Volatility

Overallotment: April 14

The DTCC data will have to wait until tomorrow as apparently the good folks who keep track of $24 trillion in CDS notional needed a good Easter rest.

Another administration 180 degree turn: stress test results to be announced shortly (WSJ)
Goldman's next $28 billion public handout (NYT)

Merrill Let Loose On The Quant Scent

In a report released yesterday, it is somewhat gratifying that Merrill Lynch analyst Mary Ann Bartels agrees with Zero Hedge conclusions about possible near-term market volatility events as a result of quant fund deleveraging.

Estimated quant HF market exposure falling sharply

Daily Credit Market Summary: April 14 - Skew's The Limit

Spreads were mixed in the US today with IG worse, HVOL improving, ExHVOL weaker, XO stronger, and HY selling off. Indices typically underperformed single-names with skews mostly narrower (as index arb remains active) as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL intrinsics beat and narrowed the skew, XO's skew increased as the index outperformed, and HY's skew widened as it underperformed.

Daily Credit Market Summary: April 13 - Recent Tights, No Volume

Spreads were tighter in the US today as all the indices improved (with Series 12 at contract tights and outperforming the off-the-runs). Indices generally outperformed intrinsics with skews widening in general as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY outperformed but narrowed the skew.

Observations On The U.S. Debt

Some observations on the total U.S. debt (the number are conservative) without commentary. The total is subject to interpretation and the probabilistic treatment of contingent liabilities and guarantees as well as the netting of derivative notionals.

Total US Debt so far: $115 - $315 Trillion dollars? (excluding/including derivatives notional)

$380,000 - $1,037,000 per person.

The break out:

$9.7 Trillion in bailouts

Daily Credit Market Summary: April 9 - PPT In Full Force

Spreads were tighter in the US today as all the indices improved. Indices typically underperformed single-names with skews mostly narrower (index arb in HVOL is clear) as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL outperformed pushing the skew wider, XO underperformed but compressed the skew, and HY outperformed but narrowed the skew.

Putting The Low Volume Rally In Context

Zero Hedge has previously discussed the aberration effects of daily gaps (up and down) as well as trading volume on the true state of market fair value indications. We present some VWAP (Volume-Weighted Average Price) data for our readers based on SPY index price and volume levels. We end up with some interesting conclusions.

Daily Credit Market Summary: April 8 - Big Bang

Spreads were mixed in the US today with IG worse, HVOL improving (thanks to insurers), ExHVOL weaker, XO wider, and HY selling off. Indices typically underperformed single-names with skews mostly narrower (post Big Bang - index arbs back in play as skews saw their biggest single-day compression in series 12) as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL intrinsics beat and narrowed the skew, XO underperformed but compressed the skew, and HY's skew widened as it underperformed.

Daily Credit Market Summary: April 7 - Credit Unch!?

Spreads were mixed in the US today with IG worse, HVOL wider, ExHVOL better, XO stronger, and HY rallying, although moves were generally minimal with a late day rally in IG the only bright spot. Indices typically underperformed single-names with skews mostly narrower as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL outperformed pushing the skew wider, XO underperformed but compressed the skew, and HY outperformed but narrowed the skew.

Daily Credit Market Summary: April 6 - Blunt Pain

Spreads were mixed in the US today with IG worse, HVOL improving, ExHVOL weaker, XO wider, and HY rallying. Indices typically underperformed single-names with skews widening in general as IG underperformed but narrowed the skew, HVOL outperformed but widened the skew, ExHVOL intrinsics beat and narrowed the skew, XO's skew increased as the index outperformed, and HY's skew widened as it underperformed.

Currency week in review: 03/29 - 04/03

This past week was very interesting as FX took a cue from the US equities rally and the markets started looking for yield again, further exacerbated as people are starting to question Japan's fundamentals. As we have commented extensively on the weakness of the yen (here and here), we won't rehash but in short, there are not many signs of life coming out of Tokyo.

Currency week in review: 03/29 - 04/03

This past week was very interesting as FX took a cue from the US equities rally and the markets started looking for yield again, further exacerbated as people are starting to question Japan's fundamentals. As we have commented extensively on the weakness of the yen (here and here), we won't rehash but in short, there are not many signs of life coming out of Tokyo.

Why Despite FASB's Efforts To The Opposite, MTM Change Is A Non-Event

Despite the financial stocks jumping the shark yesterday, and investors gobbling it all up happily, Richard Ramsden of GS says this is just a load of hot air.

Mark to market is not the bottom

Our views on banks do not change following the FASB mark to market rule changes. Our core view is that banks will not bottom until nonperforming asset growth decelerates. All of the data points we track in 1Q point to acceleration.

Why Despite FASB's Efforts To The Opposite, MTM Change Is A Non-Event

Despite the financial stocks jumping the shark yesterday, and investors gobbling it all up happily, Richard Ramsden of GS says this is just a load of hot air.

Mark to market is not the bottom

Our views on banks do not change following the FASB mark to market rule changes. Our core view is that banks will not bottom until nonperforming asset growth decelerates. All of the data points we track in 1Q point to acceleration.