mgarrett

The Wild and Crazy World of Self-Referenced Credit

Thanks for the post. This is an area I have wondered about and haven't gotten around to researching.

Cheers

Seeking Safety in Volatility Trading

This is slightly off topic. During the most recent period of volatility (the last 2 weeks), their has been a significant degree of predictive accuracy in looking at the swings between premium and discount in the front month Vix futures and the index. The nov contract was reading such a discount it created both a great indication as well as some low risk trading opportunities. That being there continues to be a discount in the front (nov), would you view that as a strong indicator that Ivol will continue to come in and equity markets stabilize?

VIX Premium Ratio Finally Perks Up

There has been extreme swings from premium to discount back to premium on VIX futures. The premium and/or discount has been extremely accurate over the past week or so. Do you believe that this reliability in the indicator can persist? In my view it may be working a little too well. So I am going dial back its influence on me.

Sentiment Overview: A Remarkable String of Bullish Weeks

The other major issue for this market to come to terms with is, one source of liquidity injections into the financial system is nearing an end. The Treasury POMO only has one bullet left in the magazine. Yes, there is still a mountain of MBS purchases in the arsenal, but I don't know if these have the same firepower as the treasury purchases. This is speculation but I believe a lot of the MBS' that are purchased may have be whats posted as collateral so net net your not getting as much of a bang for the buck.


On Oct 25 07:55 PM mgarrett wrote:

> Thanks for pulling this data together. If the ISE index continues
> to foreshadow periods of equity weakness, It will be interesting
> to see how far below the buoyancy providing liquidity resides. <br/>
>
> I believe some gyrations in FX markets of late also supports a weak
> equity thesis. Specifically, the final short squeeze in the high
> beta popular short that is GBP/USD. This may mark an intermediate
> term counter-trend move or even (if the Elliott wave guys are right)
> a trend reversal in USD. Conventional wisdom suggests month end
> currency hedge adjustments should put pressure on USD. I am not
> willing to bet on that.

Sentiment Overview: A Remarkable String of Bullish Weeks

Thanks for pulling this data together. If the ISE index continues to foreshadow periods of equity weakness, It will be interesting to see how far below the buoyancy providing liquidity resides.

I believe some gyrations in FX markets of late also supports a weak equity thesis. Specifically, the final short squeeze in the high beta popular short that is GBP/USD. This may mark an intermediate term counter-trend move or even (if the Elliott wave guys are right) a trend reversal in USD. Conventional wisdom suggests month end currency hedge adjustments should put pressure on USD. I am not willing to bet on that.