tag:blogger.com,1999:blog-34323687.post8622409532586804591..comments2024-03-28T12:22:11.704+00:00Comments on Macro Man: Mr. Bond, they have a saying in ChicagoMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger24125tag:blogger.com,1999:blog-34323687.post-67038631403029403932016-09-08T05:37:24.339+01:002016-09-08T05:37:24.339+01:00Hey Johno - Remember, i'm really long NZD here...Hey Johno - Remember, i'm really long NZD here as well. For now, I'm pretty much flat (-0.11%) on spooz vs +1.2% for NZD, and I actually feel like I'm freerolling here in the face of "everything is great" narrative potentially turning here as we get closer to the Fed meeting. <br /><br />On the flipside, do you see US equities breaking out before Sept 21? If you were to handicap it, wouldnt you say the odds of a brief "scare" in risk higher in both pre/post sept 21 decision?<br /><br />I'm also not that involved at the moment - with roughly 60% of capital is sitting as cash waiting for a better trading climate.<br /><br />One other position I do have at the moment is a small rental in ishares EM local bond ETF - again highlighting my belief that September is a no-go. BUt thats about it.. just three positions, not too crazy. <br /><br />Like many, I'm building singles/doubles here and there into a thick enough of a cushion to go full retard short one day... and like many, i'm also still waiting...lol <br /><br />However a year like 2015, i'm not looking to score (let alone hope) +20% return. I'm pretty happy w/ 6-7.Fired Macro PMnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-18940652948832864102016-09-08T03:17:11.808+01:002016-09-08T03:17:11.808+01:00A bit skeptical of FMPM's short ES trade. Besi...A bit skeptical of FMPM's short ES trade. Besides my usual reasons for avoiding US market shorts, I also avoid getting involved in consolidating markets. That said, today's Kolanovic piece was interesting:<br /><br />"As market volatility plummeted, investors added to option protection and moved (struck) it closer to current price level. The market would need to move only 1-2% lower for option hedging to push volatility higher (as opposed to suppressing it, which was the case past 2 months). Given the low levels of volatility, leverage in systematic strategies such as Volatility Targeting and Risk Parity is now near all- time highs. The same is true for CTA funds who run near-record levels of equity exposure.... Record leverage in these strategies and option hedging could push the market lower and volatility higher, if there is an initial catalyst to increase volatility. In fact, we may not even need a specific catalyst, apart from the seasonal increase in market<br />volatility which is typical for September and October. Figure 2 below shows that equity volatility tends to increase by ~20-30% in September and October (September also tends to be the worst performing month, with an average -1% return). This<br />seasonality is also present after removing prominent outliers (e.g. 2001, 2008, 2011, and 2015). When it comes to deleveraging of systematic strategies, even this seasonal increase in realized volatility would produce outflows of ~$100bn, which could push<br />the market lower.... The low exposure of long-short hedge funds, and the fact that equity momentum would only turn fully negative below ~2000 on the S&P 500, are the only two positives we see for the market going into September."<br /><br />johnonoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-54560234217643531902016-09-07T23:47:14.429+01:002016-09-07T23:47:14.429+01:00I vote "this time is different," for now...I vote "this time is different," for now ...<br />I'm guessing most everyone on this board, aside from 12yoHFM, disagrees with me.<br />JP's Cembalest had some nice charts in a piece yesterday: Growth is turning up. EM reliance on foreign capital near cycle lows of the past 40 years (according to chart provided by Bridgewater). EM export growth stabilizing. Policy rates of capital-dependent EM central banks are very high and those countries have sizable output gaps which should bring down inflation. Separately, real rate spreads to DM are fairly high, looking back the past decade or so.<br /><br />Chinese H shares (via options). PPI deflation ending this year. Apparently government is also loosening policy for the second time this year, or so GS surmises from Li's recent remarks and inspectors being sent to harass local governments to complete projects.<br /><br />Anyway, following Nico's helpful remark yesterday that I had to have been buying Brazil in January (I was buying EMC stock with both hands, instead), I'll go back to working on my time machine ...<br /><br />johnonoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-33747653485096355012016-09-07T22:52:12.339+01:002016-09-07T22:52:12.339+01:00Whilst on the subject of bonds, I'm interested...Whilst on the subject of bonds, I'm interested in views on whether EM debt is simply overbought and will be crushed as and when US rates start to rise. Or whether the "shallow trajectory" of any such rises and the continuation of yield hunting will combine to mean that it is different this time..?Celeriac1972noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-74053889972493916132016-09-07T19:34:55.739+01:002016-09-07T19:34:55.739+01:00Yes, Virginia, there is a correlation between the ...Yes, Virginia, there is a correlation between the action of the ECB and the German DAX.<br /><br />https://twitter.com/Schuldensuehner/status/773551311874818048<br /><br />Yes, I know MM disagrees, Virginia. I don't know what to say about that.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-29583208523102724122016-09-07T19:32:54.848+01:002016-09-07T19:32:54.848+01:00A quick question: if I want to bet that ECB under-...A quick question: if I want to bet that ECB under-delivers tomorrow and EU bond yields would rise, what is the best vehicle on the US market?<br /><br />ThanksAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-18634223148740637882016-09-07T19:27:16.069+01:002016-09-07T19:27:16.069+01:00MC Hammock.
Don't touch this (oh-oh oh oh oh...MC Hammock. <br /><br />Don't touch this (oh-oh oh oh oh-oh-oh)<br />Don't touch this (oh-oh oh oh oh-oh-oh)<br /><br />Tomorrow is Hammer Time.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-5026556478249865442016-09-07T19:07:47.425+01:002016-09-07T19:07:47.425+01:00Hammock Time.Hammock Time.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-5746766826830339092016-09-07T18:46:30.190+01:002016-09-07T18:46:30.190+01:00Carney is like a music hall clairvoyant.
"I ...Carney is like a music hall clairvoyant. <br />"I m getting a signal...mmmm... Is there .. is there .. a Dave in the house? There is? " brilliant .. "and has someone in your family, Dave, passed away over the past 70 years? they have?" genius .. "They are sending you a message Dave, Worship my brillance and tip me an extra fiver"Polemichttps://www.blogger.com/profile/05985506596290073453noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-29808358681647670972016-09-07T17:56:57.132+01:002016-09-07T17:56:57.132+01:00http://jlfmi.tumblr.com/post/150047086470/stocks-t...http://jlfmi.tumblr.com/post/150047086470/stocks-trading-range-now-beyond-compare<br /><br />"About 2 months ago, the large cap U.S. stock indices finally managed to break out to new highs following more than a year of trying. After several days of follow through, the averages settled into a trading range. This was not an unexpected development, nor an unhealthy one. However, it would develop into an unusually tight trading range. And after a couple weeks, we began to publish some charts and posts detailing just how historically narrow the trading range had been. Well, we had hoped that each of the posts would be the last in reference to the range. However, we could not envision that some 30 days out, the averages would still be constrained to essentially the same tight range. Therefore, we make no apologies for (hopefully) just one more look at this historic range.<br /><br />In today’s Chart Of The Day, we note that, unbelievably, the high to low range in the Dow Jones Industrial Average (DJIA) over the past 40 days is a mere 2.27%. For context, that is the tightest 40-day range in at least the last 100 years. And in fact, the next tightest range – at 2.53%, occurring from December 1922 to February 1923 – is not really even close. "<br /><br />Check out SnP trading ranges (esp intraday lows) post 6/27- Tight AF. <br /><br />CBs clearly saying they will accommodate + unconventional measures and all we get is what BTFDers call "consolidation" for what shorts call "exhaustion." <br /><br /><br /><br /><br /><br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-7040241730685294512016-09-07T17:54:56.802+01:002016-09-07T17:54:56.802+01:00Carney what can you say about his approach? His po...Carney what can you say about his approach? His policy action made somethingelse much less likely to occur etc etc. The real problem I have with this kind of justification for action is obvious. How in heavens name can you ever know you have prevented something from happening IF it never happened? God I wish I could have got away with that in business over the years. Listen up, I've cured my neighbour of cancer. I know because he's not got it yet. Pay me.<br /><br />checkmatehttps://www.blogger.com/profile/03688082792316894545noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-9420287665063303852016-09-07T16:45:25.698+01:002016-09-07T16:45:25.698+01:00@12yo HFM
most hated rally huh? you are kidding m...@12yo HFM<br /><br />most hated rally huh? you are kidding me son.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-82523872394810513572016-09-07T16:14:12.018+01:002016-09-07T16:14:12.018+01:00This commentator with -EURGBP got stopped this mor...This commentator with -EURGBP got stopped this morning. The more extended the move (this one had been 16 days running), the tighter the stop I use. Still see heavily short-GBP positioning (at least, looking a COT). I do wonder whether there's a trade in shorting gilts, perhaps against long treasuries. On some measures, gilts are expensive vs treasuries, supply will turn positive in Oct and Nov, and gilt yields/curve shape bottomed at a similar point after prior QE commencements (bumming this analysis off JPM, who just see gilts range trading from here, but seems an interesting setup to me). My thoughts on the intermediate and longer end (and probably everything, for that matter) are always too facile, so I'd be happy for anyone to educate me on why -G Z6 vs +TYZ6 is poison.<br />johnonoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-86826986447648530532016-09-07T16:09:02.041+01:002016-09-07T16:09:02.041+01:00Anon 4:03pm €5bn 10y offered got only €3.95bn bids...Anon 4:03pm €5bn 10y offered got only €3.95bn bids <br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-62957190506655556652016-09-07T16:03:27.766+01:002016-09-07T16:03:27.766+01:00Germany sold €3.5bn 10y paper at record low yields...Germany sold €3.5bn 10y paper at record low yields of -0.11%. Made about€38.5m profit. Magic.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-72058088544684269272016-09-07T13:57:49.940+01:002016-09-07T13:57:49.940+01:00Speaking of patterns, VW on the weekly chart. Dai...Speaking of patterns, VW on the weekly chart. Daimler(different pattern) also. Will wait for the Breakout. Skrnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-82014172317557465432016-09-07T13:56:28.562+01:002016-09-07T13:56:28.562+01:00I guess will all remember how a privately held com...I guess will all remember how a privately held company, Theranos, developed a blood-testing device named Edison and raised $400 million from investors, valuing the company at $9 billion.<br />Vanity Fair just did a piece on Elizabeth Holmes' Theranos Hoax and blamed it all on "white men". Remarkable<br /><br />http://www.vanityfair.com/news/2016/09/elizabeth-holmes-theranos-exclusiveAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-38119309190966315302016-09-07T13:28:54.273+01:002016-09-07T13:28:54.273+01:00Checkmate, Pol, Fired etc are all correct. To quot...Checkmate, Pol, Fired etc are all correct. To quote Pol, "the easiest trade of the past few years has been to fade emotion".<br /><br />On this basis, I am still long equities, with a target of "infinity & beyond" (h/t Mr Lightyear). In my entire 12month professional career, I have never seen an asset class more hated by traders, and yet more supported by Central Banks. To put it another way, "stocks are lit!"<br /><br />I look forward to hearing Draghi tell us tomorrow that the ECB will buy equities directly with a view to increasing my P&L. Peace.12yo HFMnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-65226753774817729522016-09-07T11:05:22.227+01:002016-09-07T11:05:22.227+01:00I've been an advocate of nzdusd and audusd lon...I've been an advocate of nzdusd and audusd longs for weeks if not months as an anon here. <br />The 0,76/0,7750 zone should proove a very important one but we're not quite there yet.<br /><br />One or two weeks ago I said pound could be heading towards 1.36 based on the pattern post brexit, seems on it's way (1.3550/1.37 for a zone). <br /><br />I would expect decent dollar strenght when/if those price levels are reached.Special FXnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-45427695705719823972016-09-07T11:00:03.126+01:002016-09-07T11:00:03.126+01:00Checkmate - I concur 99%. The remaining 1% being t...Checkmate - I concur 99%. The remaining 1% being that I would actually get short right around here. Technically, decent risk/reward with 1.35 as your stop and fade the whatever good news momentum it expects off of industrial production number. My belief is that Carney will be more gloomy than he is optimistic. I also think that all these one off positive data points so far have been essentially cycled through the market... now either an abrupt drop off in data or slow bleed lies ahead.<br /><br />Again, should I be wrong, given the technicals, its easy to know where you stand on the trade and one can exit with a minor scar.Fired Macro PMnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-66462438581647162052016-09-07T10:01:22.145+01:002016-09-07T10:01:22.145+01:00Pol,
that is never more true than in FX because th...Pol,<br />that is never more true than in FX because the leverage amplifies sentiment over fundamentals.<br />I suspect the longer run fundamental economic impact of Brexit is virtually zero ,but that means currency repositioning is just poor interpretation of data and the effect mentioned in para 1.<br />Looking back over the decades experience tells you don't position for continuance on an event that the market has been given time to anticipate. Probability is you're just another latecomer to used for covering.checkmatehttps://www.blogger.com/profile/03688082792316894545noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-44119196256003113822016-09-07T08:59:02.491+01:002016-09-07T08:59:02.491+01:00agree with you checkmate in as much that the easie...agree with you checkmate in as much that the easiest trade of the past few years has been to fade emotion. Polemichttps://www.blogger.com/profile/05985506596290073453noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-83660037422036803402016-09-07T08:57:03.307+01:002016-09-07T08:57:03.307+01:00As what was a pretty lonely voice suggesting £ was...As what was a pretty lonely voice suggesting £ was overcrowded and buy rather than a sell back below 1.30 I would say right now don't get too excited about £ and it's fortunes. Just has the hedgies got over positioned about the UK's poor prospects so it's likely that people are misunderstanding the economic 'good' news. I mean come along now let's try to apply some of our business commonsense to what we are seeing. We're the director of our British business and way back at the start of the year we get told about a referendum. We back boiler what we can and wait for some clarification on the outcome. However, regardless of outcome we know life and business goes on so after the event we revisit our statis decisions and pull the trigger on what we are still comfortable with. This is like opening a dam sluice because aggregated business that's been deferred is suddenly now out there all at once. However, the flow is pretty much a one off effect and with each week that goes by it will ease back. That means pretty soon the people who misunderstood this effect and took it to be an all clear business as usual for the Uk are going to be as wong as the guys who got overpositioned expecting instant Armageddon. One would think that commonsense tells you that the UK's economic position post referendum is going to be muddy for quite some time. We've seen some cover buying and likely we can see more ,BUT this is very much trade ,take the money and run for £ long. I still wouldn't want to be short the £ ,but I'd want a reality check correction has part of a longer run basing action to be repositioned long. With mu investor hat on I wouldn't have been long £ here I'd have been waiting for the basing action to confirm itself.checkmatehttps://www.blogger.com/profile/03688082792316894545noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-37542645706985426832016-09-07T08:40:54.508+01:002016-09-07T08:40:54.508+01:00Mr Macro Man, they have a saying at Royal Randwick...Mr Macro Man, they have a saying at Royal Randwick"..." the B grass is for kids, the A grass is for the wannabes, and the course proper before sunlight is for those with clocks in their heads" <br /><br />amplitudeinthehousenoreply@blogger.com