Posted by jhbernstein on 8th of Mar 2024 at 07:21 am
High Yield is ~95% of my business so I watch it very closely.
When it trends, it trends very well (11/1/23 - 12/31/23) but when
it doesn't, it's better to fade the range (all of 2024). One
important factor to look at is option adjusted spreads. The best HY
trend following trades happen as OAS compresses which shouldn't
happen if the economy weakens. (and I think your take on the
economy is correct) Take a look at this chart of HY OAS. I
see very little room for spreads to compress and a lot of room for
them to blow out.
Posted by jhbernstein on 9th of Feb 2024 at 09:01 am
Goldman on Put/Call skew: "We are now seeing extremely
bullish options activity in the collective Mag 6 names (META, AAPL,
AMZN, GOOG/L, NVDA, MSFT), something we’ve witnessed 5 other times
in the post-covid era (we’re looking back 3 years for this). It is
interesting to have a look at forward returns when we’ve seen this
type of activity; the 2-4 week forward window skews towards
negative returns. (From MenthorQ on Twitter yesterday)
Posted by jhbernstein on 5th of Feb 2024 at 10:02 am
When I was listening to Steve last night on the newsletter I was
wondering the exact same thing. The a-b-c seemed to come a
little quicker than your mapping. Given the "suddenly" poor bond
behavior, an a-b-c within an A-B-C might fit
Posted by jhbernstein on 2nd of Feb 2024 at 10:11 am
Normally I'd say multiple job holders is the only way to explain
it, but that's not what happened last month. Multiple job holders
actually ticked down in Jan. So that ain't it. Something doesn't
add up.
Posted by jhbernstein on 31st of Jan 2024 at 07:24 am
I think you just happened to look when there was a bad data
print. Currently showing just a 0.7% chance of 75bps in May.
13.9% chance of a hold, 51.9% chance of a 25bp cut and 85.4%
chance of either 25 or 50.
Posted by jhbernstein on 9th of Jan 2024 at 03:35 pm
From Tommy Thornton today:
On the Trade Ideas sheet I am selling the UNG Natural Gas ETN I
added this morning because I now hear they announced a reverse
split. The good news I'm taking a 3% gain. I still like
Natural Gas however too much too soon could see pullback and the
structure of UNG is not great.
Posted by jhbernstein on 27th of Dec 2023 at 09:10 am
This is what I get. I'm showing since 82. I ran it back to 1927
(full data set) but I'm not sure that's terribly helpful. Also only
included through last friday, so this week most likely will make
the list.
Posted by jhbernstein on 21st of Sep 2023 at 06:17 pm
I use elements of both.
I only trade ES (for the tax advantage) and allocate 1
contract for every $16k in the account for each signal. (So a $32k
account would go long 3 contracts, a $64k account 4, etc.) Last
year I noticed a max of 8 entries in 1 direction at any one given
time, which would give me leverage of 8x in the account. A lot to
be sure, but that's what I feel I can withstand if/when things move
against me. If we got to more than 8 entries, I just wouldn't take
them.
I may decrease the allocation to 1 contract for every $20k in
the account just to give me a little more breathing room.
Posted by jhbernstein on 25th of Jul 2023 at 09:58 am
It's not what I'd call a real capitulation. It was a "this is
what I got wrong earlier this year" note. I PM'd you the whole note
in case you want to see for yourself.
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High Yield is ~95% of
HYG - interesting spot for the systems to go long. ...
Posted by jhbernstein on 8th of Mar 2024 at 07:21 am
High Yield is ~95% of my business so I watch it very closely. When it trends, it trends very well (11/1/23 - 12/31/23) but when it doesn't, it's better to fade the range (all of 2024). One important factor to look at is option adjusted spreads. The best HY trend following trades happen as OAS compresses which shouldn't happen if the economy weakens. (and I think your take on the economy is correct) Take a look at this chart of HY OAS. I see very little room for spreads to compress and a lot of room for them to blow out.
Rate cuts now even less
Posted by jhbernstein on 13th of Feb 2024 at 09:58 am
Rate cuts now even less likely.
Odds for a May cut now now nearly halved from 66% last week to 38% now. (Reading the inverse of the chart)
Goldman on Put/Call skew:
Posted by jhbernstein on 9th of Feb 2024 at 09:01 am
Goldman on Put/Call skew: "We are now seeing extremely bullish options activity in the collective Mag 6 names (META, AAPL, AMZN, GOOG/L, NVDA, MSFT), something we’ve witnessed 5 other times in the post-covid era (we’re looking back 3 years for this). It is interesting to have a look at forward returns when we’ve seen this type of activity; the 2-4 week forward window skews towards negative returns. (From MenthorQ on Twitter yesterday)
Treasury 30 year bond auction.
what bs announcement did they just have that created that ...
Posted by jhbernstein on 8th of Feb 2024 at 01:06 pm
Treasury 30 year bond auction. It went well
When I was listening to
10-Year
Posted by jhbernstein on 5th of Feb 2024 at 10:02 am
When I was listening to Steve last night on the newsletter I was wondering the exact same thing. The a-b-c seemed to come a little quicker than your mapping. Given the "suddenly" poor bond behavior, an a-b-c within an A-B-C might fit
Normally I'd say multiple job
How do you add so many jobs, keep the participation ...
Posted by jhbernstein on 2nd of Feb 2024 at 10:11 am
Normally I'd say multiple job holders is the only way to explain it, but that's not what happened last month. Multiple job holders actually ticked down in Jan. So that ain't it. Something doesn't add up.
Non Farm Payroll Blowout +353k jobs
Posted by jhbernstein on 2nd of Feb 2024 at 08:31 am
Non Farm Payroll Blowout
+353k jobs vs +157k expectations
I think you just happened
Correction - it's pricing in 75 points in May! Fed ...
Posted by jhbernstein on 31st of Jan 2024 at 07:24 am
I think you just happened to look when there was a bad data print. Currently showing just a 0.7% chance of 75bps in May. 13.9% chance of a hold, 51.9% chance of a 25bp cut and 85.4% chance of either 25 or 50.
Similarly:
Consumer Actions
Posted by jhbernstein on 24th of Jan 2024 at 01:48 pm
Similarly:
Probability of a March Rate
Posted by jhbernstein on 22nd of Jan 2024 at 10:24 am
Probability of a March Rate cut now down to 40%
Opex flows update. It'll be
Afternoon ramp color
Posted by jhbernstein on 19th of Jan 2024 at 08:51 am
Opex flows update. It'll be interesting to see if this plays out.
Afternoon ramp color
Posted by jhbernstein on 18th of Jan 2024 at 03:31 pm
Afternoon ramp color
Here you go: https://www.cmegroup.com/markets/interest-rates/cme-fedwatch-tool.html tldr: 63.9% chance
Core CPI (YoY) (Dec) +3.9% vs +3.8% Est.BREAKING: December CPI ...
Posted by jhbernstein on 11th of Jan 2024 at 09:21 am
Here you go:
https://www.cmegroup.com/markets/interest-rates/cme-fedwatch-tool.html
tldr: 63.9% chance of a cut in March
cmegroup.com
From Tommy Thornton today: On the
Gas is pumping!
Posted by jhbernstein on 9th of Jan 2024 at 03:35 pm
From Tommy Thornton today:
This is what I get.
Chat GPT & Bard: I tried this search on both ...
Posted by jhbernstein on 27th of Dec 2023 at 09:10 am
This is what I get. I'm showing since 82. I ran it back to 1927 (full data set) but I'm not sure that's terribly helpful. Also only included through last friday, so this week most likely will make the list.
Don't forget the declining interest
In the whole 2009 to 2022 rally every significant drawdown ...
Posted by jhbernstein on 1st of Nov 2023 at 07:23 am
Don't forget the declining interest rate tailwind that's over.
tyvm
mean reversion systems trades
Posted by jhbernstein on 26th of Sep 2023 at 04:43 pm
tyvm
Would you please post the
mean reversion systems trades
Posted by jhbernstein on 26th of Sep 2023 at 04:00 pm
Would you please post the CCI div. trading summary when you have a chance?
It's been a while since that signal has triggered.
tyia
I use elements of both. I
Ok. I've posted on this topic many times over the ...
Posted by jhbernstein on 21st of Sep 2023 at 06:17 pm
I use elements of both.
I only trade ES (for the tax advantage) and allocate 1 contract for every $16k in the account for each signal. (So a $32k account would go long 3 contracts, a $64k account 4, etc.) Last year I noticed a max of 8 entries in 1 direction at any one given time, which would give me leverage of 8x in the account. A lot to be sure, but that's what I feel I can withstand if/when things move against me. If we got to more than 8 entries, I just wouldn't take them.
I may decrease the allocation to 1 contract for every $20k in the account just to give me a little more breathing room.
It's not what I'd call
What was the Mike Wilson capitulation deal ?
Posted by jhbernstein on 25th of Jul 2023 at 09:58 am
It's not what I'd call a real capitulation. It was a "this is what I got wrong earlier this year" note. I PM'd you the whole note in case you want to see for yourself.