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Why Nomura’s McElligott Sees Scope For An ‘Optical’ Market Bounce

"This is where I expect [the] next wave of monetization in hedges"...

"This is where I expect [the] next wave of monetization in hedges"...
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10 comments on “Why Nomura’s McElligott Sees Scope For An ‘Optical’ Market Bounce

  1. If this market gives the Tweeter in Chief breathing room we will likely see a resurgence of Geopolitical instability that threatens to upset the entire apple cart because it will leave Bolton and Pompeo unfettered on their Foreign Policy Goals once again l. Think potential oil supply disruptions here……

  2. Anonymous

    Great article, just wish I knew more about gamma and spots 🙂

  3. Is it really true that that most CTAs are doing essentially the same thing? How could this be independently verified? And, who needs CTAs if Charlie can so easily replicate what they are doing?

    • nobody besides the managers know exactly what they’re doing, but these are trend-following strats, so it’s not terribly difficult to make educated guesses based on price signals

      • remember, Charlie is hardly the one person that estimates how CTAs are “behaving”. pretty much every bank tries to proxy it and besides, all you really need to do to get a lagging read on it is run a moving beta study on some of the SG CTA indexes on your terminal. that’s a “dumb” way to do it, but it’s a decent proxy

        • Thanks for answering but why do you think it’s a decent proxy? And, again, why do you think a decent proxy even exists? Index is by definition a (weighted) average. What if different CTAs have rather different levels to enter/exit their positions? What if the roll in/out gradually? And what if all these levels are dynamically adjusted based on latest market moves? I suspect that studies of this nature could have very low predictive value depending on how sophisticated these people are.

  4. I’ll make a small confession: I’m a quant working for major American IBs for a rather long time. I believe it would be fair to say that I know a lot more than you about the quality of models and personnel as well. While strats working at trading desks are generally good (and some are excellent), people beyond Chinese wall are generally, well, mathematically unsophisticated. Of course, some of them could be very good and this guy Charlie in particular seems very smart, his model could be good. Unofficially, at my current place of employment, such model doesn’t seem to exist at all.

    Yes, I remember that post. I was under impression that you expressed a dose of healthy skepticism back then.

    • Good for you. I’m glad you’re good at math-ing. And I’m super grateful you took some time away from fiddling with your abacus to talk to us simpleton cavemen about how “mathematically sophisticated” you are.

      Im just kidding. I don’t care who you are or where you work. It makes no difference to me. Thanks for playing.

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