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The Herd Instinct Takes Over-Component Stocks' Correlation to S&P 500...
- Thread starter ASusilovic
- Start date
You are a nut case. How much more volatility do you want to see? Volatility is so high at the moment (and I talk about daily changes, so dont come with your day trading argument) that it puts a firm floor under implied correlations which are sky high as well.
Just to remind you of the last couple months:
Feb -> May + 11.3%
May -> June -13.5% (including a flash crash)
Middle June -> End of June + 7.7%
Last week June -> First week July -10.8%
Since then + 12%
You must be out of your mind to claim we are in a low volatility environment, but then it all depends on in what frequency you measure it, lol. Most hedge funds lost big time over the past couple months precisely due to this volatile environment.
Just to remind you of the last couple months:
Feb -> May + 11.3%
May -> June -13.5% (including a flash crash)
Middle June -> End of June + 7.7%
Last week June -> First week July -10.8%
Since then + 12%
You must be out of your mind to claim we are in a low volatility environment, but then it all depends on in what frequency you measure it, lol. Most hedge funds lost big time over the past couple months precisely due to this volatile environment.
Quote from brownegg:
Yes, low volatility!!!! I'm not nuts, I just happen to be one of the many traders who don't just daytrade stocks and ES!!!!
Even where something like weekly ranges are decent, correlations like this are normally reserved for times like summer '97, '98, '01, etc.
This environment is really a stock picker's worst nightmare. Conversely, it is a good time to be a macro economist index- trader. With so many stocks acting so similar, one would presume quality stock investors, not being rewarded for their discretion, simply stop/reduce their participation.
its a complete chop environment for everyone, regardless of whether you are in commodities, equities, rates side, foreign exchange. Markets are driven much more by governmental intervention than any fundamental market forces. Its a horrible environment for discretionary traders, imho.
I can openly admit I have not made a dime over the past 2 months, but I am happy I did not lose much either. I do not day trade but hold longer positions.
I have never seen EUR/USD more choppy than over the past 1-2 weeks, never, not even in any week of 2008.
I can openly admit I have not made a dime over the past 2 months, but I am happy I did not lose much either. I do not day trade but hold longer positions.
I have never seen EUR/USD more choppy than over the past 1-2 weeks, never, not even in any week of 2008.
Quote from kxvid:
This environment is really a stock picker's worst nightmare. Conversely, it is a good time to be a macro economist index- trader. With so many stocks acting so similar, one would presume quality stock investors, not being rewarded for their discretion, simply stop/reduce their participation.
I actually admit I do not have an explanation for that, nor do most hedge funds, please enlighten me, I am confident enough to admit I may have overlooked something.
Earnings mean nothing right now, that is for sure. All the horrible economic releases have been completely ignored for most part. A ridiculous stress test (nothing was actually stressed, but a lot omitted in exchange) coming out of Europe was cheered. Please tell me how you expected the market to react how it reacted and why....I fail to see it. To me its completely random right now, no trends, no smaller ranges. The market just floats randomly between a multi month range, driven by fear and the subsequent bounce because nothing was there to worry about. Very hard to trade for swing traders because the swing reversals were not at all anchored in any shift in fundamentals.
P.S.: But then I have to admit I was very disappointed, I had a short euro position in the tens of millions on the book and got stopped out of most of it on the way back up. I admit I misjudged that the US economy would falter faster than when the last nail would be hammered into the European coffin ;-( (I am ultra bearish on both but it diverged a lot more than I was betting on)...
Earnings mean nothing right now, that is for sure. All the horrible economic releases have been completely ignored for most part. A ridiculous stress test (nothing was actually stressed, but a lot omitted in exchange) coming out of Europe was cheered. Please tell me how you expected the market to react how it reacted and why....I fail to see it. To me its completely random right now, no trends, no smaller ranges. The market just floats randomly between a multi month range, driven by fear and the subsequent bounce because nothing was there to worry about. Very hard to trade for swing traders because the swing reversals were not at all anchored in any shift in fundamentals.
P.S.: But then I have to admit I was very disappointed, I had a short euro position in the tens of millions on the book and got stopped out of most of it on the way back up. I admit I misjudged that the US economy would falter faster than when the last nail would be hammered into the European coffin ;-( (I am ultra bearish on both but it diverged a lot more than I was betting on)...
Quote from [Proximo]:
I wouldn't say its crazy volatile (normal ~ intraday actually)
But the directional swings (high/low) have been substantial +/- 10% swings.
Quote from asiaprop:
You are a nut case. How much more volatility do you want to see? Volatility is so high at the moment (and I talk about daily changes, so dont come with your day trading argument) that it puts a firm floor under implied correlations which are sky high as well.
Just to remind you of the last couple months:
Feb -> May + 11.3%
May -> June -13.5% (including a flash crash)
Middle June -> End of June + 7.7%
Last week June -> First week July -10.8%
Since then + 12%
You must be out of your mind to claim we are in a low volatility environment, but then it all depends on in what frequency you measure it, lol. Most hedge funds lost big time over the past couple months precisely due to this volatile environment.
Wtf, can you read? You're talking about one market, and I don't even know what that is. ES? You do realize there are others, and some of us trade them more often? And that not everyone trades pure direction or swings?
I'm not a nut case, you just have no idea beyond your monitor. Yes there have been large absolute moves. That has NOTHING to do with volatility. Look it up.
Quote from asiaprop:
P.S.: But then I have to admit I was very disappointed, I had a short euro position in the tens of millions on the book and got stopped out of most of it on the way back up. I admit I misjudged that the US economy would falter faster than when the last nail would be hammered into the European coffin ;-( (I am ultra bearish on both but it diverged a lot more than I was betting on)...
OK now I'm confused. If you're trading like this (and for the record I agree with you, USD and EUR are both garbage, and EURUSD is going to 1), then we can't really disagree.
* The article referenced at top of thread is talking about US equities, but I made the point earlier that this is happening everywhere: energy term structures, rates (for a while now... wtf difference does it make what term you trade if the repo rate is 0?), etc.
* There have been large *moves* but not much *volatility*. Covariances and therefore correlations just aren't moving much. This is a big weakness of almost all non-macro / directional strategies: if stuff doesn't ever diverge, there's nothing to do.
* May 6 doesn't count. It could happen today, or never again. It's a totally different data set, even if it's only a small one.
If we want to move the conversation forward, my real fear is we are seeing the beginnings of a real global deflationary period. This "all correlations are 1" stuff looks ominous to me. While as a consumer I love that (for the first time in my life people who have borrowed themselves to death won't get rewarded for it), as a trader it's going to SUCK.
If your trading 100+ contracts then there's not much I can say that will enlighten you. :]
Although I do think EURO is approaching short term resistance ~ 1.31 (which was my target from the last low ~ 1.2725).
Although I do think EURO is approaching short term resistance ~ 1.31 (which was my target from the last low ~ 1.2725).
Quote from asiaprop:
I actually admit I do not have an explanation for that, nor do most hedge funds, please enlighten me, I am confident enough to admit I may have overlooked something.
Earnings mean nothing right now, that is for sure. All the horrible economic releases have been completely ignored for most part. A ridiculous stress test (nothing was actually stressed, but a lot omitted in exchange) coming out of Europe was cheered. Please tell me how you expected the market to react how it reacted and why....I fail to see it. To me its completely random right now, no trends, no smaller ranges. The market just floats randomly between a multi month range, driven by fear and the subsequent bounce because nothing was there to worry about. Very hard to trade for swing traders because the swing reversals were not at all anchored in any shift in fundamentals.
P.S.: But then I have to admit I was very disappointed, I had a short euro position in the tens of millions on the book and got stopped out of most of it on the way back up. I admit I misjudged that the US economy would falter faster than when the last nail would be hammered into the European coffin ;-( (I am ultra bearish on both but it diverged a lot more than I was betting on)...
Quote from asiaprop:
its a complete chop environment for everyone, regardless of whether you are in commodities, equities, rates side, foreign exchange. Markets are driven much more by governmental intervention than any fundamental market forces. Its a horrible environment for discretionary traders, imho.
I can openly admit I have not made a dime over the past 2 months, but I am happy I did not lose much either. I do not day trade but hold longer positions.
I have never seen EUR/USD more choppy than over the past 1-2 weeks, never, not even in any week of 2008.
Yep gotta agree with you. This market is a meat grinder for anyone who is trading direction, especially dicretionary swing traders, these guys are most likely getting slaughtered by the crazy chop. I don't trade direction (only do arb) but even then it hasn't been easy for me either, I can only imagine what its like for the others.