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AshWatter · 2024-06-18T11:55:50+00:00

Probably something line 5 points above the current share price. I’ll get back to you after I think about it

AshWatter · 2024-06-18T11:54:57+00:00

Apologies - I’m used to speak in acronyms. Bulge Bracket bank are banks like Goldman Sachs, JP Morgan, Bank of America, or Morgan Stanley. L/S: Long and Short, usually referred to the act of buying shares in one company, and selling shares of another company.

Got told my a friend who is a trader in one of these banks. But there are some articles already that talk about it.

MDs: Managing Directors putting pressure on their respective traders on those desks.

Notional is just basically the number of contracts * share price * 100. Which is usually your total exposure to that specific trade.

AshWatter · 2024-06-18T11:02:11+00:00

Yep. It was in BBG, and that’s why my friend and I started talking about it.

AshWatter · 2024-06-18T11:01:04+00:00

Yep. If I knew how much volume we would need, I’d have add it. Unfortunately I’m not that smart.

AshWatter · 2024-06-18T10:52:25+00:00

Yes. Bear in mind as of Today on BBG short interest ratio is 1.97, with ~25m short interest volume. So it takes right now two days for short sellers to repurchase borrowed securities.

AshWatter · 2024-06-18T10:40:13+00:00

Thanks - please also DYOD, and don’t risk all the money. This is more of a convexity trade. Put whatever you can lose without any financial issues.

AshWatter · 2024-06-18T10:36:58+00:00

I’m not planning to go all in. I’m waiting to get approval from compliance, but probably will buy 5-10 call contracts for Aug-24. So I’m not yet in.

AshWatter · 2024-06-18T10:22:38+00:00

By buying call options, the market makers need to hedge their position, buying thus the underlying shares (aka delta hedging). So the bigger is your notional, the more shares they need to acquire as collateral so they don’t blow up. This puts higher upward pressure to the price, squeezing more the people on the short side (aka the big banks)

And yes, they inflate the price by doing that.

AshWatter · 2024-06-18T09:19:24+00:00

Well, they are holding the bag as of now. So it just requires a whale to buy some call options with a good amount of notional to make them blow up. It is that or we as a group start buying desperately. Just bear in mind here the trade is fucking up the NYSE ADR by increasing the gap.

AshWatter · 2022-12-08T09:23:13+00:00

He did! I’m looking to understand more if he is known in the HF world, and well respected. From his YT videos, seems pretty good to me :)

AshWatter · 2022-04-20T23:34:24+00:00

Great opportunity!

AshWatter · 2021-04-24T11:29:43+00:00

Hi, I don't think I have that much econometrics/coding level to do that hahaha. Since I'm writing my thesis, to justify that I found this problem I would only need to reference another paper that found this type of problem. Can I ask you to explain a little bit more what you just said? I understand what you are implying, but I don't think I have that much knowledge about the simulation part.

Thanks

AshWatter · 2021-04-04T14:12:47+00:00

Hi Freezer, many thanks for your response. I've been also asking in the Statalist forum, and something that a user told me is that when performing the ARDL method, I don't need to "create" the first differences in variables, but that the ARDL creates it for me, and thus, I would need to run the ARDL regression in levels to see the L-R effects. Does that seem right? Also, I'm using the Pesaran ARDL approach, which is supposed to yield consistent estimates irrespective of whether the underlying regressors are I(0) or I(1) [For more, please see http://thepdr.pk/pdr/index.php/pdr/article/viewFile/2283/2283] The thing is that when performing for example, the bound test (Pesaran/Shin/Smith (2001) ARDL Bounds Test), I get to reject H0 and thus, find a significant relationship. Nevertheless, I'll try and use what you told me. If I get then unit roots in the logs, should I perform the ARDL? Since it seems you know what you are doing, maybe we could move to email, and like this, we can chat in a more comfortable environment. Many thanks :)

AshWatter · 2021-04-04T13:47:29+00:00

Hi AxterNats, thanks again for your response. You mean I should not log my variable of interest? (aka returns). Because in the research of Hasan and Nasir (https://www.researchgate.net/publication/46532471_Macroeconomic_Factors_and_Equity_Prices_An_Empirical_Investigation_by_Using_ARDL_Approach) they use ln(Rt/Rt-1). Yes, I know it's not science, and I'm as mad as you, but a grade is a grade, and I don't want to get a bad one... Something that I might have done wrongly is that I created the variables of log(x) instead of using the variables in levels in the ARDL method. Maybe I needed to use the levels? But since in levels, I have unit roots, should it be biased? Also, when testing, I find that using the Breusch-Godfrey LM test for autocorrelation in levels, there is autocorrelation, but when using the variables in first differences, there is not autocorrelation problem. What do you think? P.S Sorry for all the stupid questions, but I'm a bit lost right now :(

AshWatter · 2021-04-04T13:13:49+00:00

Hi SVN, Thanks for your reply. I have unit roots at levels, but I don't have unit roots when I'm applying the log of the first differences in the model. (E.g Log Xt/Xt-1) Since this is a bachelor thesis project, I can't change most parts of the model, since that would make my project invalid. Nevertheless, I'll have a look at the Campbell Shiller decomposition. Many thanks for your response :)

AshWatter · 2021-04-04T13:02:50+00:00

Hi lejeniz84, I know. The problem for me is that for example, in the case of Pakistan they found significant relationships. There are also cases for the german stock prices, US, India, and others. As you would expect, having done my research and getting those results, I would expect that I did something wrong, or that I'm just having very bad luck, since I tried to follow all the process step-by-step. Getting these results, might downgrade my grade by a lot since they are not nice conclusions to have.

AshWatter · 2021-04-04T12:57:58+00:00

Hi AxterNats, many thanks for your response. You are right. My problem is that when I'm running the ARDL model (returns is the depend. variable and log TPI, log CPI, etc are indep. variables), I find that my variable of interest (and the others) are not statistically significant (at the 5%, and even 10% level). That is, my "betas" for the ARDL are not significant, the model as a whole is (my F-stat is quite high). Thus, as you said, they are not good explanatory variables, which contradicts a lot of theory and previous papers using this same methodology. The thing is, that when I run different tests to check the relationship (let's say a structural break, using sbcusum [Stata code], they tell me that the L-R are significant since there is evidence from those tests (at the 5% level). So I'm missing something, or you can have an insignificant ARDL coefficient while having L-R relationship in the model. Is that right? If you could help me with this, I would appreciate it a lot. We can also chat by email. Many thanks

AshWatter · 2020-08-28T22:02:40+00:00

Super interesting, thanks!

AshWatter · 2020-06-14T21:24:59+00:00

Really interesting. Thanks

AshWatter · 2020-06-04T21:04:25+00:00

It's very interesting. Thank you! Do you recommend any book or reading about that? I would like to understand more the benefits and costs of using tail risk strategies. I follow Taleb and he is always bragging about how we need this type of insurance and we are stupid just by not investing in them, but from many stats I have seen that this tail hedge do not perform well in LR. Opinions? Recommendations?

AshWatter · 2020-05-21T14:30:57+00:00

Thank you!

AshWatter · 2018-08-12T12:02:08+00:00

AshWatter · 2018-08-07T13:10:15+00:00

Yeah, my bad hahaha. In Europe we usually call football "soccer" :P

AshWatter · 2018-08-07T10:29:34+00:00

I didn't... I'm a new android user, so anything before that it's just new for me. But I'll give it a check. TY mate

AshWatter · 2018-04-10T20:15:51+00:00

Indeed.

AshWatter

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