Disqus - Latest Comments for credittrader

Re: The Other Plunge Protection Team: 122,017 December SPY $95 Puts

CreditTrader — Thu, 23 Jul 2009 14:33:15 -0000

thank you Shamrock. Does the roll of the position mean that he now holds a put-spread for DEC? He is betting on range-bound market with skew flattening right? Big size though...looks like they added the position (or rolled it) on Jun15 also...

Re: The Other Plunge Protection Team: 122,017 December SPY $95 Puts

CreditTrader — Thu, 23 Jul 2009 14:14:13 -0000

take a look at the DEC09 SPY 82Puts also....looks like a major put spread...skew flattener...anyone...sell skew in stocks (het short delta, long vol, long theta) and sell CDX protection (view would be that skew has got too steep (ATM too low relative to OTM) relative to Credit) - hhmm

Re: Is Capital Structure Arbitrage Back

CreditTrader — Mon, 20 Jul 2009 15:28:30 -0000

LOL!!!! i give up!

Re: Is Capital Structure Arbitrage Back

CreditTrader — Mon, 20 Jul 2009 14:40:22 -0000

GE also seeing same vol/CDS/Stock action today from a disjointed open...BAC-MER decompressing a smidge...for the real tin-foil-hat-wearers USA risk is +2bps from -2bps earlier in the face of the major Sovereigns all tighter today - systemic risk transfer from unsecured financial debt to USA?

Add: Citi now -40bps! stock -8.3%, vol at 53.5% (from low 36.4% intraday)...

Re: Weekly Credit Summary: July 17

CreditTrader — Fri, 17 Jul 2009 21:16:13 -0000

Hi TheBroka, sorry mate, just using Bloomberg data feed in my sheet for that - what should it be? (This is weekly change right? Friday close to Friday close) - let us know if there are any other errors etc...

Re: Market Preparing For Some Crazy Action

CreditTrader — Thu, 16 Jul 2009 23:33:53 -0000

Dannybzak - FYI - the x-axis is Moneyness not strike - hence it is centred around 100 but your breakdown is nonetheless interesting.

Re: CIT Group Implied Volatility 250%, 2010 Bond Yields 82%, CDS 34%, Will FDIC Subsidize Default Risk?

CreditTrader — Wed, 15 Jul 2009 15:07:48 -0000

FYI - 5Y CDS improving today but still at 33/35% upfront. The Dec09 expiry CDS on CIT implies a 30-35% (depending on recovery expectations) chance of default by year-end. My gut says we see some strange conservatorship-style effort on this - with only $600mm market cap, $42bn debt, and $3.5bn CDS exposure - wipe out equity shows govt is tough and support avoids any systemic losses on the debt everyone in CDO land holds...

Re: Daliy Credit Summary: July 14 - Steeper and Flatter

CreditTrader — Tue, 14 Jul 2009 20:28:26 -0000

The combo of flattening curves (which is actually more of a continued inversion) and the drop in the VIX/VXV ratio (not VIX outright) has tended to precede short-term spread decompression...I feel the drop in VIX is being driven by dispersion traders (given how cheap single-name vol appears relative to the indices) who are betting that the correlation between stocks price action will drop in the short-term..this is also a way (albeit with a crazy basis) for credit correlation traders to perhaps hedge some risk as names like CIT start driving mezz tranches into more equity (tranche)-like behavior. Just thinking out loud...

Re: Intraday Charting

CreditTrader — Tue, 23 Jun 2009 13:41:12 -0000

The VIX thrash lower was OPEX hedging driven...back to more like reality now...USA protection is rising which perhaps lifts a little pressure off VIX but there is still a significant premium over realized vol in VIX...i am long VXX as it is under-priced relative to recent shifts in HY debt but as TD has commented on before, the shifts of tail risk between corporate America and Federal America may just take some of that shine off the VIX - look at vol smiles to get an idea of the changes.

Re: CNBC Breaking News Of The Day

CreditTrader — Tue, 23 Jun 2009 13:30:21 -0000

ROTFLMAO!!!

Re: Daily Credit Summary: June 18 - Hurry Up And Wait

CreditTrader — Thu, 18 Jun 2009 19:06:28 -0000

actually single-names outperformed the index today - I think more than anything this was roll-related (remember that single-name CDS rolls from June to Sept tomorrow/Monday). I'd expect single-names to pull wider post-roll and the skew to compress...

Re: Daily Credit Summary: June 16 - Hope DisCredited

CreditTrader — Tue, 16 Jun 2009 23:19:17 -0000

Hey Newbie, no worries - lots of technical jargony stuff in there. The skew is the difference between the index price and the intrinsic or fair-value of the index. In S&P 500 land, high-frequency trading and high liquidity tends to keep the value derived from the changes in the 500 stocks very close to the level of the S&P500 futures or ETFs. In credit land, the bid-offers, some technical issues, and more importantly different supply-demand characteristics drive the indices (which trade very actively) to trade away from the intrinsic or fair-value derived from the underlyings. Lots of reasons BUT we can use the movements in the skew (and which is out/under-performing) to judge where flows might be moving.

In today's case the indices underperformed (widened more or tightened less) single-names which given that the index trades tight (rich) to intrinsics means that the skew compressed (got smaller). Actually what probably happened was the major jump in credit en masse today was focused in the indices as single-name liquidity providers could not keep up. I would expect to see single-names open wider tomorrow morning as dealers rejig their books to reflect index pressure today.

Hope this helps.

Re: Daily Credit Market Summary: June 11 - Mixed Bag

CreditTrader — Fri, 12 Jun 2009 01:18:41 -0000

Marla, you got good Kung Fu - better than Caradine's.

Re: Fontainebleau Fiasco Soon To Get Epic

CreditTrader — Thu, 11 Jun 2009 02:11:55 -0000

LOL..."to order the revolving banks against which Fontainebleau Las Vegas has brought suit to fund $656 million they had refused to fund"...and I would like the court to order bookies to pay out on my 'on-the-nose' bet on 'Mine-That-Bird' in the Preakness...it's just not fair!!! waah waah

Re: Daily Credit Market Summary: June 10 - Basis Compression

CreditTrader — Wed, 10 Jun 2009 23:29:22 -0000

IG tends to mean Investment Grade Synthetic Credit - in the US, the most liquid credit derivative index (think S&P 500 for credit) is called IG - full name is CDX IG Series 12 (the series 12 bit means it is the 12th incarnation of the index - every six months a new portfolio is selected as the IG index). The discussion of the basis indicates that IG bonds have outperformed (spreads on bonds have tightened more than spreads in CDS land) IG synthetic (synthetic being derivative). Hope this helps. As far as it goes for the average retail/equity investor, considering real credit market movements, IG helps indicate relative strength of the better quality credit (only the credit aspect NOT the interest rate aspect). Wow, I think I just complicated things....lol

Re: Intraday SPY Indication Of Interest Update

CreditTrader — Mon, 08 Jun 2009 17:19:26 -0000

not sure what the 'r' actually stands for BUT it is an aggregate amount - so instead of seeing sets of JPM 500ish bloicks, you just keep seeing an ever growing UBS'r' line item...keep an eye on it intraday and you get the same picture though...

Re: The Levered Steepener Trade Blow Up In Full Visual Glory

CreditTrader — Mon, 08 Jun 2009 12:29:22 -0000

the market's perception of what 1Y rates will look like in 1 year's time is extremely high and has spiked in the last few days as the 2Y leg of the much-heralded 2s10s steepener is unwound en masse. Add to that the tightening fears (see FF futures or ED futures) and the 1x1 has spiked...do we really think that short-term rates will rise over 150bps in the next year!!! buy the flattener and squeeze the 2s10s steepeners even more - hope this helps...

Re: Same Charts, Different Conclusions

CreditTrader — Wed, 03 Jun 2009 23:37:22 -0000

Slide 41 is my favorite - reminds me of the 'Life of Brian' - apart from the aqueducts, sewer systems, wine, law and order, and peace - what have the Romans ever done for us?

Re: Same Charts, Different Conclusions

CreditTrader — Wed, 03 Jun 2009 23:34:45 -0000

In an attempt to lighten up the comments, Page 28 on Casino Gambling interested me - so I sent my wife (whose 40th Birthday is just around the corner) to Vegas for the weekend with some friends. They stayed at the Bellagio. Last time we went, every Blackjack table was $25 minimum or more...this time - every other table $10 minimum - anyway - my wife missed her flight back and blamed it on the weather LOL...

Re: Bank No Longer Need FDIC's Legacy Loan Taxpayer Bailout

CreditTrader — Wed, 03 Jun 2009 16:55:06 -0000

ABX and CMBX prices fell today - I guess noone told them that all is well.

Re: SLP Broker Dealers Taking Their Role Very Seriously Today

CreditTrader — Wed, 03 Jun 2009 15:50:54 -0000

CDS market gone dead - no liquidity and hearing cash markets getting very heavy with new issues being unloaded...not pretty...

Re: FDIC's Deposit Insurance Fund Reserve Ratio Plunges To 0.27% Of Deposits

CreditTrader — Sat, 30 May 2009 00:00:15 -0000

After today's rapture in SPY at the close and this...I am going to drink myself into oblivion over the weekend...IG spreads at six month tights??? Builders and REITs all at multi-month tights...come on already

Re: The Chrysler Travesty Hearings Continue Tomorrow

CreditTrader — Thu, 28 May 2009 00:06:16 -0000

i am blown away that so much is simply swept under the carpet and the sheeple just go on living their lives...its like the Matrix but without the rubber one piece suit!

Re: NK Calls SK Decision To Join Anti-Proliferation Program Act Of War

CreditTrader — Wed, 27 May 2009 01:09:18 -0000

KOSPI's fall only marginal compared to Monday's (25th for us) - went from 1420 to 1315 and back up on initial test firing...The Won is a smidge weaker but well off its reaction lows - still Republic of Korea 5Y protection at 145/150bps (and that was 10bps tighter on the US day) after trading 460/480 early March!!! gotta buy me some EM Index protection...I love the smell of Kapalm in the mornings...

Re: Sovereign CDS As A Proxy For Relative Risk

CreditTrader — Tue, 26 May 2009 22:38:10 -0000

isn't that the point 'markit'? The implicit devaluation of the USD vs EUR vs JPY is embedded in the CDS (risk premia) so the ratio of the two provides some insight into the apparent relative 'risk' of devaluation between the JPY debt markets and USD debt markets OR more directly JPY devaluation vs USD devaluation. Still makes for an interesting chart! LOL