PrometheusCHT

PrometheusCHT

I'm undecided as to whether this makes me bearish, however, it certainly does increase one's sense of caution!

PrometheusCHT

... Are looking a little less extreme than they were before Trump's inauguration, whilst the currency represents great value. I'm inclined to take the under on Trump's doomsayers and this trade is the best way to express that view while collecting carry (presuming realised volatility continues to calm).

PrometheusCHT

One to watch...

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... I guess nobody wants to buy puts!

PrometheusCHT

Perhaps it's time to get long vol. Given the daily range is rather narrow, it can be an expensive bleed, but, invariably we are statistically nearer to the floor in vol.

PrometheusCHT

There's such little variance there's been no >1std deviation moves since October 11th.

PrometheusCHT

Another chart to keep in mind given skew has decoupled from the VIX!

PrometheusCHT

One to keep an eye on... Particularly given S&P variance has been so low lately.

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As the MACD looks to roll over in TY1 and the rise in yields looks to resume, gold is in a bind given the two have a notable inverse correlation!

PrometheusCHT

It's arguably a similar case to the former on wheat... Buying within the lowest decile in a decade, a very asymmetric return distribution, a potential break-out of the down trend.

PrometheusCHT

A rather logical looking interpretation. There's a reasonable degree of support, whilst we're buying in the lowest percentiles of the last decade. Further, the probability of the downtrend being breached looks increasingly likely. Further, the return distribution of commodities is particularly convex or asymmetric with a long right tail. Thus, we can give the...

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Rounded bottom in AUDSGD & potential breakout of its historical distribution.

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Is inflation starting to feed through to softs!?!

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A double bottom to launch from!?!

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Non-commercial short positions.

PrometheusCHT

The positioning situation is a formula for a large unwind if May's speech sufficiently moves the needle on sentiment.

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We've witnessed an outsized move on May's speech.

PrometheusCHT

Dispersion is at extreme levels whilst equity vol is still rather low. A correlation trade into the inauguration will likely perform across all potential economic outcomes.