Wann und wie kommt der nächste Crash? (Seite 66)
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...
“The older cohorts of retail investors that tend to use funds for their equity investments appear to have been partly responsible for the big swing in equity markets between October and November. Younger cohorts, including millennials that tend to invest directly in individual stocks or individual equity options, rather than via equity funds, appear to have played a rather modest role,” he writes in a research note.
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https://www.marketwatch.com/articles/move-over-millennials-b…
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“The older cohorts of retail investors that tend to use funds for their equity investments appear to have been partly responsible for the big swing in equity markets between October and November. Younger cohorts, including millennials that tend to invest directly in individual stocks or individual equity options, rather than via equity funds, appear to have played a rather modest role,” he writes in a research note.
...
https://www.marketwatch.com/articles/move-over-millennials-b…
Antwort auf Beitrag Nr.: 62.326.637 von faultcode am 09.01.20 14:24:0626th August 2020
Hedging demand and market intraday momentum
PDF: https://t.co/nALPeMl8DX?amp=1
1 Introduction
During the last week of February 2020, as the coronavirus surged outside China, the US stock market crashed by more than 10% and market volatility soared. According to market participants, hedging by traders with short gamma position has been a big contributor to the increase in the volatility.(1) Gamma measures how much the price of a derivative accelerates when the underlying security price moves.
Market makers in products with gamma exposure, such as options and leveraged ETFs, are commonly net short these products.
Consequently, they have to buy additional securities when prices are rising and sell when prices are falling in order to ensure their positions are delta-neutral. Trading in the direction of the market price movement will exacerbate market swings and thereby result in market intraday momentum."
...
Abstract
Hedging short gamma exposure requires trading in the direction of price movements, thereby creating price momentum.
Using intraday returns on over 60 futures on equities, bonds, commodities, and currencies between 1974 and 2020, we document strong market intraday momentum" everywhere. The return during the last 30 minutes before the market close is positively predicted by the return during the rest of the day (from previous market close to the last 30 minutes).
The predictive power is economically and statistically highly significant, and reverts over the next days. We provide novel evidence that links market intraday momentum to the gamma hedging demand from market participants such as market makers of options and leveraged ETFs.
...
5 Conclusion
...
At the same time, market dynamics are strongly predictable intraday, and as such, proactive investors can benefit, for example by providing liquidity opportunistically in anticipation of hedging
ows, or a smart timing of planned trades.
...
Tags:
• Gamma Exposure
• GEX
Hedging demand and market intraday momentum
PDF: https://t.co/nALPeMl8DX?amp=1
1 Introduction
During the last week of February 2020, as the coronavirus surged outside China, the US stock market crashed by more than 10% and market volatility soared. According to market participants, hedging by traders with short gamma position has been a big contributor to the increase in the volatility.(1) Gamma measures how much the price of a derivative accelerates when the underlying security price moves.
Market makers in products with gamma exposure, such as options and leveraged ETFs, are commonly net short these products.
Consequently, they have to buy additional securities when prices are rising and sell when prices are falling in order to ensure their positions are delta-neutral. Trading in the direction of the market price movement will exacerbate market swings and thereby result in market intraday momentum."
...
Abstract
Hedging short gamma exposure requires trading in the direction of price movements, thereby creating price momentum.
Using intraday returns on over 60 futures on equities, bonds, commodities, and currencies between 1974 and 2020, we document strong market intraday momentum" everywhere. The return during the last 30 minutes before the market close is positively predicted by the return during the rest of the day (from previous market close to the last 30 minutes).
The predictive power is economically and statistically highly significant, and reverts over the next days. We provide novel evidence that links market intraday momentum to the gamma hedging demand from market participants such as market makers of options and leveraged ETFs.
...
5 Conclusion
...
At the same time, market dynamics are strongly predictable intraday, and as such, proactive investors can benefit, for example by providing liquidity opportunistically in anticipation of hedging
ows, or a smart timing of planned trades.
...
Tags:
• Gamma Exposure
• GEX
Antwort auf Beitrag Nr.: 65.776.143 von faultcode am 19.11.20 22:45:40Zunächst:
ansonsten:
https://twitter.com/Mrs_Skilling/status/1329833526318026754
ansonsten:
Zitat von faultcode: ...
und auch dabei: Chamath Palihapitiya:
...
https://twitter.com/Mrs_Skilling/status/1329833526318026754
Eine Nachricht, die mMn nicht übersehen werden sollte:
19.11.
Mnuchin lässt gewisse Corona-Hilfen gegen den Willen der Fed auslaufen
https://www.finanzen.net/nachricht/aktien/mnuchin-laesst-gew…
...
Fed Furious After Mnuchin Refuses To Extend Some Bailout Programs
https://www.zerohedge.com/markets/mnuchin-refuses-extend-som…
...
Despite Fed Chair Powell's desire for them to remain in place, Treasury Secretary Steven Mnuchin has declined to extend several emergency loan programs established jointly with the Fed that are set to expire on Dec. 31.
...
...
https://twitter.com/BChappatta/status/1329539524591034375
20.11.
This Fed-Treasury Public Fight Has No Winners
The coronavirus crisis dream team of Jerome Powell and Steven Mnuchin cracks after the election.
https://www.bloomberg.com/opinion/articles/2020-11-20/fed-tr…
=> kann mMn natürlich wieder nur übliches Polit-Theater in Washington DC sein.
Kann aber auch sein, daß die verbliebene Trump-Administration zum Abschied verbrannte Erde hinterlassen will.
Mal beobachten.
19.11.
Mnuchin lässt gewisse Corona-Hilfen gegen den Willen der Fed auslaufen
https://www.finanzen.net/nachricht/aktien/mnuchin-laesst-gew…
...
Fed Furious After Mnuchin Refuses To Extend Some Bailout Programs
https://www.zerohedge.com/markets/mnuchin-refuses-extend-som…
...
Despite Fed Chair Powell's desire for them to remain in place, Treasury Secretary Steven Mnuchin has declined to extend several emergency loan programs established jointly with the Fed that are set to expire on Dec. 31.
...
...
https://twitter.com/BChappatta/status/1329539524591034375
20.11.
This Fed-Treasury Public Fight Has No Winners
The coronavirus crisis dream team of Jerome Powell and Steven Mnuchin cracks after the election.
https://www.bloomberg.com/opinion/articles/2020-11-20/fed-tr…
=> kann mMn natürlich wieder nur übliches Polit-Theater in Washington DC sein.
Kann aber auch sein, daß die verbliebene Trump-Administration zum Abschied verbrannte Erde hinterlassen will.
Mal beobachten.
Trading Spotlight
19.11.
How hedge fund traders known as the SPAC Mafia are driving an $80 billion investment boom with a no-lose trade.
https://www.forbes.com/sites/antoinegara/2020/11/19/the-loom…
...
In May 2018, Landcadia finally located its target: a budding online restaurant delivery service called Waitr that would merge with the SPAC in exchange for $252 million in cash. Fertitta touted the fact that the Louisiana startup, with $65 million in revenue, would now have access to 4 million loyalty members of his restaurant and casino businesses, and a new partnership with his Houston Rockets NBA franchise. Two years later, though, you very likely have never heard of Waitr. As such, its stock recently traded at $2.62, down more than 70% from its IPO price (the S&P 500 has climbed 76% over the same period).
Waitr was a disaster for pretty much anyone who bought the stock early. But the hedge funds that purchased Landcadia’s IPO units did just fine. Virtually all recouped their initial investment, with interest, and many profited by exercising warrants in the aftermarket. “SPACs are a phenomenal yield alternative,” says David Sultan, chief investment officer at Fir Tree Partners, a $3 billion hedge fund that bought into Fertitta’s Landcadia SPAC IPO—and pretty much any other it could get its hands on.
...
There’s only one loser in this equation. As always, it’s the retail investor, the Robinhood novice, the good-intentions fund company like Fidelity.
...
According to the study of recent SPACs by Ohlrogge and Klausner, a typical SPAC holds just $6.67 a share in cash of its original $10 IPO price by the time it enters into a merger agreement with its target company.
...
According to NYU’s Ohlrogge, six months after a deal is announced, median returns for SPACs amount to a loss of 12.3%. A year after the announcement, most SPACs are down 35%.
...
Die Geschichte der SPAC's ist weiter unter gut erklärt.
SPAC = Special Purpose Acquisition Company
__
und auch dabei: Chamath Palihapitiya:
Palihapitiya, 44, is a former Facebook executive who founded Silicon Valley venture capital firm Social Capital in 2011. With his venture business slowing down, Palihapitiya has recently turned to the public markets.
In the span of 37 months, he has raised $4.3 billion in six New York Stock Exchange–listed SPACs that go by the tickers IPOA, IPOB, IPOC, IPOD, IPOE and IPOF. The founder’s stock he has received for his “promote” will amount to no less than $1 billion, by Forbes estimates.
In late 2019, Palihapitiya used one of his SPACs to take Virgin Galactic public. Two other deals have already been announced: mergers with homebuying platform Opendoor at a $5 billion valuation and with medical-insurance company Clover Health at $3.7 billion. Palihapitiya and Gores point out that they intend to invest hundreds of millions via private placements in their deals.
How hedge fund traders known as the SPAC Mafia are driving an $80 billion investment boom with a no-lose trade.
https://www.forbes.com/sites/antoinegara/2020/11/19/the-loom…
...
In May 2018, Landcadia finally located its target: a budding online restaurant delivery service called Waitr that would merge with the SPAC in exchange for $252 million in cash. Fertitta touted the fact that the Louisiana startup, with $65 million in revenue, would now have access to 4 million loyalty members of his restaurant and casino businesses, and a new partnership with his Houston Rockets NBA franchise. Two years later, though, you very likely have never heard of Waitr. As such, its stock recently traded at $2.62, down more than 70% from its IPO price (the S&P 500 has climbed 76% over the same period).
Waitr was a disaster for pretty much anyone who bought the stock early. But the hedge funds that purchased Landcadia’s IPO units did just fine. Virtually all recouped their initial investment, with interest, and many profited by exercising warrants in the aftermarket. “SPACs are a phenomenal yield alternative,” says David Sultan, chief investment officer at Fir Tree Partners, a $3 billion hedge fund that bought into Fertitta’s Landcadia SPAC IPO—and pretty much any other it could get its hands on.
...
There’s only one loser in this equation. As always, it’s the retail investor, the Robinhood novice, the good-intentions fund company like Fidelity.
...
According to the study of recent SPACs by Ohlrogge and Klausner, a typical SPAC holds just $6.67 a share in cash of its original $10 IPO price by the time it enters into a merger agreement with its target company.
...
According to NYU’s Ohlrogge, six months after a deal is announced, median returns for SPACs amount to a loss of 12.3%. A year after the announcement, most SPACs are down 35%.
...
Die Geschichte der SPAC's ist weiter unter gut erklärt.
SPAC = Special Purpose Acquisition Company
__
und auch dabei: Chamath Palihapitiya:
Palihapitiya, 44, is a former Facebook executive who founded Silicon Valley venture capital firm Social Capital in 2011. With his venture business slowing down, Palihapitiya has recently turned to the public markets.
In the span of 37 months, he has raised $4.3 billion in six New York Stock Exchange–listed SPACs that go by the tickers IPOA, IPOB, IPOC, IPOD, IPOE and IPOF. The founder’s stock he has received for his “promote” will amount to no less than $1 billion, by Forbes estimates.
In late 2019, Palihapitiya used one of his SPACs to take Virgin Galactic public. Two other deals have already been announced: mergers with homebuying platform Opendoor at a $5 billion valuation and with medical-insurance company Clover Health at $3.7 billion. Palihapitiya and Gores point out that they intend to invest hundreds of millions via private placements in their deals.
Antwort auf Beitrag Nr.: 65.752.050 von faultcode am 18.11.20 13:10:51
Sorry wegen der irreführenden Yardeni-Daten. Worum es mir geht, bleibt aber als Gegenargument denke ich bestehen. Wenn Du Deine Datenreihe nimmst und alle Zu- und ABFLÜSSE über das Jahr 2020 zusammenzählst, dann dürftest Du trotz der Rekordzuflüsse zuletzt nicht oder nur minimal im positiven Bereich landen. Und daher finde ich es problematisch, von ""alle" drin sind" zu sprechen.
Es ist noch jede Menge Liquidität "an der Seitenlinie", von nicht ausgeschöpften Leverage-Möglichkeiten mal ganz abgesehen...
Zitat von faultcode: Insider-Geld raus, Outsider-Geld rein:
=> jetzt wo "alle" drin sind, werden die Kurse bestimmt weiter steigen, oder?
Sorry wegen der irreführenden Yardeni-Daten. Worum es mir geht, bleibt aber als Gegenargument denke ich bestehen. Wenn Du Deine Datenreihe nimmst und alle Zu- und ABFLÜSSE über das Jahr 2020 zusammenzählst, dann dürftest Du trotz der Rekordzuflüsse zuletzt nicht oder nur minimal im positiven Bereich landen. Und daher finde ich es problematisch, von ""alle" drin sind" zu sprechen.
Es ist noch jede Menge Liquidität "an der Seitenlinie", von nicht ausgeschöpften Leverage-Möglichkeiten mal ganz abgesehen...
Antwort auf Beitrag Nr.: 65.753.481 von Der Tscheche am 18.11.20 14:29:54Yardeni Research bezieht sich wie üblich auf US Mutual Funds.
Oben im FT-Diagramm sind aber Global stock funds dargestellt mit der Quelle EPFR Global: https://newsite.epfrglobal.com/Public/login
"Alle" passt schon.
Oben im FT-Diagramm sind aber Global stock funds dargestellt mit der Quelle EPFR Global: https://newsite.epfrglobal.com/Public/login
"Alle" passt schon.
Antwort auf Beitrag Nr.: 65.752.050 von faultcode am 18.11.20 13:10:51
Man kann daraus m.M.n. nicht folgern, dass ""alle" drin sind", auch nicht, wenn man das "alle" in Anführungszeichen setzt.
Es gab halt einen Riesenansturm letzte Woche wegen US-Wahl und vor allem Covid-Ende-absehbar-Signal, mehr nicht. Hier z.B. sieht es so aus, als hätte es über die Wochen davor jede Menge Abflüsse gegeben:
https://www.yardeni.com/pub/ecoindiciwk.pdf
Zitat von faultcode: => jetzt wo "alle" drin sind, werden die Kurse bestimmt weiter steigen, oder?
Man kann daraus m.M.n. nicht folgern, dass ""alle" drin sind", auch nicht, wenn man das "alle" in Anführungszeichen setzt.
Es gab halt einen Riesenansturm letzte Woche wegen US-Wahl und vor allem Covid-Ende-absehbar-Signal, mehr nicht. Hier z.B. sieht es so aus, als hätte es über die Wochen davor jede Menge Abflüsse gegeben:
https://www.yardeni.com/pub/ecoindiciwk.pdf
Antwort auf Beitrag Nr.: 65.708.448 von faultcode am 14.11.20 15:59:30Insider-Geld raus, Outsider-Geld rein:
=> jetzt wo "alle" drin sind, werden die Kurse bestimmt weiter steigen, oder?
=> jetzt wo "alle" drin sind, werden die Kurse bestimmt weiter steigen, oder?
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