Investing

The Short-Term Trading Thread

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Deal Fanatic
Jun 27, 2007
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market can rally as some stocks got oversold. bear market rallies look strong and make good headlines, just look at 2008.

what's sweet in my hood is that I am actually positive on the day. about +1%, not bad, premium is coming in and I have 750 theta - big number.
anyway, going to cover 30% of ES short before the close. Market can rally another 15-20 points, and my portfolio will get more short - so cutting risk is prudent.
It's easy to grin when your ship comes in and you've got the stock market beat.
But the man worthwhile is the man who can smile when his shorts are too tight in the seat 😃
In Fed We Trust - Make ES Limit Down Great Again!
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May 7, 2017
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Do any of you track Feds QT dates? Usually on day of QT (days when MBS are sold or treasury bonds mature), market drops.
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Oct 22, 2014
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bend3r wrote: Do any of you track Feds QT dates? Usually on day of QT (days when MBS are sold or treasury bonds mature), market drops.
I cannot find this info. Treasury announces treasury bond sales, but I imagine FOMC does not announce asset sales on the public market (it would be easy to front-run)
Last edited by Elfwood on Nov 29th, 2018 12:35 am, edited 1 time in total.
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Elfwood wrote: I cannot find this info. FED announces treasury bond sales, but I imagine FOMC does not announce asset sales on the public market (it would be easy to front-run)
Apparently it is public enough that it is front run. You can get bond maturities from NY Fed and MBS from different banks (Fannie/Freddie etc).

There are people on Twitter who compiled and publish info about it some time ago.

This week there was no QT yet, on Friday however it’ll happen again.

Not sure how today’s rally would hold on Friday ... was wondering if anyone of you follow this.
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Mar 22, 2010
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bend3r wrote: Not sure how today’s rally would hold on Friday ... was wondering if anyone of you follow this.
Where is our bond guy? @MrMom
[OP]
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Nov 6, 2015
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Good morning!

Markets are at a critical juncture. The way I see it, break above 2750 opens up 2800+ target (backtest of broken channel).
Conversely, back under 2720-2700 and we will most likely see new lows.

CL poked under the psychological 50 level and reversed. Above 52.50 opens up 55/57/60 as bounce targets.
If 50 goes, 46 should be hit in short order.
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Deal Fanatic
Jun 27, 2007
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bend3r wrote: This week there was no QT yet, on Friday however it’ll happen again.
Not sure how today’s rally would hold on Friday ... was wondering if anyone of you follow this.
interesting, some timing cycles point to this rally ceiling on Friday - very high chance. This coincides with QT - FED taking away liquidity and market is not going to like it.
It's easy to grin when your ship comes in and you've got the stock market beat.
But the man worthwhile is the man who can smile when his shorts are too tight in the seat 😃
In Fed We Trust - Make ES Limit Down Great Again!
Deal Addict
Aug 17, 2008
4480 posts
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rapashoo wrote: Where is our bond guy? @MrMom
I read a piece on this last week. Naturally I can't find it nor recall exactly where I read it. Too many emails to go through and I have too many balls in the air right now. I'll see if I can find it.

"System Open Market Account Holdings of Domestic Securities": https://www.newyorkfed.org/markets/soma ... dings.html

If anyone wants to search here or in the Open Market Operations section for more info.
Deal Fanatic
Jun 27, 2007
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VIX, above 20, sneak attack. Watch out longs
It's easy to grin when your ship comes in and you've got the stock market beat.
But the man worthwhile is the man who can smile when his shorts are too tight in the seat 😃
In Fed We Trust - Make ES Limit Down Great Again!
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Mar 22, 2010
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Bought back calls sold yesterday on AMZN.

Trump going at it again re: Government shutdown.
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MrMom wrote: I read a piece on this last week. Naturally I can't find it nor recall exactly where I read it. Too many emails to go through and I have too many balls in the air right now. I'll see if I can find it.

"System Open Market Account Holdings of Domestic Securities": https://www.newyorkfed.org/markets/soma ... dings.html

If anyone wants to search here or in the Open Market Operations section for more info.
https://www.themacrotourist.com/posts/2018/05/15/qt/

He pointed this out back in May!
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Aug 17, 2008
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bend3r wrote: https://www.themacrotourist.com/posts/2018/05/15/qt/

He pointed this out back in May!
Month end flows are whacky. Short example.

In a much smaller mkt where flows can have a greater impact, Canada's predominantly mature on Dec 1 and Jun 1. The BoC has been trying to spread this out to Mar and Sept. <Leading up to> every Dec 1 & Jun 1 the street talks about "the coupon effect." Cash comes in on those dates and institutional investors get to reinvest the cash and the street gets all pumped up about the upcoming dates. But the excitement rarely translates into any perceptible price or spread changes. At least in my experience.

In terms of UST & MBS maturities, maybe there is a correlation. It's too soon to tell. The street has been talking about possible impacts ever since the notion of removing QE. But you have to remember the recent auctions have been much larger than the maturities. Here's yesterday's "Off The Run" 7 year results.

The thing about MBS face amounts is that they are exactly that. Face amounts. 1,000,000 par does not equate to the actual outstanding principal due at maturity. RPB, remaining principal balance, is what people need to focus on and I dk what is reported. This data is all out there somewhere. As in an underlying home mtg, when the principal payments are made, the "pool factor" of the MBS becomes lower each month. Mkt convention is to keep trading and quoting MBS pools as their original face amount, but the pricing calculation takes into account the RPB. ex $1,000,000,000 x 0.268 = $268,000,000 Big difference.

Update: Want to point out that yesterdays 7Y auction settles tomorrow, Nov 30. So the street has to come up with just under $32B ($32B x $0.99537120) tomorrow to pay for it. Where's the bigger impact? IDK.
Last edited by MrMom on Nov 29th, 2018 12:05 pm, edited 1 time in total.
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May 7, 2017
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MrMom wrote: Month end flows are whacky. Short example.

In a much smaller mkt where flows can have a greater impact, Canada's predominantly mature on Dec 1 and Jun 1. The BoC has been trying to spread this out to Mar and Sept. Every Dec 1 & Jun 1 the street talks about "the coupon effect." Cash comes in on those dates and institutional investors get to reinvest the cash and the street gets all pumped up about the upcoming dates. But the excitement rarely translates into any perceptible price or spread changes. At least in my experience.

In terms of UST & MBS maturities, maybe there is a correlation. It's too soon to tell. The street has been talking about possible impacts ever since the notion of removing QE. But you have to remember the recent auctions have been much larger than the maturities. Here's yesterday's "Off The Run" 7 year results.

The other thing about MBS face amounts is that they are exactly that. Face amounts. 1,000,000 par does not equate to the actual outstanding principal due at maturity. RPB, remaining principal balance, is what people need to focus on and I dk what is reported. This data is all out there somewhere. As in an underlying home mtg, when the principal payments are made, the "pool factor" of the MBS becomes lower each month. Mkt convention is to keep trading and quoting MBS pools as their original face amount, but the pricing calculation takes into account the RPB. ex $1,000,000,000 x 0.268 = $268,000,000 Big difference.

Update: Want to point out that yesterdays 7Y auction settles tomorrow, Nov 30. So the street has to come up with just under $32B ($32B x $0.99537120) tomorrow to pay for it. Where's the bigger impact? IDK.
ha. This explains why some some MBS days are not as impactful. Thanks.
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Aug 17, 2008
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bend3r wrote: ha. This explains why some some MBS days are not as impactful. Thanks.
At month end or on any given day, there's so many moving parts that it's hard to say this was the cause.

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