Macro/Abs Return PM
'We are what we repeatedly do. Excellence is not an act but a habit' - Socrates
'Control the tails, trading is a marathon, not a sprint'
Jan 18 • 5 tweets • 1 min read
Tue 30/1 QRA informal release
Wed 31/1 Fomc
As it stands the Fed tied the need to start tapering based on the level of reserves RRP, also flagging liquidity risk the market due to incoming bank ratios SLR improvement
US Treasury issuance mix will affect both RRP and SLR 1/
If US Treasury keeps issuance skewed to bills, the most impact will be felt on RRP as mkt participants will use RRP money to buy tbills
This could further reduce RRP level, push the Fed to announce QT tapering sooner than expected 2/
Feb 15, 2023 • 14 tweets • 3 min read
Kolanovic warning abt volmageddon 2.0 and history rhymes seems inappropriate
Also his dissertation abt 0DTE being sold doesn't show evidence. Just allegations not supported by facts
Intraday vol actually is going UP (not down as Kolanovic says
14 +/-1% swings intraday 1/
This is the market BUYING 0DTE and forcing dealers to chase the market up or down
But 0DTE traders monetize quickly, causing the reversal (dealers chasing to close hedges)
Result: spx hypervolatile intraday but unchanged close on close, realized vol down Vs intraday vol up
May 14, 2020 • 4 tweets • 1 min read
To new traders:
1. Yest wasnt a correction to buy&hold
2. Trade/invest tiny size
3. If planning to hold o/n, keep ample spare liquidity on trading accounts to allow for large o/n swings
4. Don't chase most beaten down names, they won't rise more cause they dropped more
5. Use free time (usually weekends) to plan the structure of your portfolio (names you like, etc)
6. Focus time and energy on few areas (there are no "everything-experts")
2017-2018 created very bad USD conditions for non-US investors as G10-USD xccy basis widened to get deeply negative (ie. Increasing high USD hedging cost and cost of funding)
That spilled over into EM corps and EU banks 1/@Fdrcmln In extremely simple terms, all else being equal, the more negative the xccy basis, the higher the need to buy USD to fund USD liabilities (very bad for EM corps and EU banks with high liabilities in USD), hence USD strengthens vs other FX 2/
This is the market BUYING 0DTE and forcing dealers to chase the market up or down