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Presenting Today's 10-Sigma Move In BTP-Bund Spreads
Presented with little comment as we note the record-breaking move in today's spread between BTPs and Bunds is almost unprecedented and at 10 standard deviations is likely to have risk managers tapping trader's shoulders across many trading rooms. 2s10s and 5s10s curve inversion and a CDS-Cash basis that is now widening once again after some early compression just adds to the running-at-the-cliff's-edge feeling.
UPDATE: and in case you thought it was just Italy, the contagion is truly rotten to the core as OATs crack over 17bps wider to Bunds - the largest single-day widening in history and over 8 standard deviations:
Charts: Bloomberg
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mm-hmm capital markets suck that way.
Hmmm. Looks like a caterpillar splatting against a windscreen.
I think they're seismographs.
i don't know what that iamge means , but it looks great.
It's tasty i believe - can I get some with greek salad ?
excuse my english
Cartoon boobs. Clever! Different!
Cartoon Money, Cartoon Markets, so Tits should be cartooned too
Chart of (very volatile) Italian bond spread... no big deal.. welcome.
Jolly Good , thank You
I prefer Robo's real one.
Preferences are not important. More important is whay You get :)
it basically shows the income expectations of underage prostitutes in Italy. When news say bunga is retireing, it increases, as the little sluts expect him to have more time in the future to spend on them!!
Oh, now we're talking with sense . We should fill market gap by fucking our wifes less, and spend some money for italian u-18 bitches ... Hurra !
excuse my english
SP850 in short order folks. (And that's factoring in the most crooked Monopoly fake money games and political musical chairs head-fakes.)
Had you not typed it in bold, I would have believed you. As it stands, I think you're just exaggerating.
touche. at least it wasnt BOLD AND ALL CAPS
"Had you not typed it in bold, I would have believed you. As it stands, I think you're just exaggerating."
Exactly. He forgot the most important part of this cause-effect. Print faster!
Is vast-dom wearing a hair net like you see those old bittys wear at the cafeteria? If so, I would not mess with him. He'll spit on your food while you're not looking!
You make it sound like a problem...
Looks like your richter scale there is trying to tell us something. Hmmm. What could it be?
Nothing but smooth sailing
A 10-sigma move on a radomly occuring event is about as close to impossible as you can get. Therefore, this is not a random event.
Or we don't have the right characterization of the underlying distribution. We are in Taleb's Extremistan. Thing is, we've always been here...
"Or we don't have the right characterization of the underlying distribution."
This. If it's Cauchy or the like, there is no such thing as a standard deviation. Or the distribution has recently changed.
Looking at the moves in the top chart, I see a 6, an 8, two-10 and a 12 sigma move in 2011 alone. That's not a normal distribution.
http://web.bham.ac.uk/1848/comments/europe.htm
Hell, Italy is sort of a bad idea in the first place. Maybe it's time to carve up this turkey...er...chicken? Tasty thread already.
Hold the fort!
Just breaking.. a rumor that Berlusconi’s mistress is having a hemorrhoid removed looks to send the S&P up 30 points.
Wiki says that a 10 sigma event is virtually impossible, nothing will stop in their way to achieve zee price stabeelitee
10 sigma!
http://en.wikipedia.org/wiki/Fat-tailed_distribution
nuff said
10 sigma...that's perfectly normal.
So I expect a massive stick save rumor before European close and LCH to lower margins on Italian bonds.
Deca Sigma Shinola
The so-called "Fixed-Income" ASS-ets should be reclassified into "Unfixed-Loss" category.
A ten sigma move (a statistical impossibility) means we're into the next scalar up in the fractal pattern...where's my Mandelbrot cheat-sheet?
Market will think it's a cardiogram and that the right side shows excitment. DJIA + 300 today?
Nah. Market will bleed red and levelize to some neutral-nebulous number, then launch forward toward positive ground on mid-day rumor of Merkel whisper of a green-light for ECB bailout.
This is one giant game of chicken between hyperinflation-phobic Germany and depression-phobic Bernank. All I know is that someone's going to print, and print big.
+1
You can almost smell the rumor/rally coming this afternoon.
Wow, sort of reverse free-induced decay. Anyone also familiar with the fourier transformation of such functions. Chaos theory anyone?
Would that look like an upside-down NMR spectra?
I pasted the first chart into a sound editing program on my PC. It started out as a little static. Then the static got louder. Then BOOM. Now I have to go get a new set of speakers.
its like some 10" trying to enter in that small hole. thus creating that sigma effect.
Not a chart that creates a lot of calm...in most sciences this chart would indicate a system that was approaching chaos and was uncontrollable