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Launching CDS Heatmaps
Equity heat maps are a dime a dozen. And for all intents and purposes, worthless, so long as only algo-sutffed computers (and ScottTrade retail analysts) are the driving marginal purchasers. As Zero Hedge has long contended the real action is and increasingly will be in credit (we will be shortly expanding on this conviction), especially once the "even bigger one" happens, and all those who have gotten burned trading equities under the wise advice of Jim Cramer or Goldman Sachs for the nth time, finally decide that methadone is better than an nth+1 recurrence.
Zero Hedge is starting a presentation of credit heatmaps, specifically CDS: easily the most liquid product in the market currently (unfortunately still not for retail consumption but give it 12 months...)
Our first such heatmap just so happens to coincide with a month in which it may as well be called a redmap. We hope to make this a daily feature on Zero Hedge (the heatmap, not the bloodbath).
Legend: each block consists of 4 distinct sublocks, which represent the activity of the 10,7,5 and 3 year maturities, starting in the top left and going clockwise. The size of any given block is in proportion to that particular name's weighted beta. Also, don't forget: red blue is tighter, blue red is wider [apologies for the confusion: as many readers corrected, blue is indeed tighter and vice versa].
North American Index Heatmap (Month to Date Change)
North American Index Heatmap (Daily Change)
And a simpler representation: all 5 year on the runs in IG and ITRAXX, once again sorted by beta weighted bucket (this can alternatively be presented even simpler on an equal weighted basis: happy to consider reader feedback on this).
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just.fucking.awesome
ROFLMFAO!
tyler you rock.
thanks
Next up: a Friday PacMan game where the biscuits represent banks. Not sure who the ghosts are. Zombie banks, maybe.
ghosts are Geithner, Summers, Greenspan, and Bernanke...as they are obviously trying to stop PacMan (FDIC) from taking over any banks declaring their insolvency
pacman will no longer chase cherries and other fruit but various "green shoots" all over the board
tyler - this map should be permalinked on the homepage
just.awesome.fucking
awesome.just.fucking
fucking.just.awesome
what Fritz said plus one.
"MARK IT ZERO, DUDE"
Is that an overheating MacPro Motherboard ? INcredible graphics
How about a bit of the basics on this for those of us who are "financial language challenged?"
And box on the lower left corner of "daily change" map is missing its title (it has tickers JCI, VNO, DTV in it.)
Thanks.
i suppose it's a little early on the project, but how about storing these and turning it into a java applet type program so one can see the change over different time periods and time frames instead of day to day updates. Also if it were java it would be simple to put in algo's to sort by greeks.
I'm kind of drunk so if that doesn't make sense, say so. But java is the way to do market heatmaps... even without algo sorting at least for extending time frames manually.
Right on time Tyler..
Very cool. can you also try and go some credit heat maps outside of equities. My first request would be soveriegn debt.
Why does AIG have 8 blocks?
And yes, just as Loki asks, a brief primer on the interpretation would be certainly earn someone a big Boo-Ya! of appreciation!
Second set is ILFC
PRIMER PLEASE TYLER!
PLEASE PROVIDE INTRO OR REFERENCE SO WE CAN UNDERSTAND THE CDS MARKET AND THE HEAT MAPS!
Not to be rude, but you must understand what these people are doing is a service to you and I. With that said, you might want to try and use your search engine a bit, then come back and ask specific questions on the material you don't understand. This is what I do and they usually get answered.
this is a treemap with sizes proportioned to betas. what program are you using to generate them...R?
There are some neat posts about different shaped treemaps with centroidal-weighted areas here (may be worth taking a look. i'm working on making a dynamically updating one with bloomberg and R using vorornoi treemaps):
http://infosthetics.com/archives/2006/01/voronoi_treemap_data_visualizat...
Very cool idea, I would love to know how this is coming along. I will be talking to someone at bloomberg about some data presentation ideas next week. Should be interesting. If you get this you can put an @ g.mai.l.c.o.m at the end of my handle to reach me.
Cheers
mgarrett84, dood, if possible, please make mention of the PROCESSING language to the Bloomies. Really neat programming language for visual data representation.
Tanks!
THANKYOU FOR PUBLICISING ONE OF MY TRADING STRATEGIES
Do you want congratulations?
Because honestly, why didn't you share this insight before your beloved trading strategy was 'exposed'?
Just here at Zerohedge to take, and not give back?
How about one screen for Sovereign CDS?
futures and currencies?
so do you think mr tuftie would approve?
That's Tufte, dood, Tufte!
Next you'll be getting mortality swaps confused with ISPV-derived cat bonds, fer crissakes!
Just brilliant, now Ive got wood.
Same stuff I do with global fiancée and politics, cuz one begets the other eh!
I was a worried man till ZH came along see: http://www.youtube.com/watch?v=f_k8JAMGXiI&feature=related
Skippy.....Kudos for going public with this.
"global fiancée and politics"
So you track politics and strange bedfellows on heat maps?
ROFL
whats the source of this data?
it appears to be tied to this
http://www.prnewswire.co.uk/cgi/news/release?id=182493
First dumb question - all makes sense to me with 4 blocks for 10, 7,5 ,3. Why are there 8 for AIG?
Have to agree with everyone. This is just plainly and simply awesome.
Sovreign Debt would be great, or different EM countries capital flows or CDS Spreads.
It is fucking awesome
Very powerful. Some blocks are showing as black on my screen. Can't tell if that is tightening.
Pretty colors. Flashing lights. Finally the drugs are kicking in. Barkeep, methadone all around. On Tyler.
When it all turns red, especially once the "even bigger one" happens, does that mean I'm in heaven or hell? Or would it simply be change we can believe in?
Please can you explain further.i.e. block 1 AIG has eight blocks not 4.Thought each individual block in each individual name represented 1 maturity...does AIG have 2 sepearte entities?
are these % or bp changes? are they relative to the index, sector or the individual reference entity? can you include any tabular data?
does blue or red mean credit widened? are changes in treasury yields stripped out,maybe u can produce 2 sets of maps?
Guess what i'm trying to say are 2 things. 1 nice effort.Good to see an important opaque market get covered but a lot more explanation needed.
2 most of your readers are either geniuses and understand everything without explanation,else idiots who are afraid to ask.
As we all genius is not normally distributed.Readers who are kiss ass, know nothing monkeys should find a site like the NRA....sadly this site is clearly being spammed by idiots telling you that anything and everything here is awesome.
Fair points. While an explanation of the CDS market would be beyond the scope of this website, an additional primer of this chart will be forthcoming. But in essence the representation is rather simplistic, and along the lines of any traditional stock heatmap, with the minor adjustment of DV01 beta weighting of curve shifts. One glance for experienced CDS traders is all they need to extract data out of this.
Of course, if we had the funds, we would make this an interactive feature with realtime drilldown and chronological tracking.
As to your questions: AIG has an ILFC subset, the change is a bp based beta weighted representation, Tsy yields are irrelevant as CDS is indexed to LIBOR, and for a holistic overview of credit derivatives I recommend going through this site which is the best compendium of financial primer data:
http://www.classiccmp.org/transputer/finengineer/
Nice discussion thanks, i likewise was wondering whether CDSs were pegged to anything else besides the libor (though ive heard this isnt necessary for all CDSs)
Wow, AIG owns the ILFC -- the perfect subset to own during 9/11/01 (not that owning the world's largest jet leasing outfit necessarily indicates anything, Maurice, and I would never suggest that you, and your two buds, Peter Peterson and Henry Kissinger had anything whatsoever to do with it, that would be conspiracy theory territory!). Just saying.....
Mega Thanks, TD, for some awesome visual data displays.
Total categories of credit derivatives = >3,000 and counting......
WOW.
Thanks 100 times Tyler, this is really, really, powerful.
Somebody please explain the heatmap in a little simpler terms. I realize that if the CDS spread is tighter (RED), the risk of default is low. If BLUE, then the assumption is that there is an increase in the risk of default.
Do I have this right?? What does the first, very red, heatmap imply?? Thanks for explaining.
You have the colours w/ what they represent right. Wider spread = further away from LIBOR (or underlying r) and thus higher premium.
If youre asking why the first graphic is more red than the second one - if youd notice one is a daily image the other one is monthly. And thus on a monthly basis spreads tightened overall but, presumabely due to the mkt drop on friday, spreads widened that day on most CDSs.
Very cool but one suggestion (and easy for me to suggest since I'm not doing the work) would also be cool if you had a similar heat map for spec grade as well (should be able to get data on any of the HY indices_ Spec grade has been more insane than IG of late as well.
Is the beta calculated based on change in spread or change in PV01 ?
That is, for a parallel shift in a credit curve, would the blocks the same size, or would the 10-year block be the largest and the 3-year the smallest ?
I'm not sure how to reconile these two statements, as tighter spreads are a good thing.
"Our first such heatmap just so happens to coincide with a month in which it may as well be called a redmap. We hope to make this a daily feature on Zero Hedge (the heatmap, not the bloodbath)."
"Also, don't forget: red is tighter, blue is wider"
Great addition to a great site.
a couple of good resources for those sans a Bloomberg Terminal and/or who may be color impaired
CDNX North America
https://my.juliusfinance.com/market_news/cdx_na_ig
iTraxx Europe
https://my.juliusfinance.com/market_news/itraxx_europe
CMADataVision market data
http://www.cmavision.com/market-data (be sure to scroll down)
And by far the best free resource out there: http://www.markit.com/cds/cds-page.html
ya know when you see a car about to run over the baby in the carriage... this is like that. Really awful to watch but you just can't turn away.
off topic
White House (partial) visitors list
http://www.socrata.com/government/White-House-Visitor-Records-Requests/6...
I take that back this is very much on topic
note Dimon, Blankfein, Imelt etc
thanks very much; great feature
Strong work TD .TX
Surely red should be for wider and blue for tighter?
Also something similar for the SovX would be great.
Awesome, totally awesome. Finally the playing field is being leveled in this area. Will be checking this everyday. Thank you TD!
BTW, MSM you're dead. Start planning for your liquidation event. Tic, toc, tic, toc.....
Awesome, next step is to get a google map version for CMBS.
A watched pot never mean reverts.
My heat map. http://media.photobucket.com/image/horse%20track%20betting/velduanga/Tok...
It's a little more trust worthy. Better regulated and has known recovery and self help programs.
I'll take a Chivas on the rocks and hit me.
http://www.youtube.com/watch?v=HtR9jiGSra8&feature=related
Love the site, but am new and not in the field, and only given to moments of intelligence...a verbal interpretation/guide would help.
This is a great idea - but isn't the color scheme back asswards?
"red is tighter, blue is wider"
Where to post, where to post, but, ya gotta get a load of this load. The next Titanic?
The Oasis of the Seas can accommodate 6360 passengers, 2160 crew and offers a world of luxuries, including: 21 swimming pools, an aqua park, a casino, a zip line and real trees. With six levels of staterooms, a turf-covered chip and putt golf course, the world's first open-air amphitheatre at the stern, two surfing simulators and a boardwalk surrounded by restaurants, it is more like a giant ritzy resort than a cruise ship.
http://www.news.com.au/travel/story/0,28318,26280589-5006180,00.html
Folks, we keep building em bigger, of course they are going to fall harder.
Bookings are still available! Marketing is aimed at the young of heart.
http://media.photobucket.com/image/rubber%20ducky/MegSparrow/Rubber_Duck...
Its more like a giant petri dish.
Now you can share legionnaires and Norovirus with 6000 of your closest friends!
Yeah, but think of all those opportunities for the pirates --- pure plunder potential on the high seas!
Yet another good reason to invest in those RPSes (remote piloted ships).
Unfortunately, there is almost as much noise in CDS-land these days as equities. In fact, all CDS has done is bring equity type vol to the credit markets. The CDS world is filled with just as many quant/noise driven strategies and factors as equities. I don't deny that there will be times CDS leads equities (thanks to the HFs and dealer who play in the bank/bond market where MNPI flows freely), but the noise factor here is incredible. Anyway, thanks for introducing a new visual representation of this data. Tufte would be proud, and Soros is right, CDS should be banned unless you own the underlying. Empty creditors, reflexivity, and asymetric returns are all good reasons to put this product to rest.
This is great stuff...so hard to get CDS data if you don't have Bloomberg.
Careful, the cds market data on bloomberg is in general a pile of poo
So, looks like going long on the CBS CDS friday morning, you made a good return. Can you tell how us much for an example?
thanks!!
So, looks like going long on the CBS CDS friday morning, you made a good return. Can you tell how us much for an example?
thanks!!
Bravo! I'm mildly proud that I understand *part* of that. But let me add my voice to the chorus - a brief tutorial on reading heatmaps for us non-sophisticates would be great.
Thanks Tyler!
Those wondering whether the colour scheme should be reversed (as I did) - worth noting the first map is monthly (mostly red with some blue focus in financials/materials), the second just yesterday's changes - mostly blue (wider).
This seems to make sense having re-read it a few times.
Very useful. Thank you.
admin: http://invetrics.com
This is really slick, when I first looked at the picture I thought of CDS Tetris.
A great glimpse into the opaque, but liquid CDS market. Gotta love the doublespeak. It is interesting to see who is big in the CDS market, vs equities. I know JCI (domestic auto supplier, you see where this goes), but had not realized how many bets there were on their debt.
Look at all the insurance companies. CI, HIG, XL, MET. AIG of course WFC is the only "financial" in that group. Where is BAC and C? Or does that mean BAC and C are below investment grade? Look at the commodity hedgers, ABX, LUV, AA. Also, a lot of REITs, hotels and media.
Very different than the equity markets.
Tyler,
Thanks for the post, and thanks for roaming the pages and interacting with all of us "Un-beautiful and un-unique Snowflakes." Glad to see it!
For such a conspiracy loving website, you sure seem quick to believe this data…
First, single name CDS are not the most liquid market, especially in the non-5y tenors. Trading desks would scalp you if you tried to trade almost any non, on-the-run 5y index. They conveniently won't answer the phone when 'it' hits the fan and you want to unwind your trade.
Second, the "data sources" are paid by the name. For example, Markit charges around 10k per 100 names. Could that possibly incentivize them to quote levels that you could never execute on?
From a data presentation standpoint, heat maps look cool but you could present all the data and more in a much smaller table.
I was fortunate when I found your site.
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