Black Every Day?

Discussion in 'Trading' started by nitro, Mar 17, 2008.

  1. nitro

    nitro

    Oil is overvalued by $5 to $10.
     
    #531     May 19, 2016
  2. nitro

    nitro

    Using Quadl data you can analyse how often the FED has surprised the market based on what the front FFFs contract are saying. Ready? Zero times in the twenty some odd years has the FED gone against what the FFs have predicted.

    https://www.quandl.com/collections/futures/cme-30-day-fed-funds-futures

    I have a theory that all the talk is on purpose to create a discovery feedback loop to see just how reluctant the market is to a rate hike. So the FED players aren't talking to force an issue - it is more like taking a measurement of the FFFs to their talk. Like asking permission. So 30% probability is actually 0%. It is binary with a threshold of something like 75% is green light. The FED is the markets' bitch.

    Wake me up when December comes.
     
    Last edited: May 20, 2016
    #532     May 20, 2016
  3. noddyboy

    noddyboy

    Wow really? So if they raise next month it would be the first in 20 years?
     
    #533     May 20, 2016
  4. nitro

    nitro

    Assuming the probability stays at 30% - yep. I don't see how the data between now and then can change the probability by another ~45%.

    Re-read the post. I added some theory. What is hilarious is the FX market believes this crap over and over again.
     
    #534     May 20, 2016
  5. noddyboy

    noddyboy

    What about the surprise rate cut on 1/3/2001?
    Or on 1/22/2008? Come on, no one knew that.
     
    #535     May 20, 2016
  6. nitro

    nitro

    #536     May 20, 2016
  7. noddyboy

    noddyboy

    I see that on 1/3/2001 the contract was 94.1, and 1/4/2001 was 94.5.

    The rate was 6.5%, then on 1/3/2001 13:15EST, a surprise announcement to 6%.
     
    #537     May 20, 2016
  8. nitro

    nitro

    Huh? Didn't you just prove it was not a surprise? Anything above 75% is 100%
     
    #538     May 21, 2016
  9. noddyboy

    noddyboy

    I am ignorant. How do you calculate the percentage? If the price is 94.1, does it mean the rate is 5.9%?
     
    #539     May 21, 2016
  10. noddyboy

    noddyboy

    The current price is 99.56%, and the target rate is 0.25-0.5%. Therefore, it is predicting no cut, but no raise too. I guess that much I know, but I don't see how to assign probabilities unless I know the distribution (and volatility).
     
    #540     May 21, 2016