At what price BP?

I see - so now it is 60 days - not 1 day. that sounds better to me.

note that personally i do not think that neither of these pairs is a good value proposition.

what i played in the past 2 weeks was integrateds, gassy stuff and international producing juniors far from gulf against spiders. worked well so far. of course this is in a sense a commodity bet which would sour bad if we get annihilation of growth and crude goes to 50 minus.

 

hey atticus,
Why dont you explain the reasoning behind the trade?Its not quite contributive to the forum who have calls coming from a black box, even if they work
Thanks

 

Well, the benchmark is currently at 1.56 in my favor basis the net change on the switch trades (DO/BP vs. SLB/BP). DO/BP earned 0.46 as well. I am betting DO/BP vs. SLB/BP as well as DO/BP using net change from the Friday 6/4/10 close. Both should trade in my favor.

 

oh - and how was my statement about stat-arb misguided?

you are here simply playing a massive event risk. i have no prob with that. but my tactic usually is when I play big risk I try to keep it simple, e.g. BP outright or options.

 

ok why not put something of my own too. i believe all of the above will be outperformed by HNR.

 

My bet is on price, but I'd also wager that the switch beats outright long BP on price, variance and peak to trough, risk-adjusted return. I really don't know why you're still running your mouth when you're on the record going long BP naked. The coherent among us would probably consider the switch a lower risk.

 

I think you are totally correct. Stat arb is based on an historical relationship, and if an event alters or damages that relationship to an unknown degree, how can the stat part still be considered valid?

 

Nah, stay with the horse that brung-ya. You're throwing new tickers in after the fact. As an aside, HNR does less than $2MM notional in daily turnover.

 

The switch has a short leg, and the two legs aren't fungible, so it is higher risk, at least in tail scenarios. See VW voting vs non-voting shares etc.

 

Brilliant, providing an analog that had a stat-vol equal to an ON/OFF the run Treasury switch, prior to the blowout. Hey Cutten, how about we place a wager on the outcome?