the upper echelons of the risk curve, falling household incomes, the deterioration of job quality, crowding out the middle class into the more extreme upper and lower classes with the emphasis on the latter. Europe is very special because of the mass migration and there are some <a href="http://www.dailymail.co.uk/news/article-3426354/Refugee-crisis-cost-Germany-38BILLION-end-2017-new-study-claims.html" rel="nofollow">huge</a> cost guesstimates being toss around. I'd suspect this will constitute a major portion of whatever fiscal stimulus is coming. But unless that fiscal stimulus becomes permanent it will be a relatively short lived boost which is made out of air.<br /><br />Otherwise I'm just as confused as <a href="https://www.youtube.com/watch?v=WINDtlPXmmE" rel="nofollow">this guy</a>.hipperhttps://www.blogger.com/profile/10934536233703452719noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-73888176758733465382016-07-21T13:08:53.081+01:002016-07-21T13:08:53.081+01:00Nico is permabear for months now, AFAIKNico is permabear for months now, AFAIKAnonymoushttps://www.blogger.com/profile/15465583809802386246noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-55731159327960996922016-07-21T12:21:56.094+01:002016-07-21T12:21:56.094+01:00Nico - 2007 ? aint that a little extreme ? We are ...Nico - 2007 ? aint that a little extreme ? We are late in the cycle to be sure but if we are going to have GFC 2 redux whats the transmission mechanism to the underlying economy ? Just reflexivity ?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-64210005802160717612016-07-21T11:41:11.680+01:002016-07-21T11:41:11.680+01:00Neck-snapping turn-around in USDJPY.....
http://w...Neck-snapping turn-around in USDJPY.....<br /><br />http://www.theglobeandmail.com/report-on-business/international-business/asian-pacific-business/bank-of-japans-kuroda-rules-out-helicopter-money-report/article31044668/<br /><br />Now eyes down for the ECB. Assuming USDJPY stays weak, will Spoos follow their recent correlation and turn lower?Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-4552105558454642402016-07-21T11:15:49.678+01:002016-07-21T11:15:49.678+01:00“At this point, we have little doubt that our orig...“At this point, we have little doubt that our original forecast of a 4% ex-commodity HY default rate will be met by late 2016/early 2017. Moreover, we think there are now enough reasons to believe that defaults could rise to 5%, ex-commodities, sometime over the next year or so. Coupled with our 20% commodity HY default rate forecast, we are looking at 7.25% aggregate default rate sometime around mid-2017.”<br /><br />Deutsche’s Melentyev<br /><br />in other words we are exactly in mid-2007. Europe, EM underperforming and full TINA on US equities.<br /><br />conclusion: get out of all risky assets in the coming weeks (LB this should answer your question reg. stoxx)Nicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-80820018961725965882016-07-21T10:52:31.271+01:002016-07-21T10:52:31.271+01:00I think there's more value in MM's subscri...I think there's more value in MM's subscription than there is in Bunds ...oh, new safe haven asset group spotted.checkmatehttps://www.blogger.com/profile/03688082792316894545noreply@blogger.com