不太懂，慢慢看，慢慢学习。
俺先来抛个砖.
这是9月20号阿曼兰诗出了那个大news后的第二天, 在Bloomberg terminal上画的, 目的是分析为什么wrong way bets可以轻而易举的write off as much as 7B. 当然这只是一个trade example.
除去leverage, liquidity的因素不说以外, 单看这个spread collapse, 纯属过去3年的一个anomaly. 它家这次死的这么惨, 也算是天灾人祸赶一块儿了.
这个是trailing 6M的:
这个是T3Y的:
总之哪, 预期中的hurricane没有出现, natural gas狂泻, 他们的大笔contracts全部砸在手里了. End of story.
你是说他们long march future,short apri future?结果两个price collapsed，就大笔亏钱了？
不过三年图里面，看起来似乎两年前以前的spread更小，不知道如果换成percentage的话，是不是更能说明问题。
这个commodity future和stock option的不同之处之一就是受季候影响, volitility高的多. 夏季过后和冬季之前一般受demand decline的影响, 价格下降. You can trade this spread, betting it getting larger, and this is what they did exactly. They anticipated hurricane season this year will again make gas prices skyrocket in the winter, and heating will also boost this too. After winter season is over, price will drop as usual, so the spread is destined to widen.
Unfortunately the "knockout" hurricane storm never came, and winter forecast is saying a mild winter is widely anticipated, so natural gas price tumbled in September. The spread collapsed. Because the amplitude of mass capital leverage associated with this spread, gigantic loss occurred. The fund ended up winding down all its positions and liquidating.
3 years ago, they didn't even start gambling in this strategy like this. It all because of their greed.
are you in the energy mkt as well?
hehe, I am not,
I am just a watcher and this thing just jumps to me.
it seems to me that we are reading the same source
you got pretty good analytical skills. kinda wondering if you are a quant.
it seems to me that we are reading the same source
you got pretty good analytical skills. kinda wondering if you are a quant.
Thanks for comliments and I am humbled. I am just a very junior novice who scrambles trying to know more. Now a quant though.
It looks like interest rates will not fall as predicted over the last couple months. Recent data implies it's more probable that Fed keeps status quo. Treasuries retreat today.
[此贴子已经被作者于2006-10-31 9:06:37编辑过]
Let's stop this eulogy exchange, hehe. Only me knows who I really am. Just like when you have consecutive successful trades, too much ego and self-confidence are incubators for taking greedy moves against risk disciplines, and eventually the trades will move against you.
In fact I do think this case will eventually go to textbook, just like LTCM, if not bigger.
[此贴子已经被heavysnow于2006-10-31 9:08:20编辑过]
sure.
it's just like a game. you cant always win.
Brian Hunter 他们的问题在于假设了一个大概论事件，但为了获利却又用了巨大杠杆。就好比，为了目标盈利N，他选择1%的失败率，却要付出100元赌本的选项A，其实和10%失败率，只需付出10元赌本的选项B差不多。由于市场是这么多的人玩，早已经很efficient了，他赌spread啥的，其实和去炒天然气期货，或者买卖天然气股票最终风险回报率等同。他妄想有一个风险回报优于其他的投资品种，实在是狂妄之极。
不过似乎跑题了吧，我的帖子是关于人民币汇率。希望大家从一个非专业炒家的角度谈这个问题。
到底了
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