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Understanding 0DTE Part 2: Trading 0DTE
March 8, 2023
0DTE options have become a focus for market participants trying to understand where risk lies. Looking at the derivatives market and how these options are traded is a crucial first step.
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Quick Comments/What We’re Reading
March 8, 2023
Today's topics include updating the odds of a 50 basis point hike, 6% coming soon?, the terminal rate & price stability, yield curve inversions, Powell's speeches bring volatility, the retail crowd's infatuation with options, active management's 'good' year, macro funds, quantifying remote work, and watch all central banks
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Cartoons
March 8, 2023
Media & Communications
Latest on 2/10s Curve
March 7, 2023
Powell just finished, and here is the updated probability that the Fed will hike 50 next week. Go with the market probabilities, and you’ll be mistaken for Nostradamus. So much for the idea that nothing happens at these testimonies! The terminal rate is now out to 5.62% Remember, in the last several cycles, the 2-year… Continue reading Latest on 2/10s Curve
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Understanding 0DTE Part 1: Measuring Volatility
March 7, 2023
While intraday volatility rises, longer-term volatility remains subdued. Traditional measures of volatility are being questioned. Understanding how this happened might give a clue as to where the risk lies.
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The Problem With Surveys: Payroll Report Edition
March 7, 2023
Many government statistics are collected via surveys. As with political polls, the public is souring on answering them. The result is lower response rates and larger error rates.
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Quick Comments/What We’re Reading
March 7, 2023
Today's topics include talkin' Fed policy & interest rates, banks finally raising deposit rates, previewing Friday's payrolls report, predicting recession, missing bankers in China, the Cleveland Fed's inflation nowcast, diverging volatility across assets, stealth stimulus, explaining seasonal adjustments, algos vs. humans, and the debt ceiling
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Cartoons
March 7, 2023
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Q4 Earnings Update: Bleak Earnings Season Might Spell Trouble for Growth
March 6, 2023
As the Q4 2022 reporting season winds down, earnings have been a disappointment. The beat rate is less than expected and the reporting "bounce" is among the smallest ever seen.
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Quick Comments/What We’re Reading
March 6, 2023
Today's topics include Powell speaks tomorrow & Wednesday, stocks as an inflation hedge, credit spreads diverging from tighter lending conditions, foreign holdings of U.S. Treasuries, energy's new normal, manufacturing feeling squeeze of higher rates?, and Bloomberg's pulse survey