Buy RISK, Short ES

Tyler Durden's picture

Major, major divergence as the robots once again are drunk on positron juice.

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lettuce's picture

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

equity_momo's picture

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

euphoria's picture

What is ES? sorry for possibly silly question

ZeroPower's picture

Silver such an 'lol trade' today.

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!

lettuce's picture

risk basket composed 100% of US treasurys (jk)

Booky28's picture

I second this.  What exactly is "risk?"

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.

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?


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.

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.

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.)

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.

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.




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

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.

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)

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

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..


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.

JJSF's picture

Of what is this risk basket composed?

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.

ubrama's picture

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

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.

nscholten's picture

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

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!

moneymaker's picture

How do you even buy this risk basket?

ZeroPower's picture

You can use SLV as a proxy.

moneymaker's picture

So short SPY and long SLV?

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.

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. 

hungarianboy's picture

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

Thanks in advance.

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

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).