May

7

Lobagola, from anonymous

May 7, 2015 |

 As one gasps for breath the following thought springs forth, motivated by:

A: the recent co-movement in Bonds , the dollar and stocks

B: the LoBagola completed (just about) in Bund futures a little while back this AM.

When related but different markets are experiencing a relatively high/unusual degree of co-movement, might the relative duration taken to 'LoBagola'/ reverse in each market be predictive?

As usual, I am trying to write words while there are only numbers, functions and classes in my head. So, put another way, might not the relative speed of reversal back to an initial market price be predictive for some future time period during periods of extended and robust co-movement?

Good day ahead all.

Anatoly Veltman writes: 

well, on what happened last couple of weeks.

As Bunds neared 0.05%, a handful of prominent entities took a position. They telegraphed the fallen king, who joined in. The risk was not nearly as high as it usually runs in the markets, and thus the speculation could be inordinately large of size…

The contrary trade gained speed as it continued to be helped both verbally and pyramidicly. In the process, the EUR began to look more and more attractive correspondingly.

Eventually, the high velocity moves in both rates and currency disrupted the equities peaceful drift. So you got the moment of all three moving in the same painful direction.

Vince Fulco writes: 

Sounds poetic looking in the rearview mirror.


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