Buy RISK, Short ES

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Wed, 07/13/2011 - 11:06 | 1451806 lettuce
lettuce's picture

short ES while bernank acknowledges, live, that US tax policy relies on a perpetual pyramid-shaped demographic?? yikes.

Wed, 07/13/2011 - 11:07 | 1451814 equity_momo
equity_momo's picture

Or just buy gold and short es and check it a few times a year.   5 bagger by 2015.

Wed, 07/13/2011 - 11:10 | 1451826 euphoria
euphoria's picture

What is ES? sorry for possibly silly question

Wed, 07/13/2011 - 11:12 | 1451844 ZeroPower
ZeroPower's picture

spx futs

Wed, 07/13/2011 - 11:31 | 1451969 Mactheknife
Mactheknife's picture


Wed, 07/13/2011 - 12:10 | 1452270 Re-Discovery
Re-Discovery's picture

If you're going to do that then grow a pair . . . ZSL

Wed, 07/13/2011 - 11:11 | 1451841 ZeroPower
ZeroPower's picture

Silver such an 'lol trade' today.

Wed, 07/13/2011 - 11:13 | 1451847 proptrader
proptrader's picture


Wed, 07/13/2011 - 11:12 | 1451849 proptrader
proptrader's picture

ES is the S&P mini future contract (we're you serious?!)

Tyler: What is the "Risk Basket" composed of?

Thanks from Ireland!

Wed, 07/13/2011 - 11:14 | 1451864 lettuce
lettuce's picture

risk basket composed 100% of US treasurys (jk)

Wed, 07/13/2011 - 11:53 | 1452133 French Frog
French Frog's picture


Wed, 07/13/2011 - 11:14 | 1451862 Booky28
Booky28's picture

I second this.  What exactly is "risk?"

Wed, 07/13/2011 - 11:16 | 1451875 ZeroPower
ZeroPower's picture

To both above, do a search its brought up here at least once a week

Long some FX (EUR, and believe it was AUD against JPY), rates (and rates butterfly), comms.

Wed, 07/13/2011 - 11:20 | 1451890 Booky28
Booky28's picture

I see risk brought up here all the time, but I am not sure I have ever seen what it is composed of.  I tried to perform a search, but I got very little.  Any article in particular?


Wed, 07/13/2011 - 11:22 | 1451904 What does it al...
What does it all mean's picture

Risk basket is not defined.  Please show the bberg formula and/or custom index.  I am not sure this is tradeable.

Wed, 07/13/2011 - 11:33 | 1451982 ZeroPower
ZeroPower's picture

User defined, so basically:

EURUSD Curncy. AUDJPY Curncy. USGG10YR .T21030 U Index.  CL1 Comdty. GOLDS Comdty

(from bbg so not the clearest)

Butterfly is respectively overweight/underweight 10s -2s -30s.

Wed, 07/13/2011 - 12:06 | 1452229 What does it al...
What does it all mean's picture

If I am not mistaken, this needs to be centered at some past date, (zero it and sync with the Emini, currently ESU1 INDEX.) and thus 

1.  It depends on zero date.

2.  It depends on future rolls, (ES, on the run 10 year, CL, Gold.)

Thank you for the ingredients, but the exact mix is still not known.  (one step in the right directions.)


On a tangential point, I was watch the Ben testimony... if only I can buy "National debt" as a instrument, Nominalized or Real terms, that thing is a straight line, baby.

I know, I know, ZH wants me to believe that Gold is a good enough proxy, but it isn't...

(My point is that it is still not tradeable, not exactly.)

Wed, 07/13/2011 - 12:22 | 1452347 ZeroPower
ZeroPower's picture

Just map it to the prev SPX close (if needed, bloomberg reps are helpful). No need to worry about which month fut to take.

For GOLDS true value in risk basket, you can easily take (SPX/GOLDS) which gives you , ~0.85. Do that for the others. Hope this helps.

Wed, 07/13/2011 - 16:28 | 1453436 What does it al...
What does it all mean's picture

Well...  Assuming that we are all talking about an equal weighted portfolio... 


This index still needs to know what that starting weight is.  I get it that it is a mix of FX, Comdty, and Yield instruments.  Still don't think it is tradeable... because the slipperage of the bid/ask make it un-profitable.  And the rolling re-sync dates makes it impractical to compare on a daily basis.




Wed, 07/13/2011 - 12:30 | 1452392 scatterbrains
scatterbrains's picture

Tyler how about a "zerohedge" histogram.. like a $vix that can be traded.. traunch it out with some double and triple indexes.. options etc.. call it the /ZH

Wed, 07/13/2011 - 16:32 | 1453448 What does it al...
What does it all mean's picture

Even something like TVIX are supposed to re-index or converge at the EOD to the VIX... Still not sure how this can be traded.  It needs to be carefully defined.

Wed, 07/13/2011 - 12:13 | 1452288 Booky28
Booky28's picture

Is there a ticker for this risk basket or do I have to execute each trade independently (Short ES, Long: CL, GC, AUD.JPY, EUR.USD)

Wed, 07/13/2011 - 11:14 | 1451866 dvsteenk
dvsteenk's picture

still amazed at how "they" can push stocks up with their fake bidding and ping-pong order executions

but tomorrow heavy down again

Wed, 07/13/2011 - 11:17 | 1451880 proptrader
proptrader's picture

I dunno dvsteenk- Bernanke has set the tone now.. looks like the giant triangle

on the S&P is the dominant pattern. Add to that Silver going to $43 or so over

the next couple of weeks, CL1 prob back to $105 after A-B-C correciton and

Eurodollar finished A-B-C also there at the low. Moreover, Corn breaking out, AUD and NZD

perofmring well, JPY near the lows, KRE outperoforming XLf... the list goes

on.. target 1435 on thte S&P i think from here..


Wed, 07/13/2011 - 11:59 | 1452171 foxman
foxman's picture

BB has set the tone for future action.  If you believed, as I do, that further QE was coming anyway, this changes nothing.  All it has done is goose the markets today and maybe for a bit.  Since official FEDspeak says everything is either a soft patch or transitory, there is still no impetus for FED action now.  If the markets correct into the Sept.-Oct period and that which is now transitory turns out to be, well, not so transitory after all, then there will likely be some FED action.  Until then it is just talk...and now back to your regularly scheduled Europe, China, Debt Ceiling, etc.

Wed, 07/13/2011 - 11:22 | 1451903 Cognitive Dissonance
Cognitive Dissonance's picture

Let's party.

Wed, 07/13/2011 - 11:27 | 1451939 Franken_Stein
Franken_Stein's picture


LOL ! :-)


Wed, 07/13/2011 - 11:25 | 1451922 JJSF
JJSF's picture

Of what is this risk basket composed?

Wed, 07/13/2011 - 11:34 | 1451990 ZeroPower
ZeroPower's picture

look above

Wed, 07/13/2011 - 11:27 | 1451938 dcb
dcb's picture

I watch udn and treasuries. we aren't at the bottom fo the udn down trend channel, but at this rate we will be there by end of day.

Wed, 07/13/2011 - 11:28 | 1451950 ubrama
ubrama's picture

Is there a way to get current .esbasket from a free source?

Wed, 07/13/2011 - 11:59 | 1452175 dcb
dcb's picture

the risk basket doesn't close till the end of day, not worth doing before 3 or so. todays action is silly. what too the euro three days has happened in one. what I don't like is both the daily macd histogram on tlt and the s and P are saying short the s and P, while the treasury is sayng buy treasuries on dips?


don't ask me.

Wed, 07/13/2011 - 12:09 | 1452260 nscholten
nscholten's picture

Short my ass.  With additional printing we are going to 1450 on the S&P.  Gold $1800 by September.

Wed, 07/13/2011 - 12:10 | 1452272 nscholten
nscholten's picture

We have already got a mini real estate bubble on the west side of Phoenix with multiple offers and mores sales in June then ever!

Wed, 07/13/2011 - 12:14 | 1452300 moneymaker
moneymaker's picture

How do you even buy this risk basket?

Wed, 07/13/2011 - 12:16 | 1452312 ZeroPower
ZeroPower's picture

You can use SLV as a proxy.

Wed, 07/13/2011 - 12:21 | 1452343 moneymaker
moneymaker's picture

So short SPY and long SLV?

Wed, 07/13/2011 - 12:17 | 1452314 tempo
tempo's picture

In the capital allocation pricing model, the interest rate on US/German debt is a risk free rate of return and all other risk investments are priced off that level. Now that we have under pricing of interest rates and risk in US Treasuries, investment managers are flying blind.

Wed, 07/13/2011 - 12:26 | 1452373 LRC Fan
LRC Fan's picture

How about SPY puts and USO calls?  Both trade weekly so you can simply buy near or in the money options on both. 

Wed, 07/13/2011 - 12:26 | 1452376 hungarianboy
hungarianboy's picture

I wanna do this in my IB account. Anybody know how to do that?

Thanks in advance.

Wed, 07/13/2011 - 12:37 | 1452433 bam_son
bam_son's picture

Yo Capital Context! Post your weightings with your posts! I understand that you guys are rebalancing to fit your "intuitive sense" but there is no way to fact check these trades without very time consuming reverse engineering.  If we have baseline weightings then we can tweek for ourselves.


Much respect

Wed, 07/13/2011 - 13:23 | 1452636 economists_do_i...
economists_do_it_with_models's picture

Instead of complaining about how the 'risk' indicator is formulated and then traded, I just traded the logical SPY puts and Forex pairs.  Having a nice day thanks to ZH.  This 'risk divergence' trade is one of the strongest signals out there.  Thank you for sharing...  Keep up the good work.

I would like to see the S&P 500 touch the 200MA to create a nice buying opportunity.  Until then, I'll be looking to go short on each upward move (like today).

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