The crowd's wisdom revealed

Yesterday was such a slow day, it's just as well that Macro Man had the poll to keep him busy.  There were a couple of interesting results, with some decidedly non-normal and quite skewed/kurtotic distributions.   At the time of writing, there are 142 responses that make up the data pool.   And now, on with the show.....

SPX

As you can see, the majority of the responses were skewed to the right of the current index level (thin blue line), which is reflected in a median response some 30 points above current spot.   However, perhaps unsurprisingly, there are some fat-tailed forecasts to the left of the distribution, taking the mean to just above current levels.  This histogram probably isn't miles away from the option-implied probability distribution (adjusting for sample size and bin width), to be honest.   Note that summary statistics are provided on each histogram.

SX5E

Wow.  Either Macro Man has convinced readers of the bull case for European stocks, or the prospect of more QE has punters lathering at the mouth, if only temporarily.  What's notable here is that while the large majority of responses are to the right of the current index level, there is no real discernible fat-tailed skew; the high and low forecasts are roughly equadistant from spot.  The mean and the median are within 10 points of each other, both more than 100 points above Monday's closing price.

EUR/USD

 It seems safe to say that the market is bearish, in aggregate.   The center of the distribution is a couple of percent below spot, though it is interesting to note that while the mode is just above the lows of the year, there are only a smattering of forecasts below that level.  Other than a couple of cynics, no one sees a prospect for a rally of more than a few big figures into year end.  If the market were fully positioned, this would clearly be cause for concern; as it is, Macro Man would suggest that the market generally has the view but not the position, so flow will push it lower, all things being equal, over the next few weeks.

CRUDE OIL

Macro Man is personally agnostic on crude at the moment, and while he apparently has some company (given the obvious mode around current levels), it is quite interesting to note that this distribution is a lot flatter than the others.  On balance, the skew is to the topside- both mean and median are ~ $46/bbl- but there are plenty of bears as well.  That the standard deviation is $5.00 for a little more than two months' price action suggests that volatility is here to stay.


US 10Y

In complete contrast to crude, this is the most normal distribution of the lot (adjusting for the relatively narrow bin widths.)  Although it appears to skew slightly to the right of current levels, in fact both the median and the mean are identical to the level prevailing when the survey was published.  It is interesting to note that sub-2% yields do not appear to have scared off respondents, despite the difficulty that 10's have had sustaining a break of that level recently. This is perhaps a function of the relative conviction that the Fed stands pat.

FED

Dot plot: 76.5% responses for 2015 rate hike

OIS:   34% chance of 2015 rate hike

MM respondents: 21% chance of 2015 rate hike