Feeds:
Posts
Comments

Archive for August, 2012

HKG33/HSI CFDs. Gaps are during open, usually within 10 minutes.

Going to take a closer look why after the dust settles on Friday… although HSI VIX is around 4% higher and than S&P VIX, though also scraping bottom. If working on the China desk has taught me one thing, it’s to be scared of any Chinese policy to start opening the domestic (especially lending) markets.

Spreadbet this? Each point is $1.23, and you can see how big the candle is.

To the best of good buys.

Read Full Post »

Watching today’s and possibly tomorrow’s candles for a head confirmation on the IBEX. If the index doesn’t gain along with the last channel (and possibly targeting 7900) then the first downside target is 6550 and then possibly a retest of 6000. Stopping out at a daily close above 7500.

With volatility positioning as it is right now, no news is good news. However with the flow back of volume, that is expected to change. For the IBEX, it still largely follows what is happening with the next possible victim in the Eurozone crisis, compared to the S&P, which has been largely driven by Fed expectations. Although risk on in one market will translate to risk on in the other, IBEX upside from Fed easing (unless it’s a complete blowout one) will be less than that of the S&P500.

And is Spain asking for a bailout risk-on or risk-off? Given that it means more food is coming immediately (before the shock of the bill at the end), there may be an intraday or intraweek spike before the Europeans start questioning who’s getting the bill (and if they want to pay for it).

Biggest known and foreseen risk (to risk, hehe) on the block remains the Deutsche Bundesbank’s Weidmann. ESM ruling is largely guaranteed as surely the Germans don’t want the blame of bring their own project down (though I’m not exactly certain how much pain the Judiciary can take), though it will provide from some extraordinary tape bombs if ESM is declared unconstitutional… and the even smaller chance effect of Finland doing something.

To the best of good buys.

Read Full Post »

Or rather, it was early July that gold had its record 11 day run before shooting up to 1900 in two months due to (hey, what do we have again?) QE3 expectations (mind you this was 2011). Since then, gold has fallen but in the last weeks also put in its own 8 day run. Equities so far show a repeat of 2011 – is gold going to do the same thing?

Possibly. Gold is being driven completely by stimulus expectations – as it should be. To foresee the direction of gold is to simply ask whether or not the Fed will print again. This was the same question everyone was asking or pointing to as evidence last year near this time during the low volume. Back during that time, economic data was much worse than where we are now (look at NFP change and underemployment as the two main metrics), with inflation moderately lower (quarterly average of YoY core and headline). Compared to now, then was a much better time to introduce new stimulus.

But the Ben could be trying to make one big push now (as we found out what happened when he didn’t). People don’t understand how much pain central banks can take, and as long as printing means a job, I’m all for it.

Looking for (but not expecting) a dud to fall short of QE at Jackson Hole. Remember that what’s been driving these markets have been 1. minutes from before a large NFP jump and 2. some letter Ben wrote a few months ago. And keep in mind of the current game – if markets are too high, then there’s less chance of stimulus. Markets want stimulus, but that will only happen if it shoots itself – and then hoping that the fed will come in and save it.

Will be shorting USDJPY into next week – monitoring another time to enter gold and silver.

To the best of good buys.

=====================================================

Just for fun, here are the major events in Q3 of last year that made trading more fun than studying – and enough volatility to make it worthwhile.

1 week gold…

1 day gold…

=======

Augustyen is at the dangerous low 77s, and there were threats (and actual) interventions. Gold had a similar narrative – that volume was low and everyone (like junkies waiting for the next injection) was expecting the Benjamin to open the floodgates like what he has done in two consecutive years. Everyone is also expecting the US to default after that massive round of congressional dickwaving.

4 – Bank of Japan intervenes as Noda makes his last stand. We go back to the same spot in three days.

5/6 – S&P downgrades the US credit rating after Obama, Biden, Boehner and co. participate in what can only be called American politics at its best and raises the debt ceiling. Everyone starts questioning how valid are those low rates? And then the fun begins…

Late August – summer numbers from the US and EU start to look not as rosy as before. The FOMC adopts more of a wait-and-see approach with regards to what happened in August, and starts pinning the blame on the fiscal side.

September – focus shifts back to Europe, which combined with the volume coming back, proved to be quite a dangerous situation.

6 – The Swiss National Bank puts a floor on EURCHF. War to debase has a new entrant.

5/6 – Gold tests double top of $1900 as the next two weeks see it clear to $1600 again.

12 – Obama sends the $447 job package to congress, where it gets somewhere but mostly forgotten as it has no real effect.

19-26 The massive drops occur as the Fed only reveals Operation Twist instead of the full punchbowl. At that point, NFPs were showing another sharp decline while inflation was still at 2.0% core (YoY). Oil was in the low 90s (mirrored by a weak copper) as the US economy was expected to suddenly halt again, while gold dropped only after the Fed offered no new stimulus.

Read Full Post »

Just step  one of when to activate my new and improved breakout strategy, now optimized for silver and gold, which for some reason (low volume) has experienced remarkable squeezes over the past few days.

Noticed this pattern when still in HK – a morning drop (~0800HKST), a lunchtime rally (from around 1100HKST to 1200HKST), another lunchtime push (1400HKST to 1500HKST) and then decline into European and American sessions. Though not really supported by strong fundamental argument, the fact that this pattern has persisted for 2 or so weeks gives it enough merit to analyze, and possibly frame as an intraday trading idea.

Although now that I have switched timezones, it does take me a bit to re-calc the time differences.

The pattern continues. Breakouts (most notably for silver) still occur at relatively set times during the day (1100EST-1300EST). Provides excellent (though risky at my leverage) timeframes to turn on the breakout trader and catch some profits.

=======================================================

This study starts out with t1 as 1300EST, 1700GMT. Each t is a 5 minute interval, which means there are 288 of these intervals in a complete trading day. % change are calculated as an average of holding times (5m, 15m… 360m) centered around a 1hr/60min/12 t-interval pivot. We don’t want to scalp that much do we? (And also, reversals have been rare these past days… again due to low volume).

 

That above is the return for 5 of the more popular scalping assets over last week’s sample, just to see if the pattern still stood from Hong Kong. Silver stands out to have the greatest reward (though the same study can be conducted with EURJPY).

That’s day 1… outstanding spikes starting at t = 1, or 1300EST/1700GMT (returning from lunch in the American session)

Day 2… dropoff in the post-lunch session. Same thing happened in yesterday’s, but was countered with rally when the hours changed. This is not due to spread illiquidity since spreads are constant (on my CFDs) and these are taking midpoint bid/asks.

Day 3, the whale did something or rather

Day 4, a bit different as there was notable change in the morning (0900EST) timeframe. Note that this was most likely a carry-over from the gold spike.

=====================================

So because breakouts done with a robot is really the only way to be profitable in these currently dead markets (it’s ok… only 2 more weeks…) it’s extremely important when to let the robot loose on your account. Due to fundamental trends being smothered by low volume, technical trading gets a tick here. The lunchtime pattern still exists, most notably in the US markets, and since it’s been continuing for a few weeks, it give me enough confidence to target a set timeframe to trade, so 1100EST to around 1300EST or 1500GMT to 1700GMT for the friends across the pond.

And also, make sure to adjust the sensitivities of your robot (and turn it off sometimes) before it wreaks havoc on your account.

Will be modifying this a bit later… and examining the “lunchtime effects” on EURJPY… seems like the Asia morning effect (~0800HKST)…

IntradayMoves

… watching SPX and NKY futures with interest… and lots of margin…

To the best of good buys.

 

Read Full Post »

First of all, congratulations. You’re being picked as one of the best in this breed of S&Ters slowly being killed by Dodd/Frank, Volcker Rules and other kinds of tax-revenue debilitating suicidal plans that governments have been putting out over the last few years. But that’s OK. I pay taxes to the Kingdom of Sweden.
So what is fixed income? Feel free to email me if you’d like the whole picture, but here are just a few tips to stay above everyone else and hopefully receive an offer.

 

==========Before the internship

1. Balance your competition – don’t forget that this is still a competition. Even you’ve beat out 99% of the applicants already by getting an internship, you have the last 1% to go. Be covert and maintain a good balance between what you display and what you keep in. Be friends with everyone and definitely help them to every extent, but also be aware of your actions.

2. Learn VBA – simple as that. Know how to code charts, calculations, automatic data downloading and that kind of fun stuff. Researchers and traders love one-button excel sheets. Before you start, here’s a reference you can use with regards to bloomberg VBA calls (which are slow but more stable than formulas). Change the .doc to .zip.

Bloomberg Examples

(also, try not to use bloomberg formulas for everything)

3. Stay on top of the news – sounds easy, right? Well, there are still a few of your competition that don’t even know what LTRO, OMOs, SMPs and those kinds of things mean. Know what they are, and most importantly (know why because everyone will grill you on this) their effects on your covered asset.

4. Don’t lie to yourself – you’re not being graded anymore. Do you know the effects of SMPs and how best to trade them? If you’re on FX research/cash trading, there’s only a few assets you can choose. If you’re going to be on derivs… errr good luck and find explanations to back up your reasoning.

 

========== On the job

1. Never say “I don’t know” – you are effectively taking yourself out of the running that way. If you don’t know, say the truth that you’re going to go back and check. Or, my favorite which is the quite innocuous phrase of  “Yes, err…” and then google as fast as you can.

2. Network and talk to people – though daunting with the upper management, at least talk with the rest of the intern class. And when you ask upper management, think of good questions. That’s something I didn’t do so well… and for the second rotation I was completely isolated from the trading floor. Don’t worry if you don’t talk as much as one of the guys in the intern class. You have technical work to do that adds continuous future return.

3. Know your limits – if you say yes, you better do it well. You can either be more efficient or spend more time. Choose the first option (trust me) and be happier (and also get better at automating everything).

4. Debug, rethink and make sure it’s right – accuracy always trumps speed. And even after you send the code over, run it multiple times with different parameters to make sure it can take inputs outside of what you coded (like different dates, etc etc).

5. Adapt and learn as fast as you can – do it or get cut. I learned VBA in 3 days. Bloody hell those first three days were… yeah… but at least the model worked.

6. Do it anyways – especially if you get placed on a desk you don’t like. Don’t complain and don’t show that you don’t want to do it. Just do it 100% instead of the 150% on a desk you like and keep your head low.

======================================

FIRST, LEARN VBA, C++ OR ANOTHER CODING LANGUAGE. (you’re not going up against engineers, dude)
There are others, but those are all relatively obvious like working hard, being humble and respectful. You won’t believe how easy it is to forget these simple rules once you start. Write them down on a post it and tape it to your screen.

Learn from my mistakes. Feel free to ask any questions. I’m never above you because you have an advantage in either 1. time (if you’re younger) or 2. experience (if you’re older).

Books? There are the select few, but I personally recommend reading Dostoevsky’s “The Gambler” first.

To the best of good buys.

Read Full Post »

Two pictures – self explanitory about my bias but watch for any intraday squeezes higher before the collapse to 1320 (psh my equity buddy said 1340, but man if the wheels are going to fall off the wagon, it better fall off in a big way).

Also, VIX calls, 18/19 strike for a Sept expiry? Current Bloomy composites show $1.82 for the 18 and $1.33 for the 19. That’s what he’s going to do, but unluckily for me, I have to do a cross-correlation and err… to naked CFD shorts…


Will be writing a short post about my experience in this summer, and hopefully give a leg up to all the incoming interns for the next year.

AHHH IT FEELS SO GOOD TO RESEARCH AGAIN. TAKE A LOOK AT ECB INTERVENTION (SMP) EFFECTS TOO!

To the best of good buys.

Read Full Post »

It’s almost over…

Which reminds me, I have a presentation due on Tuesday but I’m going to Macau tomorrow anyways for pics and egg tarts.

My internship at a bank’s fixed income department is almost over. I have learned that I really still like FX research and really suck at sales and anything IBD related, especially with Chinese people. Thank god for this ringer for confirming it for me.

Anyways, in around 9 days this blog will fully be back in session with more charts, more analysis, and now more coding in C++,MQL4 and VBA. Normal service shall be resumed, more or less to feed my addiction. I will also be covering CFDs and commodities since I have access to them now.

Even though the 2nd part of my internship was really quagmired, I am still extremely grateful to everyone who helped to make it happen and everyone I met along the way. Has my life just started? Well… depends on what happens next.

If you’re reading this post trying to get advice on what FID is in a big bank, feel free to ask. I might have a post on it as well once I go back stateside.

 

Normal out-of-the-blue analysis (and hopefully profitable) resuming in 9…

To the best of good buys.

Read Full Post »