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Implied Correlation Breaking Out
Could it be that after several months, the "sophisticated" investors are betting on a high-correlated event? One thing to keep in mind as one follows the meanderings of the VIX.
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Maybe I'm just new in town but can you spell out what a "high correlated event" is please?
http://seekingalpha.com/article/156083-statistical-and-implied-correlati...
I think a premium on the index options makes sense since recent history proved you to be a fool if shorting single names. Lending desks have been having a lot of fun with that.
So short index or short AIG, FNM, C hmmmmm . While neither is optimal I will take a short squeeze in SPX over one of the above mentioned stocks.
I think a premium on the index options makes sense since recent history proved you to be a fool if shorting single names. Lending desks have been having a lot of fun with that.
So short index or short AIG, FNM, C hmmmmm . While neither is optimal I will take a short squeeze in SPX over one of the above mentioned stocks.
Per:
http://seekingalpha.com/instablog/216469-romeo-fayette/22759-fed-balance...
"Aug 14, 2009
Foreign holdings of US Securities decreased for the first time in 5 months by $299 million sequentially (weekly) to $2,809.9 billion from $2,810.2 billion in the prior month. Keep in mind in the same time period the Fed purchased over $16.6 billion of Treasuries, indicating that in the last week the Fed was the only purchaser of Treasuries.
Implied Correlation is higher than it was post Lehman, but VIX is relatively normal. This kind of spread with the VIX could only mean that the big money has forgone single name protection for whole Index protection,pushing Implied Correlation to market crash heights right now"
OT: Since we own 80% of AIG, how about a Proxy effort to oust that arrogant SOB Benmosche
Seriously who is that guy? It's like they walked up to the most sh*tfaced loudmouth in some bar and said congratulations you are now CEO of AIG!
Thats not how it normally works?
Now that's funny!
S&P is positive again. S'all sunshine and lollipops from where I'm standing. I'm going to go buy a house.
You'll need a car, new appliances, and some health care to go along with that. Put it on your credit card.
Does anyone else get the feeling this is a POMO day?? DXY getting crushed again, SPX turning positive. WTF is going on..........
We're in bizarro-world. If you know what you are doing, you're getting killed or just waiting. Fucking brutal.
I think equal than you
Citigroup says the same consumers that are either jobless or hanging on for their dear lives have tons of pent up demand and cannot wait to start spending again. Natch
You can't make this shite up. Wait, yes you can.
http://www.bloomberg.com/apps/news?pid=20601109&sid=aFKj.8C.uteo
the ridiculous drop in DXY just now would have needed 500mm-1 bl USD to sell, prob the lower end due to thinned summer trading.
there is no profit minded trader on earth who would ever trade like this. and only BD's who have just been handed a whole bunch of dollars would sell en masse knowing that all the other BD's were going to sell at the same time.
idiots on CNBC fiddle the SPX while DXY burns. we do NOT want a currency crisis.
Isn't it obvious. The game is rigged.
Isn't it obvious. The game is rigged.
Hello everybody. I'm the guy who runs the rally Sparc machines. I apologize, but I was late for work this morning, which may have sent you a false signal that this bloated, pig of a market was going to crash today, and subsequently cost you money.
Anyway, the machines are back on now, and we're back on track for another $100 million dollar day trading Fannie, Freddie, AIG, and fucking your pension fund stocks.
You're an asshole!
I will never understand this market
Don't even try. No matter how cynical you get, you'll never keep up.
There is no understanding insanity. How do you understand illogical positions taken by supposedly logical people? This points to one thing. Inside knowledge or unlimited funds with no fear of losses.
You're being unfair to the insane. We had a paranoid schizophrenic living in the neighborhood, and there was a very consistent pattern to his delusions. I've yet to find the pattern for this market.
Dollar PLUNGING.
Prechter buying at 78.10...let's see if it holds.
Prechter. heh, heh, heh.
I sadly report that Bobby just lost another thick wad trying to defend the dollar. Unfortunately, this is what you get when you go against a printing press.
Yup, somebody dumped $$ big. WHO? About the time the auction finished.
Any hedge funds still doing dispersion trades? This may be a gigantic unwind.
TD, Do you think there is any correlation (no pun intended) between ICJ (a measure of intrinsic vs. index option vol) with the skew in CDX or ITRAX (the measure of intrinsic default protection spreads vs index default protection spreads). Not sure if this is your bailywick, but figured I'd ask.
As Bob Rodriguez of First Pacific Advisors, has said, "It's all one trade."
On one side of the trade are oil, industrial metals, global equities and corporate bonds (both investment grade and junk). On the other side of the trade are the U.S. dollar and treasury bonds.
Would be interesting to have an index for the weighted average individual vol levels to complete the picture.
actually that article in seeking alpha:http://seekingalpha.com/article/156083-statistical-and-implied-correlati...)proves what I have been thinking and even posted it here. Which is that this is goverment money that is pouring in the market and it makes perfect sense that the fed has demanded from the likes of gs jpm and other market makers that they bring everything up. No fundementals or technicals to be taken into concideration;attack each and every short and rotate the subindexes every once in a while. Shorts are allowed only by permission,so you would have to be a part of a hedgeis with good relation with big guys. As for the rest,all to be up,the good the bad and the ugly. It does make sense,since it is tax dollars,it has to be distributed to all. exactly like the old USSR with a caviat. The distributers get to take profit in the process and make it look like they are geniuses who know where the gems are.
only problem is, if that is what they want, that is what they will get. we can be right all day, but what good would it do? As Mohamad El-Arian said so very well, the referee now also has on a players jersey. Moral? Don't fight the Fed....