(Feb 18 & 19, 2021): Resetting Equity Longs, But Mindful Of Sector Rotation; Exiting DXY Longs, PAM Looking To Build Long Treasury Futures Position
Summary
- As we said earlier, the temporarily reversed covariance between yields and equities may push equities higher.
- We are therefore adding more equity longs conditional to further declines in yields, which is equivalent to equity futures making a higher high from here.
- Right now there is negative correlation because the equity markets were scared shitless when the yield hit 1.3%. But it will revert to normal once yields fall significantly.
- *Possible reason why the Fed started talking down the long end yesterday and Yellen gave the 55B to PD* "The divergence between eq and rates vol widened significantly. The 3m10Y swaption vol went through 70 bps yesterday as wrong-footed positioning triggered option-driven selling. Vol is becoming sticky in rates, and that’s worrying. The 1.3% level will trigger more convexity. -- @bogeygolf.
- Reverse Repo is a natural sink for Treasury Cash Balance -- it is frequently used -- although not in a big way as sopping up more than $1trillion flows from the TCB in less than 4 months. The long bond yield trails that process by one month -- but term (money) market rates will respond immediately. That's the usual lead of short term rates over the long bond yield. In other words, the long bond yield will fall like there is no tomorrow after a lag. That is why Gold will soar, and DXY will again crater.
FEBRUARY 18, 2021
GOOD AFTERNOON ASIA / GOOD EVENING WEST COAST
robert.p.balan ModeratorLeaderOwnerFeb 18, 2021 7:31 AM
We are seeing some evidence that the 10yr yield may have peaked.
Like we said earlier, the temporarily reversed covariance between yields and equities may push equities higher. We are therefore adding more equity longs conditional to further declines in yields, which is equivalent to equity futures making a higher high from here.
robert.p.balanModeratorLeaderOwnerFeb 18, 2021 7:33 AM
all PAM 144 CONTRACTS OF ESH1 AT UPSIDE BREACH OF 3940, GTC -- FOR ALL FUND INC TRACKER AND EIGER
Back at Europe open
robert.p.balanModeratorLeaderOwnerFeb 18, 2021 8:36 AM
Lets put a trail stop to the long YM trade.
all PAM SELLS 144 CONTRACTS TO EXIT LONG YMH1 TRADE AT BREACH OF 31,440, GTC -- FOR AL FUNDS, INCL TRACKER AND EIGER
robert.p.balanModeratorLeaderOwnerFeb 18, 2021 8:57 AM
all Modify the YMH1 trail stop threshold to 31,420 (from 31,440) -- GTC -- ALL FUNDS
bogeygolfFeb 18, 2021 1:07 PM
*Possible reason why the Fed started talking down the long end yesterday and Yellen gave the 55B to PD* "The divergence between eq and rates vol widened significantly. The 3m10Y swaption vol went through 70 bps yesterday as wrong-footed positioning triggered option-driven selling. Vol is becoming sticky in rates, and that’s worrying. The 1.3% level will trigger more convexity.
Related hedging from MBS investors. So we are at a v significant escalation threshold, which explains why the Fed started talking the long end down. 2 other moves lead me to believe that we might have a short-term rally/respite in rates: a- vol seem to have migrated to FX.
With the sharp move in the $, probably reflecting some yet to be accounted for flows into UST given the super high yield pick-up for Europeans and Jap. b- breakevens spread to inflation swaps has gone through an important level => breakevens likely to pause/relax a bit.
Still a treacherous environment and the bias remains tilted towards some more rates vol medium term. The move so far was very dramatic across all markets (see the EU30Y interest rate swap) and will need to be absorbed
One of the reasons the Fed might be watching closely is that MBA applications have been pressured by the recent steepening. So far, it’s only taking some of the excitement out but beyond 2.2% on the 30Y might start becoming more problematic for the housing recovery.
The divergence between eq and rates vol widened significantly. The 3m10Y swaption vol went through 70 bps yesterday as wrong-footed positioning triggered option-driven selling. Vol is becoming sticky in rates, and that’s worrying. The 1.3% level will trigger more convexity
— a h (@alexharfouche1) February 17, 2021
gwizz1Feb 18, 2021 1:40 PM
The TGA balance reduction from $1.6tr to $500bn by mid-2021, increasing the amount of reserves by $1.1tr by mid year. The collapse in short-term rates has front-run this. Bill and repo rates can trade negative and money funds may turn away inflows, as they won’t invest at negative rates. U.S. dollar Libor-OIS spreads may reach zero. What is the implications if this were to happen? Robert has previously said that the Fed can use Reverse Repos to remove excess liquidity from the banks. Will this flatten the yield curve (bringing LT rates down) and reduce equity prices (through tightening of systemic liquidity) or increase equity prices because all these funds will not want to go into negative yielding vehicles?
Alan.LongbonFeb 18, 2021 2:47 PM
If they use reverse repos that is at the lowest end of the curve and will maintain its steepness from low to high so has no flattening effect . I personally think the Fed is going to have to back track on the silly things it has said and sell bonds to absorb reserves in the normal way. Just yesterday the treasuries went up over $100B.
Alan.LongbonFeb 18, 2021 2:48 PM
Alan.LongbonFeb 18, 2021 2:48 PM
Say one thing and do another.
gwizz1Feb 18, 2021 3:44 PM
They will have to uncap and extend SLR which is a shame. But shows that system is living on temporary measure rollouts.
Alan.Longbon Cannot force open - yes long and short the same qty of a position will net position to 0. You can test with a simulation account.
If you long and short ES vs MES it will give you back your collateral requirement to use elsewhere
robert.p.balanFeb 18, 2021 4:00 PM
Extending or enhancing the SLR will lead to negative deposit rates.
robert.p.balanFeb 18, 2021 4:03 PM
That is a catastrophe (not in Europe, but hey, the Fed said no negative rates in the US).
RM13Feb 18, 2021 4:08 PM
Can the fed simply uncap RRP facility limits?
"We expect U.S. dollar Libor-OIS spreads to reach zero by June, with risks to the downside."
robert.p.balanFeb 18, 2021 4:12 PM
That's the most relatively pain-free alternative Rafa. Straightforward as well. The Big Banks are all chock-full of cash (but they do not want to lend to just anyone)
But they will lend to the Fed.
RM13Feb 18, 2021 4:14 PM
Zoltan put out a note of warning ahead of Sept 19 repo issue, Fed listened; Powell will go down the route of least resistance.
john.derFeb 18, 2021 4:19 PM
Everything getting sold this morning and VX going nowhere.
RM13Feb 18, 2021 4:29 PM
spot VIX up 8%, vxx can't go up that much since VIX term structure has significant contango.. VXX can only really start going up after its in the plateau phase of structure.. VXX has a 20% tail wind in a month
RM13Feb 18, 2021 4:38 PM
Well, half of that contango structure has been erased.
john.derFeb 18, 2021 4:39 PM
Any idea on typical timeframes for it to go from contango to inversion?
RM13Feb 18, 2021 4:42 PM
It varies, but your risk reward in VXX is limited when contango is high, especially over 20%...
Look at how VXX behaved in November 2020, when everyone loaded up on VIX structured product, this is repeating, retail is loading up in recorded numbers. What this means - you want to be on the tailwind of this, when it unwinds, both VXX and equity wise.
john.derFeb 18, 2021 4:44 PM
Started a small UVXY call position yesterday.
RM13Feb 18, 2021 4:52 PM
If retail repeats GME load up on VIX products, without understanding how they work, first the tail will wag the dog, and then dog will shake out VIX players, as we slide down vol curve, SPY 420 plus..
Morgan Stanley Warns Record Flood Of Retail Investors Is Buying The VIX, Could Trigger Huge Squeeze
"$2.2bn of new shorts in VIX futures have been initiated YTD and these shorts are at risk of being caught offsides on a rise in volatility."
gwizz1Feb 18, 2021 4:17 PM
Do US 10 YR yields going UP push equities DOWN or vice-versa? (under this new temporary correlation).
robert.p.balanModeratorLeaderFeb 18, 2021 4:21 PM
Right now there is negative correlation because the equity markets were scared shitless when the yield hit 1.3%. But it will revert to normal once yields come off -- equities have done celebrating -- and further declines in yield will bring the stock markets lower too.
Here is something you should be aware of -- Reverse Repo is a natural sink for Treasury Cash Balance -- it is frequently used -- although not in a big way as sopping up more than $1trillion flows from the TCB in less than 4 months.
The long bond yield trails that process by one month, as does the equity markets -- but term (money) market rates will respond immediately. That's the usual lead of short term rates over the long bond yield.
In other words, the long bond yields and equities will fall after a lag.
That is why Gold will soar. PAM will start building a significant position on long Treasuries.
RM13Feb 18, 2021 9:24 PM
Theoretically equities then should go down, correct? How much of a delay in transmission through this mechanism?
robert.p.balanFeb 18, 2021 9:42 PM
I am still working on this part, Rafa. TCBs falls and the ratio of Bank Reserves rises -- that is usually good for equities. We can have falling yields and rising equities, is the easy but probably not correct answer. I will come back to you on this one.
RM13Feb 18, 2021 9:45 PM
Looking forward to the answers.. If money is unleashed into the economy, I presume all assets could go up, as my simplified way of thinking.
TimK123Feb 19, 2021 2:12 AM
+1, would be good if there is a 'figure-outable' relationship between the TCB, and BRs, dollar and equities going forward in relation to this, as recently it seems like there has been a strong negative correlation between the dollar and equities so if that link holds then would be a nice thing possibly for planning.
FWIW I thought the dollar might be starting another downward phase having done an ABC and now a 5 waves down it seems, I posted an idea in the EW section. Thanks.
RM13Feb 18, 2021 4:46 PM
Robert, in agreement, positioned appropriately, long TLT, since yesterday. I anticipate gold and silver both to go up, soon, in fact silver has had better support than gold.
robert.p.balanModeratorLeaderFeb 18, 2021 4:59 PM
I worked out these relationships abut a week and a half ago, and showed it to the Bossman. He asked me if I have made this pubic, and I said, yes, I did, to the PAM community. He suggested I should not write about it. And I said I have no intention of doing that, but it is bound to get out anyway. We are a United Nations at PAM -- a lot of institutional members of the community, but they are very quiet -- which we all prefer for it to stay that way.
john.derFeb 18, 2021 5:06 PM
... and just like that, bonds and equities are positively correlated, lol.
Brent.ChavezFeb 18, 2021 6:33 PM
RM13 would it make sense to be long the VIX???
RM13Feb 18, 2021 6:48 PM
It would, but I would be long through micro futures like VXM.. If you are long VIX through ETFs like VXX and UVXY, you are fighting the rollover curve these structures take, to the tune of 10% plus a month now..
There are times when the rollover structure doesn't hurt you as much - September 2020 comes to mind..
Brent.ChavezFeb 18, 2021 6:57 PM
OK,TY! As I am only an ETF er!
RM13Feb 18, 2021 6:58 PM
That doesn't mean you can't make money being long VXX or UVXY, it's just harder now..
flamarkFeb 18, 2021 11:02 PM
Robert, We've had a about a 10 day / 10% correction in Biotechs, and you are looking for market top soon. Any comments on Bio's in particular? The 2019 (which you mention) and 5year avg SOMA look like they are close to a bottom. The selloff occured during a bullish seasonal period.
robert.p.balanFeb 19, 2021 10:59 AM
Mr. TK re-calibrated the XBI and LABU to the current movements of the 2019 Treasury Balance Model, to adjust to the MOTUs current frontrun, which has compressed a few days. And we now have a better fit (see chart below).
robert.p.balanFeb 19, 2021 11:02 AM
The re-calibrated model is suggesting a few days of uptick in the Biotech space --which is consistent with the outlook in equities, in general.
That is further corroborated by a regression of the covariance among yield, SPX, VIX (inverse) and XBI (see chart below).
robert.p.balanFeb 19, 2021 11:11 AM
I am putting this chart in the PAM Analytics channel.
jadejetFeb 18, 2021 11:41 PM
Here is a look at the NDX (IXIC) on the minute candles over the past 3 days. Notice that from when the NDX peaked each day of the three formed near identical triplet inverse island bearish formations consecutively. Each day is traded similarly. The stock is hammerewd down in rapid bursts the first few hours but then it rises laboriously with a lot of dips to shake day traders out one sweatful dip at a time to an ending daily high. However each day the market ends lower than the previous. Can this market repeat the same pattern tomorrow. It looks like a MOFU controlled demolition.
Oil got rattled today and gold is under shake-down. Today's daily pattern nearly mirrored yesterday's. Shorting the close, then going long near Cinderella time (12) and sell near the close and go short again at the close is the best way to trade this pattern. It may not repeat tomorrow but I suspect such a pattern will show up again. Maybe it's a plunge protection team thing. lol Or maybe nothing at all. lol
TimK123Feb 18, 2021 11:51 PM
Nice thoughts. My take is that when futures drive down prices overnight they spend the daytime trying to close the gap in the indices ETFs - QQQ, SPY, IWM, and that can be a quick affair or if not they will keep grinding away at it all day (and might fail to close it). It's almost like the period from April to June 2020 (from memory) when gap-ups were frequent, but in reverse.
Will see what tomorrow brings I guess. I am not sure a sustained collapse is underway but time will tell.
SPY closed the gap yesterday but not today FWIW. Whether that shows a lack of buying able to push the price up I am not sure. I was looking at the dollar and it looks like it might bounce tonight briefly so that could cause a bit more weakness tomorrow.
TimK123Feb 18, 2021 11:58 PM
The ES chart shows what could be a W3/W4 underway though so I'll reserve judgement (or could be an ABC with a long C).
TimK123Feb 19, 2021 12:01 AM
The RSI at the low didn't have any great divergence though so my gut feel is that there might be a bit more selling to come.
dschultesFeb 19, 2021 12:53 AM
jadejet I have a theory as to why this pattern is repeating. Typically speaking, dealers hedge the large number of SPX puts they've written by shorting ES and NQ futures. As the puts decay (both due to charm and vanna), dealers buy back hedges fairly mechanically. Algos know this and front-run the process, typically near the beginning of the Euro session overnight. That's one reason so much of the market's return comes from gaps, especially over long weekends. As Cem Karsan and others have pointed out, due to opex and quirks of dealer positioning/hedging we are currently in a vanna vacuum. Those typical positive flows will not generally be present for another week or more.
Dealers know the typical overnight support flows from the options market aren't currently present, so they easily dump futures on light volume (alongside HFs, etc), pick up inventory in the mid-late morning. Dealers can ignite demand by withholding supply. Btders step in buying calls, price begins to slowly improve and accelerate to the upside, dealers hedge gamma on momentum calls they've written, and shorts that chased price have to cover the whole way up. Dealers then dump inventory in the afternoon to retail, ready to repeat the process during this window. I wouldn't be surprised if we pullback again tonight to rinse and repeat the process into opex tonight.
flamarkFeb 19, 2021 10:28 AM
Russell outperforming in this 4AM leg.. is this the rotation RB was looking for?
robert.p.balanFeb 19, 2021 11:24 AM
If yields fall significantly, as we expect, Russell will underperform. RTY outperforms when yields are rising. The Coefficient Correlation between the long bond yield and Russel suggests this is particularly true when the long bond is below 1.5%.
flamarkFeb 19, 2021 11:46 AM
Thanks..
robert.p.balanModeratorLeaderOwnerFeb 18, 2021 2:28 PM
PAM MODIFIES THE SELL THRESHOLD OF DXH1 TO 90.75 (FROM 90.50)
*This order was filled.*
*DXH1 -- DONE AT 90.74 SOLD 288 CONTRACTS DXH1 TO EXIT SCALPER LONGS -- ALL FUNDS INCL TRACKER AND EIGER*
robert.p.balanModeratorLeaderOwnerFeb 18, 2021 2:35 PM
Modify the trail stop threshold to 31,420 (from 31,440) -- GTC
*This order was filled.*
*YMH1 --- DONE AT 31,418 -- SOLD 144 CONTRACT YMH1 TO EXIT LONG YM SCALPERS FOR ALL FUNDS, INCL TRACKER AND EIGER.*
robert.p.balanModeratorLeaderOwnerFeb 18, 2021 3:54 PM
Market rotating back to RTY. with the back up in yields
Maybe yields have just completed a wave 2So we reset YM longs.
robert.p.balanModeratorLeaderOwnerFeb 18, 2021 8:26 PM
all PAM BUYS 144 CONTRACTS OF YMHI SCALPERS AT 31,385 LIMIT OR BETTER OR AT BREACH OF 31,490 OCO, GTC -- ALL FUNDS INCL TRACKER AND EIGER
vm12953Feb 18, 2021 8:30 PM
what about RTY Robert, you just mention it?
robert.p.balanModeratorLeaderOwnerFeb 18, 2021 8:32 PM
PAM 144 CONTRACTS OF ESH1 AT UPSIDE BREACH OF 3940, GTC
Modify to:
all PAM BUYS 144 CONTRACTS OF ESH1 AT UPSIDE BREACH OF 3920, OR AT 3903, LIMIT OR BETTER, OCO GTC ALL FUND INCL TRACKER AND EIGER
VM -- RTY is underperforming again, but we will include it if it starts perking up.
vm12953Feb 18, 2021 8:35 PM
TY
FEBRUARY 19, 2021
GOOD MORNING EUROPE / GOOD EVENING WEST COAST
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 10:35 AM
Just got back from XXX staff meting.
*Orders were filled.*
PAM BUYS 144 CONTRACTS OF YMHI SCALPERS AT 31,385 LIMIT OR BETTER OR AT BREACH OF 31,490 OCO, GTC
*This order was filled.*
*YMH1 -- DONE AT 31,384 BOUGHT 144 CONTRACT YMH1 FOR ALL FUNDS INCL TRACKER AND EIGER.*
PAM BUYS 144 CONTRACTS OF ESH1 AT UPSIDE BREACH OF 3920, OR AT 3903, LIMIT OR BETTER, OCO GTC
*This order was filled.*
*ESH1 -- DONE AT 3902.25 BOUGHT 144 CONTRACTS OF ESH1 FOR ALL FUNDS INCL TRACKER AND EIGER.*
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 11:34 AM
*NQ is now catching up to the ES and YM, now that yields look to be softening.*
all PAM BUYS 144 NQH1 LONG SCALPERS AT 13,665, LIMIT OR BETTER, OR AT BREACH OF 13,700, FOR ALL FUNDS, INCL TRACKER AND EIGER
Manu.PFeb 19, 2021 11:37 AM
at breach of 13700 ?
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 11:38 AM
Yes, Manu, thanks
xav_05Feb 19, 2021 11:45 AM
Hello Robert, how do you see the NQ EWP for this trade . Thank you.
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 11:46 AM
Too soon, xav. As soon as we got enough data, we will do that.
bogeygolfFeb 19, 2021 12:26 PM
US Treasury is doing another debt paydown next week of 41B. In other words, Yellen saw rates go up yesterday when stocks went down and doubled down. That's now 96B from TCB flowing to the dealers next week
vlad.4649Feb 19, 2021 12:35 PM
Hi Bogey, what paydown exactly is this? Regular payment of maturing bills/notes/CMBs or else? Could you share a link please?
flamarkFeb 19, 2021 12:30 PM
RB, I track the equity futures (the Russell is my index of choice as it tracks closets with Biotechs) along with gold and oil on 3 minute charts, while tracking their correlations and correlations with rates. Surprisingly oil appears to be the best leading indicator for all the equity indices. Oil is the blue-grey indicator below the others. Interest rates on a real time basis go in and out of correlation all the time, I cant use them. Thanks for providing the Biotech/Rate covariance chart. That looks like something tradeable.
robert.p.balanFeb 19, 2021 1:02 PM
Crude Oil synchs with XBI on NY Close basis, but lags behind SPX and VIX inverse by 1 day -- so oil lags behind the 10yr yield by 3 days, as does the XBI.
robert.p.balanFeb 19, 2021 1:03 PM
I have added oil to the chart at the PAM Analytics.
jadejetFeb 19, 2021 2:52 PM
dschultes Thanks for the input. Your theory merits further observation. The shorts should cover quicker and go long at the point of clear candlestick reversal from a freefall in price. But then holding long requires patience and not to react too quickly and cover in any one of the continuous dips on an overall upwards trajectory. The train leaves the station carrying fewer and fewer passengers on that slow upwards trajectory ever so aware of that possible freefall to the downside. The trip down is fast and furious but the climb is slow and wavy. Time to lock and load nears. Thanks again.
flamarkFeb 19, 2021 4:07 PM
Russel (Green) and XBI (Purple) regain correlation with Yields
flamark
Never a dull moment..
robert.p.balanModeratorLeaderFeb 19, 2021 4:19 PM
RM13 -- You asked: "Theoretically equities then should go down, correct? How much of a delay in transmission through this mechanism?" .
Answer: about four to five weeks.
flamarkFeb 19, 2021 5:07 PM
I'm trying to keep up. I'm also concerned about your near term top. With equities resyncing with rates, do you think we might be rotating back into RTY/Biotech? and would it be logical based on your Covariance to look for this a run up in biotechs or are we too close to a top.
robert.p.balanModeratorLeaderFeb 19, 2021 5:09 PM
Absolutely mark -- XBI may have 3 to 4 up days from the way it looks in the model
flamarkFeb 19, 2021 5:09 PM
Thanks
henry.riveraFeb 19, 2021 5:21 PM
robert.p.balan Robert, at what point aprox. in time suggests exiting the position tied to ETF purchases(SPXL)
robert.p.balanModeratorLeaderFeb 19, 2021 5:23 PM
When we exit the futures position HH -- no idea yet when -- we may just be getting started -- I don't want to jinx it by saying something stupid like 31,800 for YMH1-
pa292Feb 19, 2021 5:26 PM
Robert : almost ready to buy TN June 149.10 ?
robert.p.balanModeratorLeaderFeb 19, 2021 5:30 PM
I really prefer to see a top out in yield before going long, The transition in a top out is very messy. I will use the margin capital where I have more understanding of what is happening.But don't let that put you off -- it's just my style. Go ahead and do it if you are having a good sense of what is going on in the bond market.
jadejetFeb 20, 2021 12:16 AM
Well folks it was exactly one year to next Monday that the NDX fell 1,500 pts in 5 days (15%) and 3,175 pts in 20 trading days from a top of 9,850 pts. (33%). Look at the first three weekly candles from last year and how identical they are to the most recent 3 week candles. It all started with a 500 pts drop on this Monday's one year ago Monday. lol. Can you hear it (war drums)? can you see it (Desert Storm)? and feel it?(fear) OK so maybe I just stick to the facts. lol
TimK123Feb 20, 2021 12:22 AM
Spooky thought. I won't say the C-word, but the C-word is understood a bit better now so not going to cause panic selling unlike last year. the end of Feb. was when markets panicked and sold first, asked questions later. So maybe a bit more stable this time around, or maybe not...
I can't smell it yet but let's see, perhaps it will rhyme this year.
jadejetFeb 20, 2021 12:52 AM
TimK123 I just want to be ready for it mentally. The correction moved so fast it left without me the last time even though I thought I was ready for it. I cannot permit this to re-occur. Getting in quickly I think is key so as not to be stuck by the temptation to chase it way down. In any case, awareness is preparedness. Later Tim.
TimK123Feb 20, 2021 1:24 AM
Yes true, BTD doesn't always work. It was a sad day last March when I sold everything and went short and bought a load of VIX, but proved to be the right thing to do afterwards. Train wreck dumps can be fast and furious. I am not seeing the spark for that type of collapse right now but you never know.
salmixFeb 20, 2021 11:03 AM
The difference is that last year we had an incoming pandemic with a fatality rate that was then estimated to be 8% of cases. All this made the March crash fairly predictable.
surfinusaFeb 21, 2021 2:48 AM
It doesn't have to be pandemic related. It could just be the money pump losing pressure. And the desire to de-risk so as to re-enter at lower risk levels.
henry.riveraFeb 19, 2021 1:37 PM
robert.p.balan , are indices likely to make new highs with this wave of yields? I remember you said yesterday that yields have probably already made the TOP. How many days approx. should the market(equity) also confirm that top?
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 1:39 PM
Maybe in 2 to 3 days HR.
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 2:16 PM
PAM BUYS 144 NQH1 LONG SCALPERS AT 13,665, LIMIT OR BETTER, OR AT BREACH OF 13,700,
*This order was filled.*
*NQH1 -- DONE AT 13,702 BOUGHT 144 CONTRACTS OF NQH1 SCALPERS FOR ALL FUNDS, INCL TRACKER AND EIGER*
Yields and equities correlating positively again!
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 5:09 PM
There is now enough daylight between market and long acquisition, to put in trail stops
matsea
Bottom line: Is it still a good idea to buy NQ now?
robert.p.balanFeb 19, 2021 5:24 PM
Mat -- I suggest the RTY instead
matseaFeb 19, 2021 5:27 PM
Thanks!
matseaFeb 19, 2021 5:45 PM
How high should I expect things to go? I'm quite new here and while I do want to work on actually understanding the reasoning and not blindly buying, in this concrete case I guess I need some more guidance
robert.p.balanFeb 19, 2021 5:48 PM
Frankly mat -- I would like to give you one but we do need price data to make some projections. I have yet to reach that higher state of thinking when I can make projections out of thin air. Not mocking you -- I am saying that as a fact. That exactly what I told another member at the Nexus just now.
matseaFeb 19, 2021 5:50 PM
Oh no worries, I don't feel mocked. Trading futures is new to me and I have some money set aside for it to learn. I'll stick around and will eventually get there. Thank you.
robert.p.balanFeb 19, 2021 5:51 PM
Thank you, and good luck!
all PAM PUTS INITIAL STOP ON LONG YM SCALPERS, SELLS 144 CONTRACTS TO EXIT LONG YMH1 SCALPERS AT BREACH OF 31,385 (BREAKEVEN), GTC -- ALL FUNDS INCL TRACKER AND EIGER
all PAM PUTS INITIAL STOP ON LONG ES SCALPERS, SELLS 144 CONTRACTS TO EXIT LONG ESH1 SCALPERS AT BREACH OF 3903 (BREAKEVEN) -- ALL FUNDS INCL TRACKER AND EIGER
User.49362576Feb 19, 2021 10:11 PM
GE, Robert. Could you clarify if PAM would continue keep YMH trail stop in place (all PAM PUTS INITIAL STOP ON LONG YM SCALPERS, SELLS 144 CONTRACTS TO EXIT LONG YMH1 SCALPERS AT BREACH OF 31,385 (BREAKEVEN) -- ALL FUNDS INCL TRACKER AND EIGER)? Thanks.
vjapnFeb 19, 2021 6:15 PM
Robert, The 30 year bonds are currently trading at 163 5/32. The 163 calls expiring on Feb 24th, are about .26 cents and the 163 puts are $1.60. That is a huge difference. You think MOTUs know something coming down the pike?
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 6:52 PM
All I can tell you is that the MOTUs have been buying these past three days, as the central banks started to grab as much long-duration paper that they can get.
The MOTUs are frontrunning the central banks, and PAM.
Albert.FoodFeb 19, 2021 8:35 PM
Does that mean PAM intends to buy long duration bonds soon?
Never mind. Saw your commentary on the nexus waiting for a top to occur in yields.
robert.p.balanFeb 19, 2021 8:37 PM
We will have a look on Monday Mr. Food -- after this OpEx foolishness.
Albert.FoodFeb 19, 2021 8:37 PM
got it. thanks
erluluFeb 19, 2021 7:06 PM
Can you comment on the big difference in price between NQ and RTY?
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 7:09 PM
Yields are rising -- good for value sector, bad for high tech which lives off junk bonds, which become less attractive as IG yields higher.
10xx6dbFeb 19, 2021 7:16 PM
looks like stop on long ES scalpers may have been triggered.
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 7:17 PM
I wait for the XXX boys to tell me --
Yes done, taken out.
PAM PUTS INITIAL STOP ON LONG ES SCALPERS, SELLS 144 CONTRACTS TO EXIT LONG ESH1 SCALPERS AT BREACH OF 3903 (BREAKEVEN*This order was filled.*ESH1 -- DONE AT 3902.50 SOLD 144 ESH1 TO EXIT LONG ES SCALPERS AT BREAKEVEN -- FOR ALL FUNDS, INCL TRACKER AND EIGER.*
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 7:37 PM
I am not going to reset log ES today due to OpEx -- We will probably do it Monday, if we still get cheaper valuations.
XXX boys said the Prime Broker targeted PAM's stop, which includes the Joint Account's.
10xx6dbFeb 19, 2021 10:10 PM
Thanks Robert. Have a great weekend.
robert.p.balanModeratorLeaderOwnerFeb 19, 2021 10:12 PM
4936 -- the order is now GTC
GN everyone. I will see you in Asian trade.
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---------------------------------------------------------------------------------------- Here is the current status of the PAM flagship Swing Fund, which includes open and closed trades.
During the twelve months of 2020, PAM delivered phenomenal real-dollar Hedge Fund trading performance, the best at Seeking Alpha:
PAM's flagship Swing Portfolio, year-to-date (December 31, 2020) delivered $100, 181,522.77 net profit on $11,172,813 margin capital.
Year-to-date performance: 860.27%, on 888-98 win-loss trades.
January 2021 spreadsheet here:
Year to date 2020 spreadsheet here.
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