On a visit to Duke and Monticello we stopped off at the Lewis Ginter Botanical Gardens. The visit led to biographical data concerning a great business man of the gilded age, Lewis Ginter. He started out from Dutch ancestry in Brooklyn and moved to Richmond in 1846 when he was 22 years old. He established himself as a toy retailer with a gift for mechanical toys. He built his toy company into the most successful retailer in Richmond by 1846. His wide travels with market mechanism enabled him to predict the terrible recession of 1857. Seeing the potential devastations from the Civil War he put some of his earnings into cotton.

His business character was attention to detail and meticulous orderliness. This served him well as quartermaster where he became an admirable contributor to Southern efforts. In one particularly telling incident he had an interview with Lee in which he stated that solution to the starving Southerners was to commandeer all the railroad lien and supply depots that were doing frivolous things. Lee agreed with him that would be of great benefit but it would violate the laws of liberty and he wouldn't do it. He lost everything in 1864 when Richmond was burned by war.

After losing his fortune for the first time in 1864 he moved to New York. He became a flexion funneling money to the South from northern speculators who had capital to rebuild southern manufacturing especially iron manufacture. He lost everything a second time on Black Friday and was deeply in debt. He returned to Richmond and formed a partnership with Allen who had a tobacco factory. His marketing savvy turned the firm into cigarette man.

He became the largest cigarette man in the world using advertising at world's fairs as one of his prime outlets. He bought out his partner for 100,000. Subsequently he refused to produce cigarettes by machine and became the 2nd largest cigarette man with Duke. They formed the American Tobacco Company and Ginter had a 20% interest in it for about 15 million in 1890 dollars. Along the way they adopted a much younger worker named John Pope who he had admired as a hard worker in Horatio Alger fashion in New York when John was aged 10. He and John lived and traveled together for most of their lives. Using his Tobacco fortune he became the leading entrepreneur and industrialist in Richmond. He owned interest in banks, iron works, real estate development, potash plants, ship building and other enterprises.

He was a great admirer of Jefferson and followed in Jefferson's footsteps in his habits including an extensive library. He built Jefferson Hotel still standing in 1894. Duke died in 1892 from a respiratory disease and this took away Ginter's spirit and he passed away 2 years later. All in all, the story of Ginter spans the ascendancy of the South in the 1840 to 1860 era, the fall during the civil war, the attempt to come back during the reconstruction era, and the south's resurgence in the late 19th century. His niece who lived to 100 Grace Anent founded the botanical gardens in his memory with money he left in his will.



  It appears now, we should be thankful that the Chinese got their shit together (by whatever means necessary

Dylan Distasio writes:

I wonder where all those missing cell phone users are…

Some may be in here.

K. K Law writes:

Someone sent me a picture of people lining up outside a Wuhan funeral home to retrieve the cremated remains of their family members. Here is an unconfirmed rumor. Each funeral home could only handle releasing 500 cremation urns per day. Don't know why they can' handle thousands per day. By one estimate, they would not complete the cremation ash delivery process before Apr 4 (their Ching Ming Festival). A ball park estimate is each funeral home could at least deliver about 6500 urns by Apr 4. There are 7 funeral homes in Wuhan. Probably another circumstantial evidence China grossly under-reported their cases and death tolls.



 Feigning weakness when there is strength. Deception thy name is Trading.

Hopefuls who always sermonize what the markets should do have started doting endless blogs on how a sustainable rally in equities requires crude to be low. Such Pontiffs fail to realize the correlation, even if some will call it spurious wrongly, between crude and equities. Not only the value of crude is measured in Dollars as much as equities are weighed against dollars and this multi-collinearity has a hidden layer of a variable switch of Risk-on /Risk-off. Often crude responds ahead of equities on the risk-on/off switch.

The same way the yields on apparently safer financial contracts goes down when businesses are unlikely to afford a higher cost of capital, the moves in crude too are of a similar nature. The cost of energy is the cost of doing business. But then scholars must be those who will theorise without testing if the horse pulls the cart or cart is pushing the horse.

Does anyone else see Sun Tzu and his able successors active in acquiring Oil Assets & crude contracts now?



 March 22:

1. It is amazing to see Dr. Fauci and others in his 95% anti operation, an infiltrator in our midst, (Tom Wiswell's favorite move) decrying tests that are not double blind and will not take 3 months for results. Double blind testing and stifling: "How the CDC's Restrictive Testing Guidelines Hid the Coronavirus Epidemic"

2. I have been asked what predictive value the charts of color depicting earnings and bonds have now. In a period of declining earnings mass hysteria and interest rates near zero, I would say that their value is minimal. However as stocks revolve toward book value when earnings start climbing again they will become very relevant as the return on investment by businesses discounted into the future will provide a bullish foundation for stocks.

3. Mr. ag trader, a chronic bear (how's Soros?), points out that there are going to be a lot of dead people on tv shortly. The last figures I saw on this were 48 deaths in the US declining to 47 on Saturday (I presume this is new deaths).

In any case if deaths are declining forecast for all epidemiological models are they will continue to fall. More important, what is the loss of utility of happiness to the US because of travel, entertainments, meeting, dining restrictions, big layoffs, economy restrictions compared to the hypothetical gains from current.

As the statisticians have pointed out, following a random sample of people would be best to predict outcomes. I would presume the closest we have is the NBA (presumably all have been tested). Two or three weeks have gone by. Presumably 1000 have been tested and none have passed away (or else we would be been bombarded by the sad news). The death rate continues to be much less than the comparable death rate for flu as pointed out by many.

3. Mr. Davidson points out the the Princess is a better random sample than the NBA. The projections that is 1/8% based on 700 not as I mistakenly said 7000. But the confined conditions and inability to attempt to save lives may make NBA a better sample.

4. When a judge lets one side have the best of the motion the chances are the other side is going to win as the Judge is protecting for the appeal. (I remember a case where the judge and defendant had been partners before and the judge said ("let him have it") to a motion. I knew I lost then. Dr. Fauci is a master at this. He pretends to say exculpatory things to the Pres. ("without his banning flights from China the situation would be much worse"). This transparent self serving pretense of being fair should not prevent anyone from the total CDC bias.

5. What's the best random sample? Presumably all the pro sports player and congress and friends of CDC have managed to be tested. Let's say 5000. If any had died we would have heard and more shutdowns would have occurred. The death rate from a random sample must be <1/50 of 1% in the US.

6. "These Drugs Are Helping Our Coronavirus Patients": It wasn't invented or approved at CDC so as predicted. We better wait for double blind at least 3 months to be sure. As Mencken said the art of politics is to create a terrible situation and then come to the rescue. (Usually the secretary of the interior)

"The whole aim of practical politics is to keep the populace alarmed (and hence clamorous to be led to safety) by an endless series of hobgoblins, most of them imaginary." Keep them scared and get the secretary of interior involved.

March 23rd:

1. A commenter points out that the number of new deaths from the virus is now decreasing on a daily basis for every state that doesn't border NY. One wonders if the New York totals are biased in some way to receive alms and hurt those of a different persuasion. Other biases CDC.

2. After 6 significant down days the regularities call for a rise. Ultimately the congress divided will come together on a stimulus package as to which one would be better for the market. They both will be kind to their constituents.

3. The many hateful responses I'm getting because I believe that it's very bullish on Tuesday and that the virus is receding in many places reminds one of the Keech doomsday cult. Note the hate when doomsday didn't look so likely.

March 24th: 

 1. Not yours to give: house bill includes 25 million for Kennedy Center.

2. Davey Crockett is stamping post cards in honor of Horatio Bump: "Not Yours to Give"

3. The Kennedy Center and what else: "House Dems' Emergency Coronavirus Stimulus Bill Includes $35M for Kennedy Center"

4. Quote of day: "It doesn't feel like there is massive relief and confidence out there" -David Coombs, Rathbone Management

5. Nothing special to closing.

March 24th: 

 1. What are the to the game today. The Prez has moved up from slightly below the challenger to reasonably ahead in one day. Thus, what everyone suspects empirically and theoretically the agrarians want the market down and the rest prefer more wealth than less.

2. Another key is that after a big up preceded by a big down, it's quite bearish since 1996 and recently only 6 or 7 observations with 1 up.

3. A third key is that thoughtful statisticians are more and more coming to conclusion which I received Hateful Keech type reprimands from: "Is the coronavirus as deadly as they say?"

4. The fourth key is Dr. Fauci and his colleagues. This is much evidence that the CDC scared u pl.. The WSJ had numerous examples of this mainly monopolizing the testing and sending out defective test kits. Naturally the CDC and all agencies wish to exaggerate the severity.

5. A fifth key is the Mencken quote that gov will always try to find hobgoblin of a crisis then come to our rescue by making sure that they get a 35 mill for Kennedy and Obama Care phones in their 1000 page bill which they will compromise. What are chances that the Center remains?

6. A responder asks me, "what about the Morgues outside of NY hospitals?" One would query when talking about the towering imcompetence of the Pres, The Mayor has every incentive to magnify and close the parks. I am reminded when the chief autopsy Dr. was fired for concluding that Governor Rockefeller had died form too much pressure and exertion.

 7. What does The Spy and the Traitor and Tom Wiswell infiltrating early to double corner and Dr. Fauci have in common?

8. You have a disputed call in your game of punch ball… Your own man says you were oooout. But then your own man who is always close to you (see the Pres press conferences) is not so fair to the other side on the next crucial call for a disputed point.

9. People are making fun of me for my invidious allusions to the Italian discover of the cure for HIV. To me he represents a Jungian Archetype of the weltanschauung in the government agencies that are 95% pro agrarian (it's no good if NIH)

March 25th

1. Could we have sell on the news buy on the rumors typical reaction to deal made by both houses?

2. Let's see if my prediction that the 35 million for the Kennedy center is still in bill in the right spirit.

March 26th

1. As predicted they kept the Kennedy center with 25 million in there. Davy Crockett and all who oppose crony capitalism and giving money for an institution in Washington that benefits the politicians and their staff when other institutions are equally worthy not in Washington.

 2. One wonders whether buried in the bill is several million for fancy sauce replenishment in Washington. Bechamel and bernaise sauce. Special allocation for farm to table restaurant near congress and agencies.

3. The good one forbid that all the average 125,000 and over salaries at CDC and other agencies would contribute their own money to Kennedy Center so that it could maintain the elevated aesthetic level of favorite performances. The special 25 million for employees of the House Rep would help.

4. One notes that your own man Dr. Fauci who is completely unbiased infiltrated the Pres conference to point out that we might have a relapse of the virus down the road (lest the shutdown and testing is too short) As Predicted.

5. The Horla: "Trump Throws His Support Behind Stimulus Bill in Senate as Fauci Warns of Other Coronavirus cycles"

 6. I have been asked why I brought up that the chief coroner was fired after the Rockefeller Megan incident. The reason is that the coroner's office is a political one like so many. There is every incentive when working for a socialist mayor anxious to highlight the towering incompetence of the Prez for the coroner to overstate the causes of death. Many people die with the virus but that doesn't mean it was the cause of death. Similarly the CDC having missed the ball on the virus has every reason to emphasize caution and their own importance in making sure that no untested treatments are accepted without a prolonged shut down supervised by the average 125,000 salaries without fear of losing their job at the agency.

7. As the statistician articles I've cited point out the # of people tested increases the of positive for the virus increases. The estimate that the death rate from the virus in the US is perhaps 1/100 as much as the 1% bruited about. There are about 1000 times as many undiagnosed with the virus as reported. Thus if there are 10,000 who are positive, actually there are 100,000 for the coroner to posit an agrarian cause of death.

8. I am asked if we could have a sell on the news decline when the announcment comes out. I don't think so. We've already had it. The prob of a deal is very high so any announcement of a deal will only provide scant information let say 1 bit. With it the dax poised to break through 1000, the extent of all in dax from Jan 1 is just 15% and soon it will be above the correction level of 10% but this will not be reported. Similarly for the S&P. 

9. A pretense of another down 100 close coming up as the S&P falls form 2583 to 25 65 and below in 15 minutes.

10. "Corona Virus Turning Point Will Be Earlier Than Expected, Nobel Laureate Says"

Follow @VicNiederhoffer for more tweets



An old spec in early 1900 wrote that panics cause markets to fall by 30% that tend to reverse by 1/3. Looking at the S&P this would put us to roughly the area we are now. Is there any scientific evidence to this claim?

anonymous writes: 

Fibonacci retracement to either 38% or 62%? Pretty natural for a shock, like the action of a released spring. That's only for the short term.

In the intermediate to longer term for the current case, stocks (in the US in particular) are expected to go higher.

Four reasons: 1. The virus or at least the scare or the impacts of it will be negligible in a couple of months; 2. The unprecedented rescue packages will kick into effects (inflation or consumption); 3. The very likelihood of a war will intensify; 4. The world will not be the same, but innovations in a lively economy will again realize high growth.

anonymous responds: 

Could you comment on why you think the probability of a war will increase?

anonymous replies: 

First, China rulers need a war to shift internal tensions. Attack on Taiwan is very likely during this introspection period in the world. They might have actually conspired for this opportunity.

Second, the huge demand for China to compensate for world losses will very likely lead to war.

Third, if the world find out that the spread of the virus was planned, a war is inevitable. 

anonymous responds: 

Thanks. Concur with all three arguments. If China decides to invade Taiwan, chances are they may may have first preemptive strikes against some US capabilities in the region as the US will for sure intervene to blunt the aggression against Taiwan. There are four US carrier strike groups in the Pacific. Never have had so high a carrier strike group concentration in the Pacific since WWII.



The idea that this virus isn't deadly, which of course we all know was 100% self-serving nonsense to begin with cannot be squared with this information.

Ralph Vince writes: 

so why is MTA still running?



 Apropos of SPU coming back to some normalcy, there's a provocative twitter thread by Mr. Bodek, a well known participant turned whistle blower. Most of these factoids are self-evident to practitioners:

"I can confirm futures are more f*cked than equities including a semi-secret CME dealing desk, undisclosed and unnecessary liquidity incentive programs, abuse of malformed messages to test latency, stop loss signatures in the matching engine event loop, some priority race/condition scheme exploited between implied and spread order book, ridiculous levels of easily detectable spoofing that clearly triggers large opposing reserve orders in years of tick data, 1 lot pinging tied to 1000 lot posting, self trade check creating a pile-on between coordinated trading desks, and an extremely large spoofer who splices orders together at same price to avoid surveillance"

I still think equities are more f*cked than futures, at least the games are not being played in 10 different exchanges.



The closest we have to a random sample is the 7000 on the Diamond Princess and the 1000 from the NBA. All have been tested and the death rate is less than that for the flu. We could predict bases on standard epidemiologial models that the death rate would be less than the flu. Many have compared the actual numbers of deaths in the US to flu and come to this conclusion empirically. More importantly what is the utility loss to human happiness of the shutdowns and restrictions compared to allowing people to fend for themselves.



 I went to the local Bauhaus store (like Home Depot) to buy a LED mirror for the new bath room. I mentioned to the sales rep that I was surprised to see the parking lot quite filled, considering empty streets and this being the weekend before the monthly pay check. He was also surprised and told me that the manager had said they were only a bit behind budget, but ahead of last year. So they were happy.

In fact they are not the only ones happy. As my friend Mr. F.A wrote me, the air planes are grounded so the Green Party is happy. The borders are closed, so the Sweden Democrats are happy. There are tax cut backs for companies, so the Conservatives are happy. Places of sin, like bars and restaurants are closed, so the Christian Democrats are happy. There is talk about nationalizing industries and empty shelves at stores, just like in Venezuela, so the Left is happy. In summary–we are all happy.

I wish good health to all of you.





The presence of a large reservoir of SARS-CoV-like viruses in horseshoe bats, together with the culture of eating exotic mammals in southern China, is a time bomb. The possibility of the reemergence of SARS and other novel viruses from animals or laboratories and therefore the need for preparedness should not be ignored.

Severe Acute Respiratory Syndrome Coronavirus as an Agent of Emerging and Reemerging Infection Vincent C. C. Cheng, Susanna K. P. Lau, Patrick C. Y. Woo, and Kwok Yung Yuen

* State Key Laboratory of Emerging Infectious Diseases, Department of Microbiology, Research Centre of Infection and Immunology, The University of Hong Kong, Hong Kong Special Administrative Region, China



Adapted from my favorite real cowboy singer Chris Ledoux:


I was a new kid on the circuit
Wall Street dreams in my eyes
But the trade I took was plenty rank
Much to my surprise
It did a double reverse split
I landed on my head
Then an  old trader limped out of the pit
Leaned over me and said

You gotta cowboy up
When your stocks tank and go down
Get right back in the saddle
As soon as they hit the ground
You heard that the tough get goin'

When the goin' gets tough
Around here what we say is
Boy you better cowboy up

By the end of  last quarter
They said I was among the best
So I proudly went to see the boss
Hopin' he would be impressed
But he said I was through

My volatility was far too high
so he gave my job to better dressed guy
But before the first tear could fall
These words came back again

You gotta cowboy up
When your stocks tank and go down

Get right back in the saddle

As soon as they hit the ground
You heard that the tough get goin'
When the goin' gets tough
Around here what we say is
Boy you better cowboy up

Well its not an easy lesson
To stay with the drift
But its the only way to go
Whenever you bite the dust



Yesterday Amazon announced the need to hire 100,000 workers to support additional package deliveries.

The link shows you the chart of the decline in payroll tax growth since the outbreak. Hint: there isn't any such decline. But we will continue to monitor. It will be interesting to see what happens in the next 2 weeks. N.B. this is daily data.



If there's one fact about the current trading environment that is unassailable, it's that one can't read anything into the daily swings. One can assume that the rallies are underpinned by mechanical hedge flows, and not a renewed optimism about future prospects for economic growth.Theses moves are often violent, especially into the close; but are always sold into, and short-lived.

The problem with trying to resurrect the market is that it was extremely overpriced in the first place. The drift ain't no +30%. CEO's were more concerned about managing (bonus linked) share price than managing their company's business. Now, they are paying the price. Also, years of suppressed vol allowed money managers to lever up ever more, leaving a market built on a foundation of greed, debt, and leverage.

Economic shock is still expanding in both scope and scale; and nothing is getting fixed. Until they address credit, corporate cash flows, and lending disruptions( per Mr. Rollert), sustainable buying will not re-emerge. Additionally, heightened levels of vol reduces the pool of potential buyers, leaving only fundamental/discretionary and VaR insensitive investors left to re-allocate.

Hernan Avella writes: 

It's tough out there when even the true experts are feeling it:

"Williams declined to say which trading firms are involved in conversations pressing the banks to increase available capital. When market-makers stop buying and selling, markets can sometimes seize up and undercut investor confidence in financial markets"

anonymous adds: 

This is the same refrain as ever. The Citadels of the world push for pay for flow dark pool friendly regulation in normal markets, and then shut down their APIs once there's some vol so that flow adversely selects whatever is on the lit markets.

These articles are all lobbying. One simple way to increase the liquidity of the market would be to give time/price preference to lit Market Makers all the time! Let's see that get regulatory traction.



I'm avoiding BA like the plague, but there are some incredible buys out there now…you don't even have to look at oil, looking at Visa here at 140…among 20 other big names.

Gary Phillips writes: 

Getting too old for this…bought spooz 2289-94 per your brilliance, and will be looking to add if it holds.

Ralph Vince writes: 

Alcoa…Dow Chem… UTX…you think these earnings are going to be impacted to ANYTHING of this degree? Wait to see new unemployment claims tomorrow morning…FB…AMZN…if you really want to be the king of nerve, PBR…

I got to keep buying into this or I'm going to be the king of chumps come the 3rd & 4th qtr.

anonymous writes: 

Respecting to the fullest Vic's prohibition on any kind of recommendation. I just want to put out there that many ETDs are half of their early February values. So for example TDS(Telephone and Data Systems) has 7 ETDs TDA, TDI, TDE, TDJ, UZA, UZB, UZC.

Whatever you think about TDS in the telco space, the common is holding up, but the debt got clobbered in forced selling and it now yielding ~12-15%

Just fyi not a rec, just b/c not much focus on ETD here.



On the first tranche we were down 28.71% before the market opened this morning. We chose the companies using the test we used to apply to buying private businesses: (1) the enterprise has no debt other than receivables/inventory bank loans, (2) it pays a dividend to its investors (in our evaluation the yield is completely but the fact of a payouts is valuable as a measure of management/owners' acceptance that shareholders are entitled to at least a small share of the tax advantages - something the Oregano never has had the grace to acknowledge), (3) the solvency ratios - Z-score, dividend/$, debt/$, current and quick ratios - guarantee 6 months' survival with no income, (4) the M-score says they keep straight books. We add the Fama fact of life - companies with smaller market caps do better over time, if they are solvent enough to survive, because they are swallowed up by the bigger fish. After today's additional buying too soon, our total loss was reduced to 25%; and we are down to our last 90% in cash. As a bond equivalent, the portfolio is now paying 3.61% on market, 2.71% on cost.



From the back-benches of the university of mambo jumbo a 10 year pattern in crude is near finessing.

By any other erudite methods does anyone else see the possibility of light crude shooting to 60 and destroying bears forever before slipping under 22?

If such a dissonance between the prices and their 2nd order derivatives is visible in almost all other indices too is some corona solution is round the corner or all central banks together are about to apply the defibrillator sending a shockwave in the Bearland?

Tyler McClellan writes: 

Crude is a physical commodity. 



"Coin Market Strategies and Asset Allocation-Billionaires Buying Rare Coins"



While I have spent most of my adult years doing EW, my two cents on this Fibonacci myth in markets:

Someone made the idea popular that a woman with 36-26-36 statistics is beautiful. But that doesn't mean every beautiful woman has such statistics. It also doesn't mean that to be beautiful every woman must aspire for and achieve these stats.

And then its euologised so well through ages, that beauty is in the eye of the beholder.

If I will sound more convincing that the quantum cat is dead or alive based on the process of observation, then let me tuck in a more intelligent sounding line.

However, if I can get away in making my point in sharing a joke, then here it is:

Once upon a time not so long ago, the favourite dog of the Superintendent of Police of Gurgaon (now a well developed city in India) got misplaced. The senior cop was furious, after all its my dog and how can and where can he lose itself? As the sun rose higher into the sky and morning turned into noon, there was near pandemonium in the police force in Gurugram that the favourite dog of the Superintendent must be found, right away. The force divided itself into smaller units and went about the whole town hunting for the Superintdent's dog. No one could find a trace. As Sun grew mellower and began pulling itself closer to the other horizon a bright idea struck the minds of one of the junior officers. He whispered in the ears of his senior who whispered it in the ears of his senior. The plan was finalized.

The force returned back before sunset before the Superintendent with a monkey. They told the superintendent here is your dog! The Superintedent boiled up and screamed this is not my dog it is just a monkey.

The force asked the Superintendent, "Sir, this definitely is your dog. Ask him!"

Superintendent locked eyes with the monkey. The poor monkey nearly came to cries and pleaded "Sir, I have accepted I am your dog and I request you to accept this too. Since if you don't sir, I am going to be beaten so badly again that I shall be everyone's dog."

Gary Phillips writes: 

Are you disagreeing with me, or the chart?

Because doesn't your story offer proof?

I have accepted I am your dog and I request you to accept this too.

If the watchers accept that level as support, won't those watching the watchers accept it too?

It may be a monkey, but it also may be self-fulfilling prophecy?



With the market the way it is, I better start looking for that cane and dusting it off because I'm pretty sure I will be using it.

Here is a bright spot in what has been a rather trying day.

"But few gain sufficient experience in Wall Street to command success until they reach that period of life in which they have one foot in the grave. When this time comes these old veterans of the Street usually spend long intervals of repose at their comfortable homes, and in times of panic, which recur sometimes oftener than once a year, these old fellows will be seen in Wall Street, hobbling down on their canes to their brokers' offices. Then they always buy good stocks to the extent of their bank balances, which have been permitted to accumulate for just such an emergency. The panic usually rages until enough of these cash purchases of stock is made to afford a big "rake in." When the panic has spent its force, these old fellows, who have been resting judiciously on their oars in expectation of the inevitable event, which usually returns with the regularity of the seasons, quickly realize, deposit their profits with their bankers, or the overplus thereof, after purchasing more real estate that is on the up grade, for permanent investment, and retire for another season to the quietude of their splendid homes and the bosoms of their happy families. If young men had only the patience to watch the speculative signs of the times, as manifested in the periodical egress of these old prophetic speculators from their shells of security, they would make more money at these intervals than by following up the slippery "tips" of the professional "pointers" of the Stock Exchange all the year round, and they would feel no necessity for hanging at the coat tails, around the hotels, of those specious frauds, who pretend to be deep in the councils of the big operators and of all the new "pools" in process of formation. I say to the young speculators, therefore, watch the ominous visits to the Street of these old men. They are as certain to be seen on the eve of a panic as spiders creeping stealthily and noiselessly from their cobwebs just before rain. If you only wait to see them purchase, then put up a fair margin for yourselves, keep out of the "bucket shops" as well 'as the "sample rooms," and only visit Delmonico's for light lunch in business hours, you can hardly fail to realize handsome profits on your ventures. The habit of following points which are supposed to emanate from the big operators, nearly always ends in loss and sometimes in disaster to young speculators. The latter become slavish in their methods of thought, having their minds entirely subjected to others, who are presumed to do the thinking for them, and they consequently fail to cultivate the self-reliance that is indispensable to the success of any kind of business. To the question often put, especially by men outside of "Wall Street," How can I make money in Wall Street ?" there is probably no better answer than the one given by old Mayer Rothschild to a person who asked him a similar question. He said,"I buys 'sheep' and sells 'dear.' Those who follow this method always succeed.

Henry Clews 1908



Interesting to watch the limit offer size of epm at 255550 now at 6800… when it starts reducing?

Stefan Jovanovich writes: 

Based on the current futures, our family office should be have a YTD loss of 1.6% when markets open tomorrow.. On the equities - all small caps - that we bought with our first 5% bet of our capital, we will be down a third. So, of course, the logical thing to do is bet another 5%. These speculations are all public companies that might as well be privately owned. None of them is over $5B in market cap; and several are less than $100M. If they had any size, they might be considered "value" companies; the worst of them has a Z-Score higher than 3.30 and a Quick Ratio of 2. At the open tomorrow the portfolio's yield will probably be over 3% (it is 2.86% right now). None of those financial ratios will stand up to the collapse of the but I the current Mellon episode; but they are an indication that the businesses can survive and have enough cash that, if they are smart enough to cut their dividends by as much as half, they can begin looking around for assets to buy. That is what our private company is doing. On the same day we bought our first 5% batch of public common stocks, we suspended all distributions in our private company. If you work there, you continue to be paid; if you are a "capitalist", your income has gone to zero, just like the interest rates on "safe" Hamiltonian IOUs. We presume that, if our income is going to be nil either way, our capital is better wasted on companies that make and do things (none has anything to do with finance). Next week we will begin making calls to competitors to see who wants to liquidate part of their inventory. We know we will be buying too soon because we have never ever made a profit on any investment with a duration of less than several years; and we always lose money before we make any. But, precisely because we can't do what LW and so many of you all do, we have to apply with the careful monotony of the floor man whose job is to playing the nickel slot machine by the main aisle - the one that is set to pay 3 points above even. (Do they still have those? It has been 22 years since I saw the inside of a casino). In the next month or two we will feed in another batch of coins. By 1931 we should be fully-invested.



1. There is evidence that moves below key round numbers will be quickly reversed and met by sustained buying like the Japanese used to do to support their currency. As if there is a TEAM in waiting. The constructal numbers are not only rounds like 3000 or 2400 but Percentage declines like 4% or 2%.

2. While the Presidents away the Deepers will play like Dr. Messioner and Dr Faucil. This should be tested like all my 10 'guaranteed to happen' on Twitter.



Since, from the virus' point of view, the purpose of infection is to find a host who will get sick and not die, that would be COVID-19's ideal path. would be to do what the "common flu" does. But, its effects may be much worse precisely because of its interaction with the effects of the already known "common flu" viral competitors.

Dylan Distasio writes: 

A small bone to pick…the virus has no point of view. While infecting as many hosts as possible without killing them BEFORE maximum contagion occurs is the optimal way for viral genes to spread, there is not an immediate evolutionary pressure to do so with new strains or entirely new pathogens especially those with a high degree of mutability. Early bubonic plague and smallpox in the Americas death rates are good examples. Until resistance spreads throughout the target population over multiple generations, virulence can be quite severe despite it not being optimal from the "virus' point of view."

I think that we are incredibly lucky that there is heavy negative skew in the fatality rate distribution curve and that the blended rate is so low.

Stefan Jovanovich writes: 

Great point, DD. I checked with the MD and she said my mistake was to believe that the virus is going for longevity when, as you note, its survival chances are just as good by going for market share.



I live in NYC and the idea that everyone has dramatically changed their lives is…simply not what I observe. People are out and about in all the restaurants bars and shops.

Alex Forshaw writes: 

The same is true in the Bay Area Although in the past week, Uber/Lyft drivers bookings are -50% week on week as WFH has taken hold.



Lost in the shuffle last week, was Mr. Rollert's observation and admonishment in reference to the Chair's query, regarding the drift.

"Look at the index performance without buybacks and/or M&A. It's vastly different.

Performance was enhanced by the ability and interest by banks in taking good companies private. The final cycle of the bull will show a very different pattern due to very different balance sheets"

It brought to mind the following quote from David Mamet's "Three Uses of the Knife". The subject of drama is The Lie. At the end of the drama THE TRUTH — which has been overlooked, disregarded, scorned, and denied — prevails. And that is how we know the Drama is done.

After last week, I would imagine that the truth is no longer ridiculed, nor violently opposed, but has now been accepted as self-evident. However, the drama is far from done, and the market still finds itself knee-deep in its own self-created shit.

We were told that the market was driven by a strong economy and solid corporate earnings, which were largely made possible by the President's tax cuts and de-regulation. But in fact, 2019's return was built on a foundation of Fed easing and stock buybacks. To wit, as soon as they were removed the market's foundation began to crack. The coronavirus was simply the stone cutter's last blow.

Those very tax cuts which were attributed to driving corporate growth, actually enabled corporations to buy back more stock. However, the majority of corporate buybacks were funded by issuing corporate bonds. And, corporations continued to execute buybacks right up to the highs of the move.

Taking on debt to finance buybacks while there weren't any revenue-generating investments, has irreparably harmed corporate balance sheets, as Jeff stated. They are now tasked with paying down that debt in an environment with (understatement-of-the-decade) greatly reduced liquidity.

I'm not trying to cast aspersions on the drift, but the truth is prevailing. The events leading up to the crash itself, are emblematic of a disregard for the long-term effects of thoughtless actions. And, sometime in the future, the same will probably be said about any remedies proffered in the near term.

We may bounce, and bounce hard, but the drama is far from over.



There's been a lot of panicking and fear mongering happening on this list. First time I've seen it in my 15 years on the list.

Peter St. Andre writes: 

It has not been my intent to spread fear or foment panic. I shall wait at least 2 weeks before posting to the list again.



The Bard arbitraged grain and lent money. Click here for the revelation by researchers from Aberystwyth University in Wales: "Shakespeare 'The Hard Headed Business Man' Uncovered"



My own personal theory is that people (on both sides) were so tired of all the idiotic political bickering, divisions and stupid name calling, they were ready to embrace something, anything, that would unite us and make us feel like a country again.

Heading right into what promised to be the worst election campaign season ever for stupid political bickering, childish name calling and personal attacks, coronavirus popped up as that opportunity.

So people embraced it!

And everyone is relieved to find that we can actually still be a unified nation working together again. We all needed to know that. (The same dynamic exists in most other countries with the rise of populism etc.)

Why wouldn't they embrace the corona unifier?

Is there anyone on either side who is not tired of the political bickering, petty name calling and nasty personal attacks (including on this board and in the fake krs) and hungry for a way out of it?

On the irrationality of the Coronavirus Mass Mania:

It is obviously an irrational mass mania on the surface to anyone who has studied manias. Just looking at people's behavior (selling stocks down like crazy, hoarding toilet paper), and given that the virus is not that much more lethal or transmissible than the normal seasonal flu viruses, if not less so.

1. The brain is designed to shut down in times of perceived external threat to promote herd behavior for better potential survival. Mass manias take away the capacity to think.

2. Health manias are always way worse than wealth manias, since health is ultimately more important than wealth, and not everyone has wealth (so not everyone can participate in wealth manias).

But also, these obvious points on corona mass mania irrationality:

* People lament the lack of tests, oh this is so horrible! But in the very next breath they cite very scary numbers on R naught, and lethality.

They can't both be true!!! If you don't know how many people have it, you cannot possibly know R0 or lethality. Stop doing this!

* People say oh how horrible the end of flu season won't bring respite because look, people in warm weather Singapore got it! (or chose your warm country)

Without bothering to understand that warm weather regions have their flu seasons too based on changes in temperate and changes in humidity. And without bothering to notice that Singapore was until a week ago in its flu season! Totally irrational and nonsensical thought patterns.

* People say coronavirus is scary because it is new and we know nothing about it. Then they say it is scary because it is highly contagious. They can't both be true! Get a grip!

At least be internally consistent with your logic.

* People say a big risk is that viruses mutate. Of course they do, but why assume it will mutate for the worse? In fact, new C19 strains have been found which are far less lethal, not more.

People cite the Spanish flu as relevant, without bothering to notice we did not have antibiotics back then. That matters because secondary bacterial infection in the lungs is often what kills virus victims. Did you know that the Spanish flu is one of the seasonal flu viruses that regularly circulates today? That's scary!!! Or is it?! Did you even know this, while you were citing the historical example of the Spanish flu as a reason to be scared merde-less?

It is also interesting to note that virtually all the groups being alarmist have a personal interest in doing so.

* Health care system managers, because they see a potential onslaught of patients overwhelming the number of ventilators etc. and exposing their poor foresight and lousy management skills, so they want to bend the curve. This is understandable. It is now evident they are way overpaid, and they are heading for cover.

* Medical researchers are alarmist because they are trying to attract funding for their pet projects. (see shameless funding request advertisement in the middle of the Attia podcast today). This is shameful!!!

* The media are alarmist because it generates ad revenue. Also shameful.

* Negative Eeyores and worry warts want other people to be negative and worried because miserable people naturally repel most people so they try to bait social company with extra doses of misery to capture attention, and because miserable people love miserable company!!!

Everyone just calm the f down!!!

Go smoke a joint! Drink your whiskey! Pray to your imaginary man in the sky! Meditate! Go work out!

Whatever it is you do to calm your nerves go do it now!!! And turn the media off!!!! Especially twitter!



Dr. Rafter posted a few years ago about comparing changes in full-time employment to those in part-time employment. When I checked the Fed's website the other night, February full-time employment was up only 0.8% in the past 12 months, while part-time employment was up 0.4% in the past 12 months. Given the potential for later revisions, I'd say those two percentages are within the margin of error from one another and were already close to, or possibly in, recession territory.



In this awful market collapsing day today, let me share with you a youtube video about this interesting property of copper just in case you don't know about this already.



Futures close 30 points below s index close at 24 80… reminiscent of Feb 2018 when sp index declined 150 points.

Alston Mabry writes:

Lots of stocks catching up in after-hours trading…

311.38  -45.55 (-12.76%)
At close: 4:06PM EDT

301.50  -9.88 (-3.17%)
After hours: 7:00PM EDT



On Oct 19, 1987 (Black Monday) the S&P opened at 282.7 and fell 22.6% to 225.06 for the biggest % decline ever. Today, Mar 12, 2020, the S&P fell 260 points, almost the size of the entire index 33 years ago. That's gotta say something about the drift.



Richard Davies on Extreme Economies:

Economist and author Richard Davies talks about his book Extreme Economies with EconTalk host Russ Roberts. The conversation explores economic life in extreme situations. Examples discussed are the Angola State Penitentiary in Louisiana, two Syrian refugee camps in Jordan, the rain forest in the Darien Gap in Panama, and Kinshasa, the largest city in the Democratic Republic of Congo. This is an economic and journalistic tour de force as Davies shares insights from his encounters with people around the world struggling to trade and prosper in extreme environments.



Don't know the medical edge of this, but the economic one may best be measured each Thursday morning in the weekly new unemployment claims #s, which should help separate truth from bs in the economic effects with timely, relevant data.

Peter Ringel writes: 

Yes, the first real-time data of the economy under the virus/under quarantines–everything else is too full of emotions (including equities).

Yesterday the market felt more rational for the first time, even during down-legs.

Gary Phillips writes: 

Indeed, Peter. It's rational in the sense that the panic and deleveraging is probably over with and the market has become very mechanical. That is, with VIX continuing to remain above 50, options are too expensive to roll, so every time they get in-the-money, they're monetized and we get these violent squeezes. And of course, these rallies are sold into, perpetuating the feedback loop. And, will continue to be sold, until VIX resets lower. So, I don't know if the market is out-of-the -woods quite yet, but it is getting close to where a rally will be sustainable. Perhaps, we hold the current low; but imo, the market will provide one with another chance, sometime between now and opex. If we take out the current low, we could see 2535. However, that would only add fuel to the upcoming rally as the embedded options shorts are joined by new shorts deep-in-the hole. In any case, expected value is to the upside.

anonymous writes: 

The deleveraging is not over from the panic, it is over because individuals and business are going to drawdown their lines of credit fully to make sure they can still operate. Look at BA today. Tapped all their lines for 13 billion.

The drawdown at prime brokers will continue for the same reason. No one wants a capital call in this environment. I just had a treasury trader tell me he's seeing +8 tick bid-ask spreads. The street will deliver as the banks do the opposite. Regulatory capital ratios will be adjusted/waived there.

There is no liquidity. No liquidity, no upside. CB's are going to have to fund a month of negative cash flow….globally.

BTW, watch out for Canada. There's nothing going right there…the place scares me, especially the banks. I've never liked big banks based in small countries.

Gary Phillips writes: 

True, credit markets are not looking well. And, that may be where our next shock emanates from. But vol targeters, CTAs, L/S funds, retail, et al have hit the exits. Models have probably turned short and will be pressed on the next shock down, and when the market turns, they will be racing the others in a massive FOMO rally.

anonymous writes: 

I differ Gary. The street is not short; they have just deleveraged somewhat.

Think of it this way. Pretend for the month of February, every company received nothing in revenue. Zero.

They're likely to do two things, draw on their credit and cut back spending. Smart companies build this into the new amortization schedule; poorly managed companies spend time and resources trying to figure how long it will last (which they have no control over).

In December, I told a company I was advising that this was the perfect wind to sail in and buy a competitor but only if you had the balance sheet to do so. That turned out to be accurate, and it still applies. Just as in 2008, size matters in your cost of funds. Large companies are supported because they are not immediately replaceable.

A few minutes ago, I had a strong discussion with someone. They wanted to use their opportunity in a non-essential endeavor. It is the time to either get customers or buy them. You can't do that with debt or leverage. Robinhood's app is a good example. I consider this early in this cycle, as the strong have not begun to eat the weak, and few weak have acknowledged their position. BA, OXY and a few others have. There's more to come.

What is essential, is for the regulatory capital ratios to be loosened. A dollar of loss removes ten dollars of loans. Mid-tier banks have a bunch of sketchy loans right now (a lot in energy). So watch the OCC, watch the Fed's regulatory game, watch the state regulators. They invent useable capital as much as the Fed creatures liquidity in NYC.

P.S. - many loans and bonds have short time windows starting around 30 days, where they can miss a payment and make it up later without legally defaulting. Unfortunately, I expect that window to close right around quarter end, when banks will have to move them into special assets and reserve against the expected loss (at the same time as they assign a value to the loan for capital ratio purposes).



 1. One of the fake mumbo ideas that has the market in its grip (a cousin of the idea that the purpose of life is self sacrifice) is the idea that if the Dow drops 20% from a high it's a Bear Market and this presages a dismal future and further drops (the prez's fault et al) but there is no evidence that a 20% drop is bearish. Indeed it is bullish. The subject is complicated by the intra-day and inter day moves. Using intra day moves you start off with a random x% move on the bearish side in favor. But many intra day moves below 10% end up well. The intra day moves end up well above the 20% level and never hit the level again and are not counted thereby making the 20% level (which it seems to be bouncing off) never reaching the stats. Thus the bullish moves aren't considered. It's all part of the attempt to create dis…

I am asked why I speak of 20% drop in the Dow. Note the WSJ page 1 today. Presumably they have been brainwashed into using Dow because it's not near 20% in S&P.

2. I am particularly sensitive to the mumbo ideas that have the world in its grip having two days ago visited Monticello. The tour and focus is on how the great man fathered and exploited Sally Hemmings rather than his authorship of Declaration, etc. The stories about Sally Hemmings were rampant during Jefferson's admin fomented by a political opponent who owed $200 to the admin and needed the money to get married. At Duke med school, the same idea is rampant and they are ashamed of their founder because he was President of American Tobacco.

3. One of the best approaches to the market these days aside from noting that the 50,000 a century drift couldn't occur without random moves like the preceding two weeks being highly bullish, and counting using all intra day moves that were once below 20% and ended up above 20%. 

4. The idea that has the market and tries to make you ashamed of your optimism and heritage ("The World in the Grip of an Idea Revisited") is the procuring cause of the market's 7% drop on Monday the firing of Kenny Atkinson from the Nets and what it says about the idea that has world in its grip and the shame we should feel about the Founders.

5. The spf is trading 2807 down 55 from Tues up 115 close. It is normal for a Wednesday open to be very bearish after a big down Monday and up Tuesday. One would not be surprised to see next Monday close way up from here. Perhaps by Friday's close also.

7. Some kind readers have been kind enough to thank me for sharing my views. I realize I look rather foolish now with my old man river or 50,000 fold a century drift. But then again I have been rolling with that drift from S&P 800 in 2008 as my book with Ms. Kenner (Aubrey's mother) memorizes. I would point out that looking foolish is not predictive of future foolishness and also that the difference between e/p and 10 year yields which is a maximum now has to be ultimately a key determinant of future returns. As Mr. Jia said, "this too will pass" and I will not look so foolish in the reasonable future.

8. Mr. Swaps points out that the differential between e/p and int rates should be expected future e/p - i. There are three objections to that view.

1. Empirically using past e/p with quarterly earnings its not true.

2. The e/p forecasted with 2021 is the normal 7-9 %.

3. The rate of all companies capital budget their investments and use a 15% or 20% cutoff. This is not likely to change. Thus the e/p whether using forecasted earnings or the internal rate of return than companies use is stable and bullish.

9. Several readers have kindly pointed the finger at what they see as my Johnny one note reason for eternal bull being e/p-i. As I pointed out to the triumphal trio and the Yale nobelist useful idiot, it's not the dividend yield that explains the drift. If there is one thing it's the return from holding a risky piece of capitalism. And the return gets higher the more pessimistic and riskier the market. That's an empirical fact. One's always fear is that socialism will triumph. But as Mr. Ellison and I have pointed out many times there's always a fantastic fear in the market. Every year it's something. And yet old man river keep flowing 50,000 fold a century.

Follow @VicNiederhoffer on twitter for more. 



I've been asked if there is one reason for the 50,000 fold a century drift, what is it? I am pleased to acknowledge that I was able to adjust the triumphal trio to forget about the useful idiot Yale view that it's dividends yields that explains the drift. If I had to say one thing its providing capital to firms through purchase of stock that lets you participate in the internal returns of capital that all good firms make i.e. 15-20%. After rake its come to 10-15% a year left for you but gets more in times of pessimism in line with risk return trade-off. What's your views as to a reason for drift or heaven forbid your views of lack of future drift. Imagine where we'd be if cattle trader was at helm.



The 2009 flu infected between 1 and 2 out of every 10 people - .7 to 1.4 billion out of a global population of slightly less than 7 billion. This was more people than the number infected by the Spanish flu. The difference was in the fatality rate. Wikipedia's article says there were between 150K and 575K deaths. Our family know-it-alls who actually studied science and have degrees and get paid for their opinions think the current pandemic has the same transmission rate as the Swine flu, which was much faster than either SARS or Ebola.

They think the fatality figures for the U.S. will be much worse than those in Asia because the government will not be able to compel testing. The data from S. Korea looks good precisely because everyone is being tested. Here the examinations will and should focus on the vulnerable elderly. The range of fatality estimates for the swine flu is nearly 2 times what the estimated infection numbers were. That is because the correlation between deaths and the particular flu were subject to the same variations in the thoroughness of testing. 150,000 to 575,000 people died - a "rate" between .01 and .04 of 1%.



 1. Since last Wednesday I had the pleasure of visiting at Duke with my med school daughter and Adrian Bejan. I asked Bejan what the most important principle of river flow is and he answered it keeps flowing forward until a dam blocks it. This is good advice for stock market traders.

2. One notes 8 occasions that the S&P futures were down 75 big points or more since 1996 and all were up by Tuesday close an average of 45 points or 3% by Tuesday close. One recalls the October 19th 1987 crash and noted a big decline from Wed close to Thurs opening and then clear sailing to new his.

3. The only thing worrisome now that those who were on margin were forced out is that the presidential odds show Biden almost 45% to win election now with only 55% for Trump.

4. One notes that Dr. Bejan won this prestigious award from France and the Pres and dep chair of Duke attended. It was the first time he had met with them in 38 years of teaching. Perhaps the reason is the idea that has the world in its grip.

5. This was 75 big points or more on Monday.

6. A note from Mr. Jia with the comment "this two will pass": "How Does This Compare to Ebola, SARS?"

6. Excellent article with many highways and byway relating to markets: "He's on Fire! What NBA Jam's Hot Hands Reveals About the Power of Streaks"

7. A note from Jeff Watson concerning the importance of maintaining proper margin: "Frank Crumit: A Tale of the Ticker (1929 Stock Market Song)"

8. Writing in 1935 Nock notes the proverbial pre-election rally. One should test this.



Monday's statement from the Fed increasing the size and scope of their daily repo operations.



Allen Gillespie comments on this post from Feb 7th:

Having covered the gaming sector and written posthumously on the death of DARPA's Policy Analysis Market - I could not let this post pass without a more detailed consideration, for a few reasons: First, market structure matters in the predictive accuracy of a market. I also think the death of these projects has resulted in a mentality of more data, is better, so we are going to suck it all in regardless of personal liberties even if we cannot accurately analyze it. I personally think a better study of cross correlation analysis would lead to better and more timely insights without the violations to personal privacy we now experience - that is what I proposed to DARPA but they didn't seem interested.. After this latest Corona Virus - our biology will now be collected as well and full tracking will probably be mandatory. Gotta love Big Brother you know. In addition, certain projects have been pushed into private enterprises then the data repurchased data to get around restrictive laws.

1. Spot markets reflect a market's current discounting of future cashflow for stocks, however, a futures market would reflect the spot market at that future point in time. As a result, they both have predicative abilities but they are focused on different periods of time. This is why many do not understand how to use yield curve data, for example, because it reflects varies leads and lags. Spot data, because it is a discounting mechanism, also reflects futures events - anyone have an idea of the best sector in the 2016 election year or the 2008 election year - what about 200? I will give you a hint, what is good for government is bad for business and what is good for West Virginia may not fly in California both identified, and the low in defense spending dates back a few years. This year, China, biology, guns, HSA, student loan, and work and staying at home related names seem to be the themes - just be aware of the weather cycles. Informational warfare is a different game - as there are lots of potential cross-currents and beneficiaries this year - its the Strike You Know - how do you clear a street of protesters? Who says rates should be zero and we should not have sent manufacturing overseas? Who went on strike? What was the policy on Iran's nuclear program and what was the Stuxnet virus? What is the lab safety record in China? Does containing an outbreak lead to more money and nationalization of the healthcare systems? Many competing vested interests here.

2. Political markets are unique given that markets are designed to balance money to the real odds, but in political markets - every man can independently influence the final outcome through actions outside the market. In short, political markets are more likely to be imbalanced by the Palindrome's reflexive function - as a bettor is not only a bettor but potentially a participant with a single vote - different rule set than the markets. Therefore, the number of bets on a side may be more predictive than the money on a side provided each market participate can vote. This was the problem with the PAM and why after 9/11 certain rules were created - if one has inside knowledge - well then certain activities become self-financing. The insurance claims on the World Trade Center are an interesting financial case.

Victor Niederhoffer writes:

What evidence is there that future markets predict actual future events better than spot prices. This will be relevant now that polls give dems almost an even chance while betting markets are highly in favor of Rep. One expects a deluge of articles from newspapers showing that polls in recent years are just as good as betting markets.

Stefan Jovanovich writes:

The betting markets that are serious because they accept sized wagers–those of the bookies in Britain–are options. That is why you can get a quote on a bet that is clearly going to expire out-of-the-money.

If you use linear polling, the spot and futures prices converge nicely the nearer you get to an election.

"Linear polling" is what I call regular sampling over time of an unchanged initial sample–what the LA Times and the private Trump polls did in 2016. The USC Dornsife poll is my current favorite, and they are–not a surprise!–predicting Trump's re-election.

Peter Ringel writes: 

Whatever threatens the old information monopoly will be attacked.



I think it valuable to test the hypothesis that on certain days there are more crosses of the round number 50 as in 3250 in emini futures than is random.

Theo Athanasiadasis writes: 

This needs to be tested on intraday basis. On daily basis there is no statistical evidence. There is a small tendency to have more crossings than expected but in line with randomness. Happy to share the testing process/code. The idea is to compare the historical ES crossings of 50 (based on settlement prices) with random index moves that could have happened (bootstrapped delta estimated from adjusted prices). 

Since emini inception (10k simulations):
Historical Number of Crossings=1260
Expected Num Crossings (average of random bootstraps)=1246
Confidence Interval=[1196,1296]
Pval = .32
Similarly for the last 10years
Historical Number of Crossings=654
Expected Num Crossings (average of random bootstraps)=642
Confidence Interval=[608,677]
Pval = .29

What is perhaps more interesting from daily data is the 100point rounds. There is close to non-random tendency for ES to avoid crossing those levels frequently.

Since emini inception (10k simulations):
Historical Number of Crossings=620
Expected Num Crossings (average of random bootstraps)=649
Confidence Interval( 5,95) =[614,686]
Pval = .92
Similarly for the last 10years
Historical Number of Crossings=314
Expected Num Crossings (average of random bootstraps)=334
Confidence Interval( 5,95)=[308,361]
Pval = .91



An erudite spec corrected my error: it's the arc sine function.

Victor Niederhoffer writes:

But this is a statistical thing and not predictive other than randomness at any time of day for subsequent movements. There are reasons to hold till end of day relating to vig and margin calls but nothing relates to arc sign law.

Larry Williams writes: 

Large range days—up or down–are most apt top close at the extreme of the range. A good reason to hold to the close.

Jeffrey Hirsch writes: 

Super helpful today in the fund, Larry.

Larry Williams writes: 

Glad an old man can still be of assistance!



 He was a great guy, genuine, open and a superb businessman/salesman. I enjoyed our talks enormously, as he knew retailing really well. The wine tastings he did at his house were a blast, as you would expect. He could be really funny, especially with the pretentious.

He lived down the street from us, and my wife was friends with his daughter Charlotte, who was the construction manager for the new (at the time) Getty Museum on this hill.

The family gave back a lot, both to Stanford, the arts etc. I miss him, and wish there were more like him.



Russia was the erstwhile leverage cyclotrone, selling its primary produce the commodities below cost of production. Went bust.

China the next cyclotrone is even more aggressive. Not only the highest operating leverage anywhere in the world as an economy but the Chinese Gummint facilitated layers and layers of cross holdings and paddings within all balance sheets.

Today it's a house of cards. It can collapse. Everyone knows this can bit.

Question is how probable that is and what sort of time for the dragon to roll crumbling on the floor?

Peter St. Andre writes: 

What are the measures for "going bust"? Unless we have criteria, we'll be stuck in the domain of subjective opinions.

(I leave aside for now the question of whether the CCP provides accurate measures of economic activity.)

Jeff Rollert writes:


1) Abandoning their managed currency;

2) Significant nationalization of lending institutions;

3) Direct monetization.

Sushil Kedia writes: 

Going burst has a simple definition: unwillingness and /or inability to fulfill contractual obligations.

1st Failure has happened: They dug roads out of Wuhan and left their own people to die. Its the worst form of bankruptcy any state can ever undergo. Tell-tale signs that if they can kill their own with impunity, they will have no shame in reneging on any contract that they are compelled to.

A list of further signs would be, not necessarily in any order of gravity:

a) Letters of Credits issued by Chinese Importers lapsing & banks denying their fruition. (Is there some place on the net where it can be tracked?) b) Abandoning the currency peg would be of course a public confession of admitted weakening of their financial juggernaut & not a true case of going bust but a strong warning sign that the bust is coming round sooner. c) Failure to meet with any contracts for imports or exports by a Government agency or a Government backed enterprise.

Its simple. Mr. Tweeter should let the FED front-run the Chinese hoard of US Treasuries & send the US Yield Curve hurtling, now. As the Chinese are left with nothing else to pay with except their US Treasury holdings extricate a Trade Deal of the Millennium, offering support to the Chinese via a "friendly" QE.

And by the time its voting time he can tweet "Make America Great Yet Again" and push the S&P500 from 2200 back to new all time highs in a rocket like move. 

anonymous writes: 

I'm told that Chinese contracts with "force makeup" clauses are worthless, here and in China.

Tracking those is impossible, as far as I know, as they are usually very private. 

J.T writes: 

Can you even imagine the nuclear winter if they liquidated their holdings in U.S. debt? Not going to happen but it would make a great script.

Art Cooper adds: 

Cf. the 1981 thriller, "Rollover".



Here we go, Italy goes first with stimulus to counter COVID-19.



I am predicting one of best weeks in history next week starting with Mon. Reasons on twitter.

Ralph Vince writes: 

Yes indeed. Gold was down on the week last week, credit quality spreads didn't blow out — the coup e grace was the videos shot on smartphones supposedly of Chinese police chasing after guys with Covid19 (because, you know, they can tell the guy had Covid19, not the flu, those Chinese cops just "knew").

A month from now I suspect the foolishness we've witnessed will be apparent, which is not to say it's not deadly for one in 50 who catch it or less. Americans will be a country of total germaphobes by the time this weekend is over - a form of self-isolation which will further mitigate the viral spread.

March will be made in the first week I suspect, on a violent, rather disorderly lurch upwards. Then the volatility will return to normal, a process that will take time. After this quick, abrupt rebound (which no on will be able to get aboard if they aren't already, I further suspect) we'll go sideways, punctuated with head fakes, stutter-steps, and feints of breaking out to the upside or downside. But the ensuing move is well-over the horizon, the crowd needs to be ground down into total ennui. Eager to recover their losses and missed opportunities, the market will do the most perverse thing it can to the most players, as it always does.

Not until we feel like we're watching paint dry will the next move come.


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