I'd also note that some of the ZQ liquidity issues can be offset by shorting more near term liquid contracts, allowing one to change its mind. You can lose on the spread and probably will as they tend to drop more than the near term ones but its better than the alternative and it limit losses(specially if you short more contracts than the position in the back)
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The Credit Crisis Financial Stocks Short Journal
- Thread starter Daal
- Start date
I'm starting to transition from ZQ Dec 2010 to Dec 2011. I'm choosing the Dec 2011 because liquidity will flow there first as compared to the 2012 ones, and thats worth something. Once I get stronger evidence of double dip I will decide if I go huge there, at this moment I'm simply selling out 2010 for 2011
If you do the FF flattener (rates, I mean), you will have very little downside, but the real downside on these trades is the roll, as you have correctly pointed out.
Quote from Martinghoul:
If you do the FF flattener (rates, I mean), you will have very little downside, but the real downside on these trades is the roll, as you have correctly pointed out.
Martin,
Why you dont give much credit to the Hussman hybrid model and the double dip?Rosenberg said today his firm model(which he doesnt appear to disclose), puts double dip chances at 48%. It seems to me that chances are high specially after the failure in the voting of more stimulative measures at the Congress and the Fed being slow to consider more QE
This is fucked up, IB threated to force a buy-in of my ITB short because they are not being able to locate shares and thus my position would become a naked short. I switched over to XHB but that is a scary though, if PPD suffers from the same problem, they would hit me for the bid ask spread that is quite large
Quote from Daal:
This is fucked up, IB threated to force a buy-in of my ITB short because they are not being able to locate shares and thus my position would become a naked short. I switched over to XHB but that is a scary though, if PPD suffers from the same problem, they would hit me for the bid ask spread that is quite large
But naked shorting is evil, don't you know? We can't have people like you manipulating markets and melting down the global economy.
Quote from Daal:
Now this double dip/slowdown could provide me another opportunity, I still dont know if I will have the guts, I get paranoid about seeing another crash, which combined with IB auto-liquidation could lead to some severe losses even if I turn out to be correct. The trick is to buy after the crash, but if there is no crash then I just leave a ton of money in the table
Have two positions - a core position that you have on throughout the move; and an opportunistic position that you place when you get a great timing setup, and then unwind when the market seems overdone.
That way, if the market just grinds higher and ends where you expect, you make a good profit on your core position. And if the market corrects, you can take advantage by adding your opportunistic position into the dip, and then selling out whenever the market gets somewhat overdone to the upside.
List of economic issues by Calculated Risk blog
"1) less Federal stimulus spending in the 2nd half of 2010. The decline in stimulus will probably be a drag of about 0.5% on GDP growth by Q4.
2) the end of the inventory correction. The inventory adjustment contributed 3.79 percentage points in Q4 2009 of the 5.6% annualized growth rate, and 1.88 percentage points of the 2.7% GDP growth (annualized) in Q1 2010. This will probably fall close to zero in the 2nd half (maybe even slightly negative).
3) more household saving leading to slower growth in personal consumption expenditures. The personal saving rate increased to 4.0% in May, and will probably rise further in the 2nd half.
4) another downturn in housing (lower prices, less residential investment). This might subtract 0.25 to 0.5 percentage points from growth in the 2nd half.
5) slowdown and financial issues in Europe and a slowdown in China,
6) and the cutbacks at the state and local level. According the Mark Zandi, this will subtract about 0.25% from GDP growth."
How he cant call a double dip and still believe on this is beyond me
"1) less Federal stimulus spending in the 2nd half of 2010. The decline in stimulus will probably be a drag of about 0.5% on GDP growth by Q4.
2) the end of the inventory correction. The inventory adjustment contributed 3.79 percentage points in Q4 2009 of the 5.6% annualized growth rate, and 1.88 percentage points of the 2.7% GDP growth (annualized) in Q1 2010. This will probably fall close to zero in the 2nd half (maybe even slightly negative).
3) more household saving leading to slower growth in personal consumption expenditures. The personal saving rate increased to 4.0% in May, and will probably rise further in the 2nd half.
4) another downturn in housing (lower prices, less residential investment). This might subtract 0.25 to 0.5 percentage points from growth in the 2nd half.
5) slowdown and financial issues in Europe and a slowdown in China,
6) and the cutbacks at the state and local level. According the Mark Zandi, this will subtract about 0.25% from GDP growth."
How he cant call a double dip and still believe on this is beyond me
Daal, I don't have an issue with Hussman... I just don't really read anything by him. Furthermore, I don't see the value of a model that's based on mkt prices of US treasuries, as it feels like circular reasoning to me. I definitely have an issue with Rosie, who has been saying the same thing for as long as I can remember. That, to me, is a cardinal sin of a mkt economist.Quote from Daal:
Martin,
Why you dont give much credit to the Hussman hybrid model and the double dip?Rosenberg said today his firm model(which he doesnt appear to disclose), puts double dip chances at 48%. It seems to me that chances are high specially after the failure in the voting of more stimulative measures at the Congress and the Fed being slow to consider more QE
As to the double dip, I don't buy it because of the amount of stimulus that is still in the system. As I said, my central scenario is still a "square root".
Quote from Martinghoul:
Daal, I don't have an issue with Hussman... I just don't really read anything by him. Furthermore, I don't see the value of a model that's based on mkt prices of US treasuries, as it feels like circular reasoning to me. I definitely have an issue with Rosie, who has been saying the same thing for as long as I can remember. That, to me, is a cardinal sin of a mkt economist.
As to the double dip, I don't buy it because of the amount of stimulus that is still in the system. As I said, my central scenario is still a "square root".
A square root, it seems to be it would me something like 1-2% GDP, 100K NFPs(With UR not moving much up or down) and stable inflation
What would be the reasoning for a Fed hike in 2011?