Market Structure Insights
November 24, 2009
It’s almost Thanksgiving, and the sun-splashed snow along Denver’s South Pearl Street is festive! Groping for reflective thoughts this holiday season we found humorist Dave Barry’s mother, who told him these immortal words long ago: “Son, it’s better to be rich and happy than poor...
November 17, 2009
We’ve gone and done it. We’re moving the Market Structure Map to a blog, to invite comments (so please comment!). Don’t worry, we’re not about to start tweeting. But I do like the interactivity at the blog. We’ll dual track with the email awhile, then...
November 10, 2009
If you think “tail risk” is what happens if you grab a cat by the tail, well, that’s not far off. Did you know that an entire institutional subset is focused on the risk relative to theoretically ending up with a handful of grabbed cat?...
November 3, 2009
Mother Nature and Denver last week were like a samba episode of Dancing with the Stars, twirling furiously. In fact, snow torpedoed my trip to Boston, but only after an hour floundering through a foot of slush to the airport at an average speed of...
October 27, 2009
We’ll spend the bulk of today’s note explaining why small-cap stocks increasingly find their shareholdings dominated by a few large quantitative institutions. First this on equity markets: Last week we noticed a surge in “volatility trading.” We’ve written before about these tactics that capitalize on...
October 20, 2009
A word on the markets: options expired last week, while swaps and counterparty agreements pegged to volatility measures lapse tomorrow. Speculation and risk management trading are high as a result. If you expect your stock to behave as though everybody buying and selling it acts...