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Latest estimate turned weakly bullish at +2.2%~ for the coming few days. Attached is a recent window fit of the latest quantamental model. Actual sample used is from 2013, and the histograms would be too small to be easily read. Statistical details, graphs, performance tracking are updated here.

Yeah, I got average Managed Money Long exposure of the past couple of weeks at about 557.4~ Obviously it's still easier to squeeze them than the shorts this moment, this was 1 of the reasons I thought the WASDE fit was off.

So Lebanon yesterday, Malaysia today... Are states failing by alphabetical order?

if it helps any, here's the latest fair value estimate, at $63, derived with consensus forward earnings, from Morningstar.

I'm seeing a "trend line break" to the upside. Does it mean anything useful? Probably not.

if you re long vol, PnL will roughly average vega *( future realized vol - Implied you paid for), vice versa for shorts. delta hedging frequency will determine your expected PnL vol

wow, thanks for the post. I didn't even know this was happening.

Be nice to everyone you meet, because if you're liked, those around you might give you helpful ideas/information, stuff you don't learn from books.

It's possible but the hardest part about it is, that you'll most likely have to figure it out on your own. Even if you have a great mentor, who has both the capability, and motivation to help you, it is unlikely that you'd be able to digest all the information quickly, or gain enough confidence...

I used a simple multivariable regression, and matched all WASDE variables against following month average corn futures front month price, and added month of year as seasonality factor. It spat out $6.1~ for the Dec. contract to average in Oct. Stats, graphs, are available here. Attached is a...

Latest estimate is at -1.0%~ for the coming few days. Attached is a recent window fit of the latest quantamental model. Actual sample used is from 2013, and the histograms would be too small to be easily read. Statistical details, graphs, performance tracking are updated at...

CGBs = Carribean Government Bonds?

is there a particular reason you like eurodollars than an outright bet on treasury futures?

How serious are you about "making it"? hahaha

Updated the predictive variable basket to include Real GDP, along with the FOMC projections for the expected change in RGDP in the coming quarters. Also added COT Managed Money positions, as %s of nearest strip futures OI. Latest estimate is at -1.5%~ for the coming few days. This is slightly...

Probably not intuition. I think when our formulas are proprietary and want to stay polite instead of outright "and I'm not gonna tell you how I derived it...", a nicer way to express it is to say "that's just my feeling".

that's pretty close to my estimate too, for this coming quarter or 2 at least.

oh yeah, thank you for the good point, I will definitely incorporate US Real GDP into it in the next iteration. I forgot to mention that I have short term change in M2 as a proxy for global growth in the current model. As far as deriving oil demand from GDP, I've seen a number of different...

Understood, and thanks for pointing it out. That's one of the main reasons I decided to use the 2nd month expiration futures instead of front month.

I'm gonna start seeing just how adequate, or WRONG, the pure quantitative approach can achieve, using supply/demand data as predictive variables. I'm using mostly EIA data, production, refinery use, imports, exports, and COT producer, swap positions. Will probably add to this as we go. I also...