俺很土, 没装那个Bloomberg Anywhere, 礼拜一去终端上给你拉些东东下来吧, 呵呵.  很简单的, 用它的Excel插件就可以实现了.  你想一次要几十几百个ticker也没问题, 实时计算return的...当然, 如果你想看复杂一点儿的yield spread估计还是得自己动手来.

以下是引用icyscorpio在2006-10-21 1:57:00的发言：

以下是引用NXCD在2006-10-20 19:15:00的发言：

 俺很土, 没装那个Bloomberg Anywhere, 礼拜一去终端上给你拉些东东下来吧, 呵呵.  很简单的, 用它的Excel插件就可以实现了.  你想一次要几十几百个ticker也没问题, 实时计算return的...当然, 如果你想看复杂一点儿的yield spread估计还是得自己动手来.

 

 

 

翘首期待周一的到来

你得告诉我想要啥data, 我才好有的放矢啊......

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.

[此贴子已经被作者于2006-10-23 0:25:17编辑过]

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.

以下是引用heavysnow在2006-10-23 12:44:00的发言：
are you in the energy mkt as well?

hehe, I am not,

I am just a watcher and this thing just jumps to me. 

以下是引用heavysnow在2006-10-23 12:57:00的发言：

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.

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]

The other side of story is liquidity, which is independent of leverage.  They got involved in so many illiquid instruments, so they eventually became the market and found no one took their chips.  There's only one outlet then.

Back to CNY. Like I said before, the real inflation outpaced USD so much that US tbills can't always be discounted.  Is the inflation in US halted after 17 consecutive rate hikes?  Absolutely no.  If US decides to deflate asset bubble and halt currency slide, then real rates will go up, treasuries will tumble, foreign capital will move back to US, and CNY will stop appreciation and become stable. 

However, if US wants to avoid bursting asset bubble so as to keep paper money of everyone and keep consumer sector from tanking, the only way to offset double deficit is to print money.  In this scenario, greenbacks will continue to depreciate against all other currencies, and even decouple from precious metals and crude oil trades. That way, there's only one direction for CNY, that is up.  

Another factor in the equation is health of china's banking sector.  How big portion of NPL could be in their books?  The Big 4's busy selling them to foreign banks and asset mgmt firms.  It's frenzy like no tomorrow.  If real estate market tanks in china itself, there's much to add onto CNY's pressure.