Thursday, 23 July 2009

better than a pich from president Obama

L: 146% S:93% G: 239% N: 52% ~ $D -51% $G 74% $V 2% $P 2%

Well that SNDK ECM 'spread' worked an effing blinder, even if the Raven does say so himself - SNDK fell >10% and EMC rose more than 5%, I think the septics would call that knocking the cover off the ball, thats enough yanky hubris for one day. It has put the Raven in a very good mood for his holiday as he plans to leave the crow's nest tomorrow. Historically there has been a spooky correlation with the Raven's planned holidays and a general market meltdown, 8 out of 8, none the less its for more sanguine reasons that his portfolio greeks have come back to life. We've had a big melt up today in stocks, with people also buying vol that means there isn't that much confidence out there (which could be taken as a positive if you read the chicken entrails that way). The Raven doesn't like to sleep badly on holiday and he feels that he might given the 146% long in his portfolio is pretty concentrated and so he's going to pay away some theta rather than sell a core long, he did the numbers and its cheaper to trade the vol and pay the theta than pay for the transaction costs of getting in and out and losing a weeks worth of alpha potential.

He also has one little thing to add before he flies off, MCO - so even the sage of Omaha has turned seller aka Warren Buffet. It makes sense to the Raven and quite pleases him to have chucked back on a cheeky little short at the days highs today. There is plenty more downside for this stock especially given the negative press S&P managed to generate with their MBS downgrade then upgrade when the heavies turned up from "the squid". Ratings agencies are a dead business model, structured finance is not going to be done for ratings and capital adequacy arb in the long term. MCO should never have been putting ratings on correlation rather than corporate credit and in so doing lost any credibility they do have, especially when they seem to watch market prices of corporate spreads as an input into their decision, it makes a whole mockery of the idea that they can add value.

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