FOMC Thursday?

A few of you mentioned straddles, and they do look surprisingly sold off on the S&P. I think this shows the extent to which the market has written down the probability of a Fed move tomorrow. The chart below is the historical cost to enter into 1m straddles on the S&P 500 going back to 2009 (left axis shows the straddle cost as a percentage of the S&P 500). 1m straddles costed 6-8% only a week or two ago, and now they are trading at about 4%. For what it's worth, the S&P has moved in excess of 4% over a 1m period only 30% of the time going back to 2000. I used the 10/16 expiry.

Thought it was an interesting chart. For those curious, I created it and did the back-test with the new options analytics package at www.getvolatility.com.

zLI8EzA.jpg
 
Last edited:
Rate hikes are coming unless US data weakens significantly and/or defalation worldwide worsens. A pause in the timing, a delay to Dec or early 2016 , IMO is not going to reverse the relationships/ present trends of uSD,euro,Yen and Em currencies. Therfore expect continuation
of EM equities and commodities. Seems this "thing" is in motion and has been for some time.
Seems that talking of EM stress is not something the fed likes to weigh heavily
in their statements. That may be a mea culpa for ZIRP for so long. I look for them
to interpret US data to decide.
 
Last edited:
1/2 hour before she starts talking. Sometimes the mkt gives a little preview. I see no indication from fx or S&P what people are thinking. Been unusally quiet now for almost 48 hours

this is a hard one for me to read
 
no skin off my nose. I ended up with medium profit early in the am and got flat

I'm going in short aud.usd short eur.usd short usd.cad short usd.jpy all equal amounts so for the most part I am dollar neutral.

I don't know, I'll see what it looks like at 16:00 and then start adjusting

oh well, nine years, that's a long time to wait to just end up a small net neutral position
 
Redneck said:
My swag

swag - acronym for Scientific Wild Ass Guess

What ever the announcement - drive price down (scaring out the weak & meek).., buy it.., drive back up into the EOM / EOQ


My plan - trade accordingly no matter what

RN
More...


It is my opinion.., based on FB's subsequent PA after the FOMC announcement

My swag is/ was an epic fail

Best I stick to trading - I suck at predicting.., and swag-ing

RN
 
You must log in or register to reply here.
Back
Top