The Weekly – Volatility is BACK!
Volatility is back. The S&P moved more than 1% on 4 of the 5 days, had the biggest down day of the year, and even the least volatile day was a 0.7% move. Back on April 5th, we saw a warning sign in the credit markets that the bid/offer spread for European CDX indices […]
What the TF? The real source of IG9 mispricing.
Okay, I can’t listen to anything more about IG9 10 years being “mispriced” or “distorted” or manipulated. Maybe it is, but let’s look at the facts. There are three distinct markets at work here, the CDX index market, the tranche market, and the single name CDS market. The fact is that IG9 10 year is […]
The T Report: Voldemort, Volcker, and Magic
Yesterday’s move seemed almost magical. Yellen spoke and the markets levitated overnight. Jobless claims were a big disappointment. Revisions hit the prior week’s number and yesterday’s number was much closer to 400k than to the almost mythical 350k the market had become used to expecting. The magic of BLS revisions have ensured that although numbers […]
One HY Bond’s trades on One Day
Blackrock announced a new platform to allow customers to trade bonds directly. It is not very detailed, but from what I know, it is targeting corporate bonds, and HY bonds in particular. There seems to be a lot of discussion of whether or not this is necessary, useful, or will succeed. I am not sure […]
The T Report: Yellen, Italy, and Volcker
A dull, but positive start to the day. Stock futures are above yesterday’s highs and credit is performing very well. The IG18 index is trading at 100.5 which tighter than it got at any time yesterday and seems to be the big outperformer so far. The Italian bond auctions seemed okay, at best, yet the […]
TFMkts – Best Ideas Updated and Fixed Income Allocation Change
Sell HYG. I remain nervous about the market. This trade was a small loss 89.35 vs 89.15, but I am just not comfortable with the market and the issue of it switching to a discount from a premium. Take the “fixed income allocation” back to 15%. Cover 5 year Spain versus 5 year Italy […]
The T-Report: The Danger of HY ETF’s Trading at Discounts to NAV
Alcoa helped the markets bounce back after the close, and some indications that the ECB may start buying bonds again helped the market even more. One company’s earnings don’t make a trend, and I am still concerned that earnings will be mediocre at best. Spanish bonds are already off their highs, and CDS never really […]
TFMkts – Best Ideas – New Trades – Adding Shorts
Fading this rally: Short IG18 at 102.75. Buy protection on IG18. Short ES (S&P) at 1367.5. Getting back to an aggressive short position. Fading yesterday’s rally worked, and even with the overnight futures move, the Italian CDS trade from yesterday morning is unchanged, and the Nasdaq (QQQ) short is still in the money. Time […]
TFMkts – Best Idea Trade Updates
Cover SPX Short. Buy futures at 1362. Cover IG18 short, sell at 104.25. Still short QQQ, Italy, and Spain. Remain long HYG. Still clinging to hopes that AAPL stops defying gravity. On a “process” note, this e-mail/bloomberg was sent to a list of people who I think want to receive best idea updates. If you […]
What the TF: Fixing Broken CDX Indices – It’s NOT Rocket Science
While everyone is talking about “broken” indices, let’s look at 5 ways to fix it. Some are very easy, some are more difficult. Exchange Traded Force all the indices on to exchanges with standard collateral provisions. It will be hard to avoid some off-exchange trades, but this would be a big step in terms of […]
