Value Investing Frontier Communications Inc. Distressed Debt |
- Frontier Communications Inc. Distressed Debt
- Nomura Warns Of Imminent "Gamma-Flip" Risk In Stocks
- Trian Partners Presentation on Ferguson PLC
- Accel Entertainment: SPAC, Distributed Gaming in IL
- Yet Another Guide to Media Stocks, Part 1: Broadcasters $NXST
- Marathon Partners Letter to e.l.f Beauty
- The Ergodicity Problem in Economics
- Restore Bed Bath and Beyond - April 2019 - Legion Partners, Macellum and Ancora
| Frontier Communications Inc. Distressed Debt Posted: 04 Dec 2019 02:22 AM PST |
| Nomura Warns Of Imminent "Gamma-Flip" Risk In Stocks Posted: 03 Dec 2019 10:58 AM PST Nomura's Charlie McElligott explains below is simple - what forced self-reinforcing buying pressure on the way up is about to feed a vicious cycle of selling on the way down as stocks face an imminent "gamma flip." And McEligott explains: The interpretation of Trump's "better to wait until after the election" for a China trade deal comments is that the Hong Kong human rights bill sponsorship by POTUS has clearly caused agitated the Chinese side (plus this morning's Reuters report stating that the White House is considering kicking Huawei out of the US banking system), and in conjunction with the narrowing window to act on the Dec 15th tariff "fill or kill," is likely incentivizing monetization of of the +9% gain made in S&P since early October via profit-taking in recently Options- ($Delta still 94th %ile since 2013 even after yday's selloff) and Futures- (Asset Manager S&P Futures $notional position currently 99.6th %Ile since 2006 at $141.7B) positioning "extremes." This "extreme positioning" into a dynamic where traders are incentivized to monetize into year-end—especially ahead of the Dec 15th "tariff risk"—has been at the core of my view over the past few weeks that there was a local / tactical "window for a pullback" into late November (start Dec ain't bad though). As such, this risk-off dynamic is driving the bid in Rates / USTs (Reds and Greens +6 to +8 ticks, while we've seen Real Money and Central Bank buying flows in the front-end—thus the "bull steepening"), which too then will almost certainly result in a reversal later today of the US Equities factor dynamic experienced on Monday (Momentum down, Value up); instead, today's UST rally will then dictate a resumption of the "Momentum" bounce-back experienced over the past 3 weeks, as longs in "Duration" Equities ("Min Vol" Defensives and "Secular Growth") are set to rally, with "Cyclicals" are likely to again fall. Touching on my constant refrain over the past two years—that being where a "macro shock" then acts as catalyst for Dealer Gamma "flip" and / or in conjunction with a Systematic Trend deleveraging impulse—we see a mixed-bag, as our Nomura QIS CTA model shows the majority of Equities futures positions remain "in trend" and ABOVE estimated deleveraging / "sell" levels. Source: zerohedge, Nomura --------- What does it tell us? The Gamma of an option measures the rate of change of the option delta. Its' number is denoted relative to a one point move in the underlying asset. For example, if the gamma for an option shows 0.015 with a delta of 0.45 then a full point move in the stock (i.e. 35 to 36) means the delta will move to 0.465. Gamma is calculated via an option model such as Black and Scholes or Binomial. The value is the same for both call and put options. The Gamma of an option is important to know because the delta of an option is not constant; the delta increases and decreases as the underlying moves. Because delta is essentially our position value in the underlying, the gamma therefore tells traders how fast their position will increase or decrease in value vs movements in the underlying asset. In other words, Gamma shows how volatile an option is relative to movements in the underlying asset. So, watching your gamma will let you know how large your delta (position risk) changes. Since the chart above shows us high gamma for strike prices between 3095 and 3155 it tells us that the SP500 can get very volatile around these trading ranges. Its like playing with dynamite throwing it back and forth until it explodes. [link] [comments]  |
| Trian Partners Presentation on Ferguson PLC Posted: 04 Dec 2019 03:01 AM PST |
| Accel Entertainment: SPAC, Distributed Gaming in IL Posted: 04 Dec 2019 02:20 AM PST |
| Yet Another Guide to Media Stocks, Part 1: Broadcasters $NXST Posted: 04 Dec 2019 02:20 AM PST |
| Marathon Partners Letter to e.l.f Beauty Posted: 04 Dec 2019 02:19 AM PST |
| The Ergodicity Problem in Economics Posted: 03 Dec 2019 07:52 AM PST |
| Restore Bed Bath and Beyond - April 2019 - Legion Partners, Macellum and Ancora Posted: 03 Dec 2019 05:56 AM PST |
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