tag:blogger.com,1999:blog-34323687.post7078547358077135252..comments2024-03-19T03:05:57.184+00:00Comments on Macro Man: The best-laid plansMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger28125tag:blogger.com,1999:blog-34323687.post-62459217734643836692015-09-08T14:57:58.657+01:002015-09-08T14:57:58.657+01:00This comment has been removed by a blog administrator.Anonymoushttps://www.blogger.com/profile/18262315848179799521noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-48531857415588927322015-08-28T11:06:12.307+01:002015-08-28T11:06:12.307+01:00@ Nico - thanks for that, useful explanation.
Chri...@ Nico - thanks for that, useful explanation.<br />ChrisAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-52037788662320368782015-08-28T07:34:02.620+01:002015-08-28T07:34:02.620+01:00Marshall
you are right in theory but VIX has mor...Marshall <br /><br />you are right in theory but VIX has morphed into a measure of risk/fear i.e. the search for, or the abandon of put protection. many folks still buy calls when they think market bottoms, as they should 'in theory' but as market goes higher people will dump their puts in a hurry volat will be marked down affecting puts AND calls thus your loss on your call vega might annihilate your convexity if it does not rip enough<br /><br />the best option play at bottom would be to sell ATM puts but it is quite stressful and you'll need an iron market conviction<br /><br />on the other side, you would think that buying puts at the top, at a very cheap VIX level would then work but as you 've seen markets take much more time to top than to bottom hence you might be right, but too late. This is why so many puts expire worthless or are sold when punters lose patience which consequently compress volatility even more<br /><br />in conclusion: buying options on equity index very rarely pays like it should (single names are another story)<br /><br />long before measures like VIX were invented, when people entered aggressively on the long side volatility was marked UP accordingly since the herd was jumping on OTM calls. It was the easiest market for vol sellers throughout a steady rally as the realized volatility would be much less than the implied volatility priced in the calls you sold<br /><br />if you want to take a mathematical extreme, the implied volatility of a rally shooting straight up along one line is zero.Nicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-91833659188407345732015-08-27T23:47:40.787+01:002015-08-27T23:47:40.787+01:00VIX usually peak at market bottom and has asymetri...VIX usually peak at market bottom and has asymetric relationship with price.<br /><br />I think spot was around 12 in mid august.Carry traderhttp://dividend.net.aunoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-18136084821064551532015-08-27T21:30:12.033+01:002015-08-27T21:30:12.033+01:00I'm not the smartest guy in the room by a long...I'm not the smartest guy in the room by a long shot but the definition of the VIX is: <br /><br />"It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking and is calculated from both calls and puts"<br /><br />Seems to me like implied vol when you are going down OR up (or ranges) of 50-90 S&P points in one day would drive the VIX higher. A high VIX does not necessarily imply lower prices. JMO.Marshall Junghttps://www.blogger.com/profile/01494663748081037987noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-49604896724643471582015-08-27T20:38:19.613+01:002015-08-27T20:38:19.613+01:00you mean they're doing all this circus for a m...you mean they're doing all this circus for a military parade? are pandas real bears by the wayNicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-35113211859056329252015-08-27T20:24:07.306+01:002015-08-27T20:24:07.306+01:00http://www.bloomberg.com/news/articles/2015-08-27/...http://www.bloomberg.com/news/articles/2015-08-27/china-said-to-intervene-to-shore-up-stock-market-before-parade-idtyzfdu<br /><br />"China’s government resumed its intervention in the stock market on Thursday and has been cutting holdings of U.S. Treasuries this month to support the yuan. Authorities want to stabilize equities before a Sept. 3 military parade celebrating the 70th anniversary of the World War II victory over Japan. Treasury sales allow policy makers to raise dollars needed to bolster the yuan after a shock devaluation two weeks ago."Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-76810832810814768502015-08-27T19:57:48.829+01:002015-08-27T19:57:48.829+01:00$ES_F up 25 and $VIX futures positive. This isn&#...$ES_F up 25 and $VIX futures positive. This isn't over.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-28934260059346410462015-08-27T19:18:28.747+01:002015-08-27T19:18:28.747+01:00Maybe its just a product of the backwards board, b...Maybe its just a product of the backwards board, but $VIX futures have not trusted this move all day.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-26379369473507328402015-08-27T18:31:49.566+01:002015-08-27T18:31:49.566+01:00Well it is in Dax given it entered a bear market M...Well it is in Dax given it entered a bear market Monday. 1000 pts off that. But then, who wants to be caught short month end into jackson hole with a bank holiday in UK Monday.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-9296263892156177722015-08-27T18:21:11.332+01:002015-08-27T18:21:11.332+01:00This feels like a bear market rally.This <i>feels</i> like a bear market rally. Mr. Tnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-3102392548397574702015-08-27T18:02:22.110+01:002015-08-27T18:02:22.110+01:00thanks for that Nico - here is the most current li...thanks for that Nico - here is the most current list of people who have asked the fed to delay the 25 bps rate hike so far:<br /><br />1. Christine Lagarde<br />2. Larry Summers<br />3. Chuck Schumer<br />4. PBoC<br />5. Paul Krugman<br /><br />I have just one question - I know being the fed chair isn't a calm gig, but isn't it a fair assumption that one of these days, yellen will tweet, "100 bps bitches, here is a bird to go with it, now leave me the F alone!"<br /><br />NOT! she was seen checking into the same clinic which surgically removed greenspan's spine after the 1996 turbulence.washedupnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-63128195775835887092015-08-27T17:06:24.533+01:002015-08-27T17:06:24.533+01:00China asking Fed to delay rate hike... this is be...China asking Fed to delay rate hike... this is better than 1968 Rolling Stones circus, and without the drugsNicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-53775501919155133772015-08-27T16:08:33.264+01:002015-08-27T16:08:33.264+01:00Quiet, calm market...drugged, sated.Quiet, calm market...drugged, sated.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-42905203416784919652015-08-27T16:05:46.986+01:002015-08-27T16:05:46.986+01:00Anon, I agree!Anon, I <a href="https://twitter.com/Macr0man/status/636916942465597441" rel="nofollow">agree</a>!<br /><br />Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-17510810855312922162015-08-27T15:17:16.953+01:002015-08-27T15:17:16.953+01:00oil setting up for a pop, what with all this posit...oil setting up for a pop, what with all this positivety of the equity rally. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-61460162432170743352015-08-27T15:00:17.233+01:002015-08-27T15:00:17.233+01:00having said that, if you want to stop watching wha...having said that, if you want to stop watching what you missed and want to PLAN ahead, 1950 was the level a few of us chose to reposition short in October (bouncing from the low 1800s) ... and we got smoked <br /><br />but who knows it might work this time. As said earlier on i am short my bounce target 3270 on stoxx for a 200 point new leg down and will stop scalping and watching the tape tick by tick and go kiting nowNicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-64241492647131210522015-08-27T14:55:00.566+01:002015-08-27T14:55:00.566+01:00do not despair abee you always hear jbtfD ADTER D ...do not despair abee you always hear jbtfD ADTER D happened. It is called back trading. And which D anyway did you miss? Buyers of the 2080, 2050, 2020, 2000 1980 and 1960 lost their money<br /><br />buyers of the 1950, 1930, 1910 and 1890 were probably stopped, too. If you were still waiting for the big D 120 points lower then you got too scared by the 1890-1840 liquidation segment anyway when 'crash crash' was all over the media<br /><br />Can we please stop with the back trading, it is moronic. Dip buyers never make the call on real time (apart from FM but he was scalping for a few hours, not swinging so who cares) when they buy it anyway, they never give you their stop and target and if they did here other members would ask them to stop posting their trades !Nicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-10780824830913279092015-08-27T14:46:46.575+01:002015-08-27T14:46:46.575+01:00 Nikkei +13.6% ytd
Why bother having an economy. W... Nikkei +13.6% ytd<br />Why bother having an economy. What an archaic concept. Watch Netflix buy Amazon all day long. Or read MM.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-16111874590835498362015-08-27T14:39:03.884+01:002015-08-27T14:39:03.884+01:00abee
BBG:"Emerging-market equities aren’t the...abee<br />BBG:"Emerging-market equities aren’t the bargain they appear to be, even after valuations fell to an 11-year low relative to their developed peers, according to John-Paul Smith, who has been warning of a China-led selloff for more than a year. “Sometimes cheap isn’t enough,” said Smith, an ex-Deutsche Bank AG strategist who now works at Ecstrat in London and also predicted the Russian debt crisis in 1998. The selloff is “about to get much worse given the recent massive falls in commodity prices” and deteriorating economies across the board, he said."Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-20526072716662105142015-08-27T14:31:24.843+01:002015-08-27T14:31:24.843+01:00JBTFD again... meh I give up. Got no idea now. Gre...JBTFD again... meh I give up. Got no idea now. Great market to swing trade but that is it<br /><br />Was that the end for EM? hard to believe if you think Fed will raise rates this year. anyawys I wont be selling till Spoos get back to 50 day, which knowing these markets will probably be on Tuesday<br /><br />abee crombiehttps://www.blogger.com/profile/13320039155613443039noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-87177289627660734432015-08-27T14:27:49.873+01:002015-08-27T14:27:49.873+01:00$VXX rolling more & more into OCT future. &am...$VXX rolling more & more into OCT future. & it's not dropping when it's still 9 under spot and 2 under SEP. OCT +.70 since 4pm cash close.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-75768803365906436952015-08-27T13:42:51.657+01:002015-08-27T13:42:51.657+01:00Solid revision to real final sales to domestic pur...Solid revision to real final sales to domestic purchasers. Indicates to me that there is absolutely nothing wrong with US growth and that despite its size, it remains a relatively closed economy that can successfully weather a the slowdown in external demand.<br /><br />If NFP is within range next Friday and the FOMC does not hike in Sept, I think they would be sending the wrong signal.CJnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-69365977541391329512015-08-27T11:22:32.423+01:002015-08-27T11:22:32.423+01:00Month end ramp & short covering into Jackson H...Month end ramp & short covering into Jackson Hole. QE2 & ECB QE hinted at previously. <br /><br />While risk appears minimal of another sort of indication, market doesn't want to take the downside risk.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-4138351990889781602015-08-27T08:48:53.475+01:002015-08-27T08:48:53.475+01:00http://www.theguardian.com/world/2015/aug/27/china...http://www.theguardian.com/world/2015/aug/27/china-small-time-recyclers-down-on-their-luck-amid-stock-market-turmoil<br /><br />Anonymousnoreply@blogger.com