Next 12 months (nobody makes money)

2 thg 7, 2022

Expecting a lot of counter-intuitive price action next 12 months.
Not sure who will come out on top of this in terms of P&L ...

• market makers: are sitting out (nobody lending)
  
  
• long-only: will be down more from forced selling on next new lows
  
  
• trend-followers: will get whipsawed as there are no easy trends but volatility is high
  
  
• short-only: not sure if anybody does this but will get squeezed if picking entries to early
  
  
• opportunistic: has potential, no bias just waits for price to go where
  nobody expects and fades it, but trade frequency low (think 2 trades / year)
  
  
• selling premium: low return if hedged, nobody lending (as with market makers)
  
  
• basis / cash & carry: basis / funding is low these days, might pick up
  from demand for margin leverage, but doubt it
  

so it seems nobody is making money really without forecasting skill.

3 thg 7, 2022

Ghi chú

I estimate 10% risk from position entry to exit price for $1-10 billion size, calculated based on these adverse scenarios. Adjusting for slippage from higher size with wider selling range which doesn't affect delta b/w entry/exit due to trailing as demonstrated below

3 thg 7, 2022

Ghi chú

30 days idea for $1-10bn size: I would top-bid long (zero fee) while price >18k and rises 1k/week. Would sell if price is sub 20k in 2 weeks or if breaking 18k. Potential profit 400m - 4BN depending on how much will get filled. ~4:1 risk-reward ...

14 thg 7, 2022

Ghi chú