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The ‘Fed Put’ Has A New Strike, Deutsche’s Kocic Says…
Well, equities stateside have lapsed into a listless nadir as traders "await fresh catalysts" (to tr
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Thanks. I think I get the concept of the Fed needing to raise the put strike as volatility shrinks (i.e., more distance for volatility to run from its start in a selling panic, and so the likelihood of the S&P500 having dropped from a higher high from the outset), but how the hell does the formula above tell me it was ever the Fed that was the one doing the intervening?
See figures 1 and 4: https://www.yardeni.com/pub/peacockfedecbassets.pdf
And this: https://www.bloomberg.com/news/articles/2019-03-06/mizuho-foreign-bond-misadventure-follows-mass-japan-shift-abroad
And can I say I can’t get that formula to work on my calculator anyway?
Not sure what you’re asking. Read the “Through The Looking Glass” post linked above for the expanded version of the convexity management discussion.
Thank you sir. Headed that way.
And I guess I mean to say, the equation isn’t a straightforward linear maneuver and I’m not mathematically sophisticated enough to play with it the same way.