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Old 01-20-2018, 01:33 AM   #76
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Re: BFI Macro and Events Thread

Last shutdown was 10/1-10/16 in 2013, and markets didn't seem to behave out of the ordinary. And today markets were totally oblivious to shutdown uncertainty.

How close are we to the debt ceiling? The debt ceiling was reached in Aug 2011 and causing a memorable selloff.
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Old 01-20-2018, 12:07 PM   #77
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Re: BFI Macro and Events Thread

http://paststat.com/blog/government-...own-what-next/

To be fair, in the 1970s there were some sell-offs during shutdowns.
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Old 01-20-2018, 12:41 PM   #78
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Re: BFI Macro and Events Thread

Quote:
Originally Posted by BrianTheMick2 View Post
http://paststat.com/blog/government-...own-what-next/

To be fair, in the 1970s there were some sell-offs during shutdowns.
Are we looking at the same data? 70s aren't mentioned here (they were hugely negative), but even excluding them, 1 day returns after shutdown are quite negative in most years. 2 day returns are negative except in the early 80s, when P/Es were 5, rates were dropping fast, and we were rallying hard off the bottoms of a prolonged bear.

Overall the average return is negative for days out - despite all of these being bull markets I believe.



The only thing the graph indicates is that you should sell at the end of the day on the shutdown day and buy 5 days after the shutdown begins if the market has sold down during the shutdown
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Old 01-20-2018, 01:05 PM   #79
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Re: BFI Macro and Events Thread

Quote:
Originally Posted by ToothSayer View Post
Are we looking at the same data? 70s aren't mentioned here (they were hugely negative), but even excluding them, 1 day returns after shutdown are quite negative in most years. 2 day returns are negative except in the early 80s, when P/Es were 5, rates were dropping fast, and we were rallying hard off the bottoms of a prolonged bear.
I'm looking at % SPX returns. Not sure what data you are looking at.

All the data says is that there is no bet to be made.
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Old 01-20-2018, 01:32 PM   #80
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Re: BFI Macro and Events Thread

It does? To me data says that if you're up <1% at T+5, buy

Did you notice the all green T+10 and T+20?

If you reject that there is a trade to be made here on this data, then you reject that this amount of data provides tradable signals full stop. In which case, why didn't you just say that rather than claim "the data says there is no bet to be made"?

You've checkmated yourself. You'd be hard pressed to find a stronger signal in a data set this size than "buy at T+5 days unless the market is up over a percent".
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Old 01-20-2018, 01:50 PM   #81
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Re: BFI Macro and Events Thread

Ummm. Don't torture the data.

Here is generally how I make judgments on things like these: Are you actually planning on making a market bet if we are up less than 1% on this coming Friday? If not, I want to know whether this will be because you 1) dislike money or 2) don't actually think there is a bet to be made.
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Old 01-20-2018, 02:08 PM   #82
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Re: BFI Macro and Events Thread

3) A couple of percent is clown money
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Ummm. Don't torture the data.
So you agree that this amount of data is too small to draw conclusions from? Because we have one of the strongest signals possible in data this size,and you're saying it's nothing. Hence my point.
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Old 01-20-2018, 02:13 PM   #83
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Re: BFI Macro and Events Thread

It is not significant imo
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Old 01-20-2018, 02:14 PM   #84
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Re: BFI Macro and Events Thread

SPY calls are damn near free so you are looking at a few hundred percent, not a couple of percent.

Is a few hundred percent clown money?
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Old 01-24-2018, 02:53 PM   #85
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Re: BFI Macro and Events Thread

Does anyone have a handle on what's going on with USD weakness and a 3% gold/silver rally today? Those are big moves. Not seeing the catalysts but haven't been keeping up with macro.
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Old 01-24-2018, 03:26 PM   #86
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Re: BFI Macro and Events Thread

Quote:
Originally Posted by ToothSayer View Post
Does anyone have a handle on what's going on with USD weakness and a 3% gold/silver rally today? Those are big moves. Not seeing the catalysts but haven't been keeping up with macro.
Probably this:
https://www.cnbc.com/2018/01/24/a-we...chin-says.html

But Wilbur Ross later clarified that Mnuchin was not trying to force a weaker dollar, and that they expect to have a strong USD policy.
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Old 01-29-2018, 11:41 AM   #87
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Re: BFI Macro and Events Thread

Market is reacting quite strongly to this, which is just out 5 minutes ago:

Goldman Sachs sees 'high probability' of a stock market correction in the coming months
Quote:
"Whatever the trigger, a correction of some kind seems a high probability in the coming months," Peter Oppenheimer, chief global equity strategist at Goldman Sachs, wrote Monday.
The S&P 500 has entered the longest period since 1929 without a correction of more than 5 percent, the strategist explained.
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Old 01-29-2018, 04:50 PM   #88
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Re: BFI Macro and Events Thread

Quote:
Originally Posted by ToothSayer View Post
Market is reacting quite strongly to this, which is just out 5 minutes ago:

Goldman Sachs sees 'high probability' of a stock market correction in the coming months
What's special about it? Articles like this come out every week

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Old 01-29-2018, 05:06 PM   #89
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Re: BFI Macro and Events Thread

Comments like this from Sachs tend to move the market short term.
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Old 01-30-2018, 01:02 AM   #90
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Re: BFI Macro and Events Thread

No way a canned CNBC article like is pushing the market like this. As as an aside, I remember watching CNBC in the gym and Goldman saying "we see the markets climbing higher and higher into the coming years" a week before the Aug 2015 crash.

If I had to point to a new event, I see the suspicious early resignation of McCabe has having a larger impact on markets. More medium term, I see the velocity of short term rates (and equities), e.g. 5-yr yields hitting 2.50% today, levels not seen since 2010/2011, as having a larger impact on markets. More longer term, I see the weakness in the dollar may prompt China to take devaluation action, as we approach 2015 levels. Now whether these items will put in a dent in the unbridled optimism is something left to see.
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Old 01-30-2018, 01:15 AM   #91
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Re: BFI Macro and Events Thread

The later selloff was mostly bond yields of course, as is the after hours dumping. Had a real panic starting at 9:10pm, wiped half a percent off SPX futures in 5 minutes.

It'll be interesting to see if it stabilizes. Guys who can read this stuff make big money. I have no clue.

Last edited by ToothSayer; 01-30-2018 at 01:28 AM.
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Old 01-30-2018, 01:35 AM   #92
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Re: BFI Macro and Events Thread

Intersting to note vix was up 2 bucks even as s&p were only down 6. Definitely an unusual move in the vix over the past year. Vol has been crushed every time its creeped above 11
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Old 01-30-2018, 01:35 AM   #93
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Re: BFI Macro and Events Thread

The bond thing is kind of interesting. Not a lot of places to run when bonds, commodities and stocks fall at the same time.
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Old 01-30-2018, 02:02 AM   #94
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Re: BFI Macro and Events Thread

Quote:
Originally Posted by juan valdez View Post
Intersting to note vix was up 2 bucks even as s&p were only down 6. Definitely an unusual move in the vix over the past year. Vol has been crushed every time its creeped above 11
I kind of don't really want to talk about the VIX for personal financial reasons at the moment, but the move over the last few days has actually been smaller than the move in 5-day historical volatility. It tracks 5-day historical volatility pretty well (and is usually at a premium to it).

Also, just a nitty thing, but VIX is a percent. It moved from 11%-ish to 13%-ish. It is still pretty low.

The value of VIX is way more important than the change in VIX unless you are trading VIX futures. Kind of, in a way, like saying that the temperature doubled from 5 to 10 degrees.
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Old 01-30-2018, 05:36 PM   #95
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Re: BFI Macro and Events Thread

Quote:
Originally Posted by BrianTheMick2 View Post
The bond thing is kind of interesting. Not a lot of places to run when bonds, commodities and stocks fall at the same time.
To shore yourself up and weather the storm during the next economic cave in, I'm selling shares for admittance to my bunker. Bidding starts @ $500/day, payable in Gold only. You have to supply your own ammo and small arms. Everything else is supplied. Except whores, even if bring your own is allowed, an excise tax will be added. Other conditions may apply. See my brochure: Zeno's World Headquarters: Bunker News, for details. We have recently received a seal of approval for our innovative approach and honesty.



Last edited by Zeno; 01-30-2018 at 05:45 PM.
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Old 01-30-2018, 09:06 PM   #96
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Re: BFI Macro and Events Thread

Gosh, hope the markets like tonight's SOTU!
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Old 01-30-2018, 11:16 PM   #97
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Re: BFI Macro and Events Thread

Quote:
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Gosh, hope the markets like tonight's SOTU!
I don't follow the news much. Is this trillion dollar infastructure spending bill he mentioned a new announcement? Can't remember the construction ETF off top of my head but CAT is reasonably priced. Have a jobs training company I put on a watchlist somewhere. He mentioned jobs training. well, sort of similiar AMN is tickr. Dont see how they wont do well given the demographics in the US.
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Old 01-31-2018, 01:27 AM   #98
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Re: BFI Macro and Events Thread

Quote:
Originally Posted by TrustySam View Post
Gosh, hope the markets like tonight's SOTU!
Quote:
Originally Posted by Jupiter0 View Post
I don't follow the news much. Is this trillion dollar infastructure spending bill he mentioned a new announcement? Can't remember the construction ETF off top of my head but CAT is reasonably priced. Have a jobs training company I put on a watchlist somewhere. He mentioned jobs training. well, sort of similiar AMN is tickr. Dont see how they wont do well given the demographics in the US.
SOTU is, and has always been, a drinking game for market participants. I expect that tomorrow will be purely small speculators driving things while the bigger players nurse hangovers.

A big gov't infrastructure spend would be excellent (for both stocks and our country), but that has been on the table since the late 1960s and it never seems to happen. Maybe this time will be different.
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Old 01-31-2018, 01:30 AM   #99
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Re: BFI Macro and Events Thread

EFA had huge volume today. Way bigger volume than during the last Euro crisis thing. That might be important or something.
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Old 01-31-2018, 03:01 AM   #100
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Re: BFI Macro and Events Thread

Quote:
Originally Posted by BrianTheMick2 View Post
I kind of don't really want to talk about the VIX for personal financial reasons at the moment, but the move over the last few days has actually been smaller than the move in 5-day historical volatility. It tracks 5-day historical volatility pretty well (and is usually at a premium to it).

Also, just a nitty thing, but VIX is a percent. It moved from 11%-ish to 13%-ish. It is still pretty low.

The value of VIX is way more important than the change in VIX unless you are trading VIX futures. Kind of, in a way, like saying that the temperature doubled from 5 to 10 degrees.
Yeah I compared it to the last year because the last year has been abnormal. Also the elevated vix coincided with the very first follow through day over the past year. Maybe the dip buying happens in a day or two but my point is that mentioning that something is historically normal means its different than whats been happening over the past year, wich hasn't been normal. If things revert back to historical norms, thats actually a notable change in this market
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