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The Macro Trader

 
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  • Sentiment Is Not So Bullish [View article]
    www.cboe.com/data/mkts...

    We use the equity put/call data from this page.
    Mar 16 02:01 PM | Likes Like |Link to Comment
  • The Euro, Revisited [View article]
    No, it is using the PPP data on Bloomberg using CPI data.
    Feb 4 03:05 PM | Likes Like |Link to Comment
  • The Big Mac Index in ETFs [View article]
    First Quadrant actually tested the Big Mac index and over time it makes money. www.firstquadrant.com/...
    Jan 10 07:34 AM | Likes Like |Link to Comment
  • Debt Deflation and Its Impact on the Japanese Yen [View article]
    These days there a re a few different ways to trade currencies outside of the futures market. You can trade in the spot market with any of a number of forex brokers, some advertise on Seeking Alpha. Or you can trade the FXY which is the Yen ETF. It trades like a stock but tracks the Yen.


    On Jul 10 10:37 AM skwestorange wrote:

    > Could you provide your preferred way(s) to trade this expectation
    > for equity investors who are not comfortable with the currency futures
    > market?
    Jul 10 11:42 AM | Likes Like |Link to Comment
  • Exploring the Currency Carry Trade [View article]
    ICI looks great on paper but it has been far too illiquid for our trading. Too many ETF providers have great ideas but then they fall flat when it comes to marketing. So they end up with insufficient volume to not only turn a profit but also to attract traders.

    June-2 DBV traded 125,100 shares
    June-2 ICI traded 585 shares


    On Jun 02 09:27 AM granger wrote:

    > any thoughts on ICI vs DBV for this purpose?
    Jun 3 04:28 AM | Likes Like |Link to Comment
  • Exploring the Currency Carry Trade [View article]
    CEW looks promising but for now it is too new and illiquid for our tastes. Hopefully over the next few months volume picks up and we can add it to our models.

    One idea we always thought made sense would be for ETF providers to also provide historic index data for free on their site. Obviously it wouldn't match up exactly but it would be close enough so that traders can see how it should trade and we can try to incorporate it into our models. This would boost the volume right out of the gate and would likely make a few ETF's far more successful for the providers.

    For now the ETF has only traded for a month and does not have enough price history or volume for us to do anything but monitor its progress.


    On Jun 02 09:38 PM isaac the terrible wrote:

    > How do rank DBV inrelation to the new wisdom tree fund-CEW? Thanks.
    Jun 3 04:24 AM | Likes Like |Link to Comment
  • Exploring the Currency Carry Trade [View article]
    On the Bloomberg site the symbol is JPMVXYG7:IND


    On Jun 02 12:18 PM Alan Young wrote:

    > Or maybe not. Where do you find the G-7 VIX data? I could not find
    > it on any of the usual market-info sites.... TIA
    Jun 2 01:21 PM | 1 Like Like |Link to Comment
  • Exploring the Currency Carry Trade [View article]
    I get it on Bloomberg but as you can see in the bottom pane of the DBV chart you can use the SP500 VIX as a decent proxy.


    On Jun 02 12:18 PM Alan Young wrote:

    > Or maybe not. Where do you find the G-7 VIX data? I could not find
    > it on any of the usual market-info sites.... TIA
    Jun 2 01:20 PM | 1 Like Like |Link to Comment
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