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Peter Tchir

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  • Why PIMCO's Junk-Bond ETF Is The Best Of Its Kind [View article]
    Thanks, sorry about that, but i've been trading bonds since 1994 and those are standard terms on desks.

    It is one reason I get concerned about ETF's because they may "simplify" bonds too much.
    Sep 23 11:01 AM | Likes Like |Link to Comment
  • Why PIMCO's Junk-Bond ETF Is The Best Of Its Kind [View article]
    bonds are quoted on "clean" price, but settle based on a "dirty" price. so every day, the value or "dirty" price of the bond adds the correct number of days of carry (3 on wednesdays, 1 every other)

    so if a 5% bond pays its semiannual 2.5% coupon, the holder would get the coupon, but see the dirty price reduced as accrued, but unpaid interest resets to zero.

    so fixed income etf's should behave like that. all else being equal you would expect HYG to be up about 1.7 cents per day, for a total of 51 cents on the month, which is its dividend

    so just like a bond, if the price doesn't change you earned the interest for the month.

    whether you reinvest or keep the interest it is your decision
    Sep 13 08:59 AM | Likes Like |Link to Comment
  • Why PIMCO's Junk-Bond ETF Is The Best Of Its Kind [View article]
    I disagree for so many reasons:

    1) with a market cap of 422 million, it is small to be that excited about, and on a quick glance, individual bond sizes are more concentrated and a few issuers are particularly concentrated - not every high yield company has bonds with 5 year maturities. former IG companies seem very large
    2) why are 2 of the top 10 holdings term repos with DB and JPM?
    3) many of the bonds are callable so any upside from here is further limited, much of the yield data or spread data is misleading as these aren't bullet bonds
    4) at times of stress, you get inversion causing the front end to underperform

    The ETF is an interesting idea, but has its own myriad of problems
    Sep 12 08:41 AM | 7 Likes Like |Link to Comment
  • ECB's New Proposal: First Thoughts [View article]
    the IMF will have oversight of the "conditionality" as I understand it. Which I think will be looser than with Greece and reasonably agreeable, so shouldn't be too onerous, but Spain has had a tendency to resist anything, so not sure if they ask while their bond yields are so low.
    Sep 6 04:35 PM | Likes Like |Link to Comment
  • ECB's New Proposal: First Thoughts [View article]
    some is just debt replacement. borrowing from real people replaced with borrowing from ECB. Though with everyone running a deficit more debt accumulates
    Sep 6 04:16 PM | Likes Like |Link to Comment
  • ECB's New Proposal: First Thoughts [View article]
    I was wrong when i shorted, but I had a bet on that Draghi would deliver and that it would help spain most, i kept the spain/italy long, and by time wrote this had put on spy short. IBEX hit high of 8900 earlier this year. It is only 7900. They would be direct beneficiaries.

    I did underestimate how underweight mkt was and should have held onto long in SPY for longer. But Spain and Italy both up more than 4% and Spain almost 5%
    Sep 6 04:15 PM | Likes Like |Link to Comment
  • 4 Bad Bear Tells - VIX, Volumes, High Yield, And Spanish 10-Year Yields [View article]
    Thanks, the 10 year is more exciting, but i think the ECB will have an easier time dealing with the short end. It's not a great solution, as good 10 year rates would be best, but overemphasizing those when assessing the "success" of any program could lead to underestimating the results.
    Aug 27 10:48 AM | Likes Like |Link to Comment
  • 4 Bad Bear Tells - VIX, Volumes, High Yield, And Spanish 10-Year Yields [View article]
    I cut some short this morning...I think we fade into the European close, but then will likely get flat, and possibly a bit long again, $EWP is tempting down 4% from Tuesday's close. I missed part of the run up, but its now below where i sold.

    IG18 also got about 101, but feels like it has support here (positive for risk).
    Aug 23 11:25 AM | Likes Like |Link to Comment
  • 4 Bad Bear Tells - VIX, Volumes, High Yield, And Spanish 10-Year Yields [View article]
    sorry, yes, Credit Default Swaps. IG18 is the investment grade index, and HY18 is the high yield version.
    Aug 22 11:28 AM | 3 Likes Like |Link to Comment
  • Volumes, Volatility, And What They Actually Mean [View article]
    lol! hi, great to hear from you! i update our site daily and send a mail mostly.
    Aug 20 12:10 PM | Likes Like |Link to Comment
  • Exit Equities As VIX Hits A 5-Year Low And S&P 500 Index A 4-Year High [View article]
    Interesting, but I remain concerned that people are underestimating the possibility that this is like 2003, where vol continues to decline as stocks continue to increase. Near term i've switched to negative US while mildly positive Europe, but am concerned that too many are underinvested and taking the wrong message from vix, volatility, and volumes.
    Aug 18 09:13 AM | 8 Likes Like |Link to Comment
  • Volumes, Volatility, And What They Actually Mean [View article]
    ha, I will have to think about that one :) And I have turned bearish, but more based on level of mkt than vix or volumes, which i think are explainable and not a leading indicator.
    Aug 18 09:10 AM | Likes Like |Link to Comment
  • Volumes, Volatility, And What They Actually Mean [View article]
    We are getting closer to where I sell, but based on values, not where volatility or volume is.
    Aug 16 12:50 PM | 2 Likes Like |Link to Comment
  • Volumes, Volatility, And What They Actually Mean [View article]
    My perception was that the past few days (and this was originally published yesterday morning) that the bears have been latching on to volume and VIX as reasons the market is due for a sell-off. In fact it seemed almost universally accepted that this level of VIX coupled with low volumes was sure to create a sell-off.

    I do not believe that analysis is correct or accurate. VIX has been lower and VIX collapsed into 2004 and the bull market. I'm not saying that is going to happen here, but I am not sure why that case is so readily dismissed in favor of more recent trades other than we like recency.

    I also think the premium of VIX versus realized VOL remains indicative that people are not that underprotected. Underprotected, yes, but too complacent? I'm not so sure.

    Volumes have dropped but more and more our volumes are dependent on volatility because of sub-penny nano second trading. I do not think volume is that important anymore and have witness long stong market runs where every single day, the bears (of which I have been one) lament the low volume.

    I'm not particularly excited about U.S. stocks here. I like European stocks better and banks as a whole, even here, but I also wouldn't get overly bearish based on VIX and Volumes.
    Aug 15 11:55 AM | Likes Like |Link to Comment
  • The Weekly T Report: Brotes Verdes [View instapost]
    yeah, and ELA was just enough to cover 2 months of Greek expenses and the ECB bonds due in August. Definitely tricky and games being played.
    Aug 9 09:28 PM | Likes Like |Link to Comment
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