tag:blogger.com,1999:blog-34323687.post4873889065258007502..comments2024-03-28T12:22:11.704+00:00Comments on Macro Man: The lowest vol in a lifetimeMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger28125tag:blogger.com,1999:blog-34323687.post-88408312707601307182016-08-27T17:15:06.740+01:002016-08-27T17:15:06.740+01:00
Are you in need of a loan? Do you want to pay off...<br />Are you in need of a loan? Do you want to pay off your bills? Do you want to be financially stable? All you have to do is to contact us for more information on how to get started and get the loan you desire. This offer is open to all that will be able to repay back in due time. Note-that repayment time frame is negotiable and at interest rate of 3% just email us Abdallah.afandi@financier.comfunloanfirmhttps://www.blogger.com/profile/06814665300514883570noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-74712692402817636422016-08-26T14:32:08.301+01:002016-08-26T14:32:08.301+01:00i've seen the 30 day realized vol stat a coupl...i've seen the 30 day realized vol stat a couple times now, why the fixation on 30 days? 30 business days come out to smth like 1.5 months. it's not 1 month which would be 21 business days. i think if you pick some arbitrary lookback window during low vol periods you can always find one which is the lowest in X number of years. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-32643202913686542782016-08-25T20:56:37.811+01:002016-08-25T20:56:37.811+01:00the only difference is the US electionthe only difference is the US electionNicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-71965216965871737502016-08-25T20:49:52.793+01:002016-08-25T20:49:52.793+01:00@Nico,
What is the difference between a Sep raise...@Nico,<br /><br />What is the difference between a Sep raise and a Dec raise on Fed fund rate? Probably nearly zero on real economy. But it could make a ton of difference on capital markets and politics. <br /><br />After the election, there is a much greater chance that FOMC will hike if there is no sudden recession between now and then. Hilary might welcome one even it cause a stock market crash: she will not be blamed for the crash and can take credits for recovery. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-89954440300776522032016-08-25T20:27:20.268+01:002016-08-25T20:27:20.268+01:00PS: i've been reduced to buy 2169 to offer aga...PS: i've been reduced to buy 2169 to offer again at 2175. I have no dignity left.Nicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-36269466602553587232016-08-25T20:26:44.331+01:002016-08-25T20:26:44.331+01:00"She wants to help Hillary become the next pr..."She wants to help Hillary become the next president, given that Dem helped her become the chairwoman and Trump wants to fire her"<br /><br />quite a sad, but valid argument<br /><br />i might be wrong but i'd still expect the Fed peeps to have some dignity left i.e. to not make it blatant that they are on direct Washington orders. [naive mode off]<br /><br />Nicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-39699356877687059712016-08-25T20:15:09.734+01:002016-08-25T20:15:09.734+01:00@anon 8:01 - those are some fun (and telling) fact...@anon 8:01 - those are some fun (and telling) facts - thx very much for sharing.<br />@Maelstrom I said this yesterday and will repeat it - there is so much roll pressure now (to clarify to LB, the rolling from length far outweighs the the anti-roll from short instruments) that a deep contango in the VIX curve can be safely assumed to be a quasi-permanent state of affairs - I am not sure how much to adjust for that.<br />I agree with your read on REITS relative to treasuries - I think to have it hedged with IYR or TLT puts is the way to go. I don't think any of your arguments would matter if people have to sell YTD winners simply to raise cash, but obviously we have not been in that environment since Feb (when there was no YTD to speak of!)washedupnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-30947891348348819882016-08-25T20:09:30.882+01:002016-08-25T20:09:30.882+01:00Leftback, I think you are looking at the wrong ant...Leftback, I think you are looking at the wrong antipode to short (my biggest position is long AUD/NZD).<br /><br />http://www.bloomberg.com/news/articles/2016-08-18/powder-play-how-a-dairy-at-the-end-of-the-earth-ruled-the-world<br /><br />I can't emphasize enough how significant the Fonterra payouts are for the New Zealand economy (by my calculations, they equaled six percent of GDP in 2014).Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-5243232867193849412016-08-25T20:03:08.647+01:002016-08-25T20:03:08.647+01:00We've been staying away from VIX since we clos...We've been staying away from VIX since we closed our XIV position back in mid July. At that time I mentioned that despite a historic low (complacent?) VIX level, going long VOL was just too expensive, especially at the short end of the curve. VXX is down -20% since that time. I'll be the first to point out that we clearly missed an additional +20% move had we continued to hold XIV, but the risk/reward didn't look worth it at the time for either VXX or XIV, thus we stayed flat. Today, I'll make a similar point. Even with recent VIX moves back into the 13's, contango is still too rich for our taste. That being said, we are getting close. I'll be waiting for a VIX move into the mid-14/low-15 range then a retracement back to mid-12's before being tempted to go long. <br /><br />Switching asset classes (seems strange VOL can even be considered one...but these are the times we trade in), I'm struggling with REITs here. Especially within the "reach for yield" narrative. We use VNQ as a liquid REIT proxy and I've been watching the yield closely for signs of crowding. With a T12 yield of ~4% currently, this doesn't look particularly low, at least relative to levels over the last 5-6 years (T12 yields have touch below 3.5% a number of time in that time frame which would require another +10% price move from here). If we look at spreads to the 10y we are close to the highest level since 2011. Now I'd venture that this spread says more about the price of treasuries than REITs, but even if you "Normalize" the 10yr (we model a normalized 10yr to 2.7%...I'll note this has done little to help out short treasuries position...so far), and look at that relationship over the same time frame, the spread to VNQ T12 is basically at median. I hate to continue to hold REITs after the recent run, but its hard to justify a sell based on yield crowding when I don't yet see it in the data. Any thoughts would be appreciated.<br /><br />Good trading to all.maelstromnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-44590248418611618872016-08-25T20:01:04.786+01:002016-08-25T20:01:04.786+01:00"This one blew me away, even though I was in ..."This one blew me away, even though I was in the market the entire time: 'From early 2008, more than half of the gains in the SP500 occurred on the days of FOMC decisions.'"<br /><br />Have known that "forever" (actually, it was all of the net market gains have occurred on FOMC decision days and the period +/- one day surrounding it).<br /><br />Similarly:<br /><br />All net market gains have occurred on the first trading day of the month (and the period +/- three days surrounding it).<br /><br />All net market gains have occurred when Congress is not in session.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-44103165007379418252016-08-25T19:58:12.803+01:002016-08-25T19:58:12.803+01:00Anon @4:46:
"Expect the same old comedia del...Anon @4:46:<br /><br />"Expect the same old comedia dell'arte :<br />hawkish speechs in the weeks before FOMC and probably J. hole but no hike in september. <br />They are all wanna be hawks who talk the talk but can't walk the walk for whatever reason cowardness, politics..."<br /><br />This made us laugh and we have some sympathy with this view. Will hawk talk produce some vol? Then it would be Sell The Rumour from j-hole into FOMC, and Buy The News post September FOMC. Or: <a href="http://macro-man.blogspot.com/2014/11/so-sell-some-vol-and-buy-spoos.html" rel="nofollow"> Sell Some Vol and Buy The Spoos </a><br /><br />Rinse and repeat....<br /><br />@cowboy: <br /><br />Dec vol might not be inexpensive, and it depends on whether the vix curve flattens or the whole thing takes off vertically. <br /><br />If she says "one hike only, September is live", then Dec vol might not be the best way to go. Not much is cheaper than Sept vol. IWM Oct puts? or Sep puts if you have massive balls.... as always position size is the best way to control your risk... vxx calls? Hmm.. only if u r feeling very lucky and are betting on a cheeky squeeze of lazy vol sellers. Bonne chance, monsieur.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-25291628947470199602016-08-25T19:24:03.973+01:002016-08-25T19:24:03.973+01:00If Brexit couldn't get vol to do anything more...If Brexit couldn't get vol to do anything more than flip the pillow and promptly fall back asleep, why should we expect Italexit to get it to the breakfast table?<br /><br />As for the supposedly data dependent Fed, there is no longer any telling what might get them to move. That being said, I did sell some EURUSD this week just in case of a surprise.Barba Harilaoshttps://www.blogger.com/profile/13112902282786676127noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-2259411175274344072016-08-25T18:41:52.682+01:002016-08-25T18:41:52.682+01:00Fk it, it's last orders at the hotel bar in Ma...Fk it, it's last orders at the hotel bar in Manila and I wanna long some vol for the pa. Can only do so via etf opts. Should I buy calls on vxx, puts on iwm, puts on ewz? With It referendum (and US elects) in mind, thinking of Dec exp. Any suggestions would be much appreciated. Aside from that, many thanks to MM, Nico, LB, washed, checkmate, and all the many thoughtful members of the board. cowboynoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-13577467100339508862016-08-25T18:25:34.293+01:002016-08-25T18:25:34.293+01:00Kevin Warsh's article in the WSJ should be com...Kevin Warsh's article in the WSJ should be compulsory reading for everyone - truer words were never spoken.<br /><br />http://www.wsj.com/articles/the-federal-reserve-needs-new-thinking-1472076212<br /><br />This one blew me away, even though I was in the market the entire time: "From early 2008, more than half of the gains in the SP500 occurred on the days of FOMC decisions."<br /><br />Of course, he was there when bernanke was pouring gasoline, so he gets the blame for some of the fire and its easy to criticize the guys who are still in the FOMC now that he is outside - still, one wishes for an alternate universe where Janet Yellen would read the article and agree with it.<br />washedupnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-85168672559302386322016-08-25T16:46:16.293+01:002016-08-25T16:46:16.293+01:00Expect the same old comedia dell'arte :
hawkis...Expect the same old comedia dell'arte :<br />hawkish speechs in the weeks before FOMC and probably J. hole but no hike in september. <br />They are all wanna be hawks who talk the talk but can't walk the walk for whatever reason cowardness, politics...Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-25334607462090692112016-08-25T16:29:12.740+01:002016-08-25T16:29:12.740+01:00@left,
Although I would like to see Fed raising r...@left,<br /><br />Although I would like to see Fed raising rates, two reasons are powerful enough for Janet to not considering it now: 1) She wants to help Hilary become the next president, given that Dem helped her become the chairwoman and Trump wants to fire her; 2) other major countries were in full easing modes.<br /><br />Everything is possible of course. But I believe that these two factors outweighed economic data at least for this year.<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-86924180980853740292016-08-25T15:23:18.778+01:002016-08-25T15:23:18.778+01:00@left - allow me to be the voice for the silent ma...@left - allow me to be the voice for the silent majority - on 'what more could janet &co possibly want to see?' the answer is bloody nothing - this is their worst possible scenario, where they are running out of excuses - but the weight of historical evidence overwhelmingly favors a scenario where Yellen whips out a thesaurus to look for words similar to 'patient', 'gradual', and 'eventually'. <br />As for the steeper curve, that's tantamount to saying the bond bull market is over - I refer you to the wasabi laced discussion on the subject on this very board yesterday.washedupnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-84369027152135766332016-08-25T14:29:19.675+01:002016-08-25T14:29:19.675+01:00Durable goods orders strong, initial claims low. W...Durable goods orders strong, initial claims low. What more could Janet & co possibly want to see? Esther George is pointing out once again that this might be, you know, a good time to get one in….. but of course Esther made her mind up a long time ago.<br /><br />We suspect that Lael Brainard might be an important voice in Dame Janet's ear, perhaps joining Fischer and Dudley in Yellen's informal kitchen Cabinet (to revive a very old phrase from British politics). Come on, Janet, for Heaven's sake, show those claws, and remember that the US banks you serve would welcome both a steeper curve (hawkish Fed and stronger macro) - as well as a step away from the madness that is NIRP, which threatens to engulf their European brethren.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-12228246693688791422016-08-25T14:15:52.116+01:002016-08-25T14:15:52.116+01:00LB, you mean, 'with sums reaching $60 for each...LB, you mean, '<a href="http://www.bloomberg.com/news/articles/2016-08-23/using-chinese-money-a-hedge-fund-startup-bets-big-in-treasuries" rel="nofollow">with sums reaching $60 for each dollar of invested capital in some cases</a>'? (Just an arb fund for treasury futures, nothing to see here. But a fun pullquote.)wcwhttps://www.blogger.com/profile/16307608293310560164noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-31599492992558366402016-08-25T13:28:27.653+01:002016-08-25T13:28:27.653+01:00Speaking of vol, another instrument that hasn'...Speaking of vol, another instrument that hasn't moved much lately is the yen. We are watching USDJPY very carefully as it teeters on the top of a shelf at 100, where it has been becalmed for some time. Although some believe that this is a level that is defended by the BoJ, there are no obvious data to support this. While we are generally dollar positive, we don't want to take a position in USDJPY until there is some movement, as there is a significant chance that ¥ can strengthen to 95.<br /><br />One of the most bearish developments here would be a sizable rally in ¥, and that might indeed be one of the most significant consequences of a lack of backbone by the Fed in the days and weeks ahead. Given that a great deal of the yield seeking that has gone on this year has been by Japanese investors looking for yield in US assets, even a modestly stronger yen can lead to substantial volatility. This was the case in the market downdrafts last August and in the winter.<br /><br />As MM points out above, very quiet markets have historically led to people doing silly things with leverage in order to generate alpha. One never knows quite how much leverage is employed until after the fact, when there are conversations like this: "you were doing what? with HOW MUCH leverage?". Mr Corzine and others will be familiar with this scenario.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-15601739235848306372016-08-25T12:52:31.805+01:002016-08-25T12:52:31.805+01:00Interesting that the topic is low equity volumes.....Interesting that the topic is low equity volumes....<br /><br />http://wolfstreet.com/<br /><br />World Trade Falls for Second Quarter in a Row...<br /><br /><br />....It certainly appears we need more NIRP!Bruce in Tennesseenoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-20746845618516357462016-08-25T11:55:42.639+01:002016-08-25T11:55:42.639+01:00@checkmate: aren't you fighting windmills here...@checkmate: aren't you fighting windmills here?<br /><br />My bad for bringing JP into the mix - they just picked up on public news and I happened to read it first in their email.<br /><br />Here is a press source: http://www.reuters.com/article/us-italy-vote-renzi-idUSKCN10W0SC<br /><br />One has to differentiate between Renzi as PM and new parliamentary elections.<br /><br /><br /><br /><br /><br />EuropeanBullnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-71363041731408326372016-08-25T11:16:50.584+01:002016-08-25T11:16:50.584+01:00So according to JP Renzi if he loses his referendu...So according to JP Renzi if he loses his referendum won't be obliged to fall on his sword ? Then I guess they thought the same about Cameron? Perhaps we would all profit from not listening to opinion loosely wrapped up has fact because the point of origin is supposed to be respected for it's analytical insight. As we know, opinion , everybodys got one.checkmatehttps://www.blogger.com/profile/03688082792316894545noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-12664062050609622842016-08-25T11:02:05.798+01:002016-08-25T11:02:05.798+01:00uh oh it looks like puppy Renzi got a little told ...uh oh it looks like puppy Renzi got a little told off by Angela and Francois over the week endNicohttps://www.blogger.com/profile/06532015745155347229noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-13025573537737668342016-08-25T10:23:58.558+01:002016-08-25T10:23:58.558+01:00might that intro be out of date?
JP has been writ...might that intro be out of date?<br /><br />JP has been writing the following this monday:<br /><br />"This weekend, PM Renzi took new steps to draw a neat line between the content of the reform subject to the referendum and an evaluation of his leadership. He explicitly said that elections would not happen before the natural end of the term (2018) no matter what is the outcome of the referendum. In our view, this was mainly a further attempt to reduce the degree of conflict in the electorate, under the basic premise that within the electors who do not support Renzi there is a fair share of those who would still agree with the constitutional reform. <br />But we also think that Renzi’s statements reduce, at the margin, the risks connected to a negative referendum outcome. While it is still well possible that Renzi will resign under that scenario, it is now more likely that he would be willing to remain at the head of the government provided that the President of the Republic were to refuse his resignation and his current majority were still in place. This reinforces our belief that a sharp discontinuity in Italian politics could be avoided even in the most adverse scenario, and it further suggests that it would not be strictly necessary to rely on a caretaker government supported by a new majority (which in itself would require time and heighten uncertainty). Of course, a continued Renzi premiership under these conditions would be challenging, but at least there would still be time for the system to stabilise rather than entering a stage of renewed instability." <br />EuropeanBullnoreply@blogger.com