Monday, 9 February 2009

"feels like a FED day"

L: 102% S:50% G: 153% N: 52% ~ $D 60% $G 18% $V 0% $P 3%
(I've added my greeks to the header $D - is the dollar delta as a % of the portfolio, $G - dollar gamma, $V dollar vega, $P is dollar prem)

The Raven has reduced dollar delta by selling some of his upside calls, this is more of a risk reduction than a view. He still likes the position as it enables him to trade the range and not to panic buy the squeezes.

DB1 doesn't look like its been able to break its resistance, again the Raven has reduced risk by halving his position.

BARC results look interesting, it has been noted that their derivative exposures increased dramatically, they also took a large gain from the negative goodwill from their purchase of LEH's North American (which makes sense to the Raven - given they didn't take a boat load of crappy assets like JPM did with BSC and BOA with MER). This ultimately fits with the very simplistic view he has of bank valuation being split into two parts: 1) having a "real net book value" and 2) a black box valuation of the services they sell which generate pnl. The Raven is always trying to look for zero cost bets in a change in perception and the good banks seem to offer that, imagine the reaction of the market to a quartetly update when the mtm of their assets is actually up? Saying this the market traded down to 102 in Barc this morning before rallying and closing ~118. Bob Diamond was also on telly saying that they'd had a good start to the year, that fits with what Citadel and DBK have been saying (and what the Raven has been feeling in his own PnL).

Gietner has postponed the banking plan until tomorrow; the market seems prepared to wait and see until then leaving today as a big nothing done.

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