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Front-Run The Delta wrote a new blog post titled Bringing some balance to HFT
This guy gets it.  There needs to be a more thorough conversation about HFT and its merits.  The same people fighting against HFT today would probably have protested new sailing technology in the 1700s. Embrace change.  It's the only constant.  
1993 days ago
Front-Run The Delta wrote a new blog post titled For anyone still on the subscriber list...
The blog is back up as a repository.    
1995 days ago
Front-Run The Delta wrote a new blog post titled Round the Clock Price Discovery: Evidence from Infosys and USDINR Futures
Infosys is dual listed in USD on the Nasdaq (INFY) and in INR on the National Stock Exchange of India (NSE) (INFY).  I do not have access to any spot INR facilities, however I do have available some NSE listed USD/INR futures.  These futures allow for the currency-adjusted value of either equity to be derived.  Similar price transmission studies have been discussed using prices from Glencore, RWE, Apple, and Sino-Forest, all four however using the spot FX as the pricing...
1996 days ago
Front-Run The Delta wrote a new blog post titled The Long, Dark Road Ahead
Given last night's events, I'd like to make a few notes about an excerpt from Rand's Atlas Shrugged, collectively known as Francisco's "Money Speech". In light of the "redistribution of wealth" and the acceptance speech last night, I feel the need to draw some comparisons. [Please note - the following are ALL quoted from Atlas. I take no credit.] "Money is the material shape of the principle that men who wish to deal with one another must deal by trade and give value for value. Money is not...
2509 days ago
Front-Run The Delta wrote a new blog post titled October 11 Webcast: The Global Outlook for Crude Oil
FYI: The Global Outlook for Crude Oil Date: Thursday, October 11, 2012 Time: 11:00 am EDT | 4:00 pm BST | 11:00 pm HKT Duration: 60 minutes Abstract: As the end of 2012 draws closer, the crude oil market is entering the late stages of the commodity cycle. Despite political tension in the Middle East and monetary policies such as quantitative easing, the fundamentals still point to an increased risk of falling prices for crude oil. In this Webcast, Bloomberg Industries analyst...
2537 days ago
Front-Run The Delta wrote a new blog post titled Crude and Gasoline Forward Curves
Global crude and gasoline benchmarks remain backwardated.  Crude Gasoline
2566 days ago
Front-Run The Delta wrote a new blog post titled Opalesque TV interviews volatility fund Maple Leaf Capital
Description: Subduing the enemy: The Ins and Outs of Volatility Trading Michael Wexler is Chief Executive Officer and Co-Founder of Maple Leaf Capital. Opalesque BACKSTAGE video Michael Wexler says Volatility is the enemy of most investment strategies, which generally do better in rising than falling markets. Veteran volatility trader Michael Wexler from Maple Leaf Capital explains how investors can actually profit from volatility by employing strategies that make more money in higher...
2587 days ago
Front-Run The Delta wrote a new blog post titled Back to Microstructure: ETF Securities USD and EUR Coffee Offerings
ETF Securities (ETFS) offers a multitude of dual-listed commodity, currency, and index ETFs.  This is a brief study of three of those securities designed to track the DJ-UBS Coffee Sub-Index.  ETFS offers a German-listed, Euro-denominated security under the ticker OD7B; an LSE-listed, US dollar-denominated security under the ticker COFF; and a French-listed, Euro-denominated security under the ticker COFFP. The cash EUR/USD was used for price discovery and all prices were recorded 5...
2603 days ago
Front-Run The Delta wrote a new blog post titled On global freight, network theory, and microstructure
There is a strong similarity between the microstructure of high-frequency arbitrage and the vast network of global, national, and local dry and wet freight.  ICE and NOS exchanges offer physical and financially settled freight derivatives to manage freight risk when operating on a global physical scale.  These forwards provide a basis for pricing physical spreads between terminals and ports.  Cross market arbitrage uses currency as a general medium of price discovery. ...
2615 days ago
Front-Run The Delta wrote a new blog post titled Urals buyers showing up at Primorsk for late July loading windows
This is my new favorite hobby. Primorsk is busy again.  The tanker in the middle of the screen is the Minerva Alice, which I will be watching for the next few days and hope to post about.  It is currently en route to Rotterdam and at full capacity (13.9m draught). via Reuters, 2 July 2012: But they added that Surgut sold three July Urals cargoes from the Baltic Sea port of Primorsk with a July 22-23 stem selling at a premium of around 15 cents to dated Brent, a July 24-25...
2618 days ago
Front-Run The Delta wrote a new blog post titled Urals Blend Arbitrage Continues From Novorossiysk
The Urals arbitrage looks to be strengthening relative to the REBCO curve on Thursday.  Urals is a blend of light and heavy crude oils from West Siberia, the Ural Mountains in Russia, and flow from fields in the Caspian, an area rich in oil history. Following an export suspension after a flood last week, Novorossiysk  is once again busy, adding 2 tankers between yesterday and today.   I counted roughly a dozen more VLCCs and ULCCs crossing the Black Sea en route to...
2625 days ago
Front-Run The Delta wrote a new blog post titled Urals blend arbitrage on strong Med demand
Russian export blend Urals is gaining strength on tight supplies in the region on the back of EU sanctions.  Above is the forward curve for the REBCO contract on CME.  While the REBCO contract is for delivery at a port much further north, Primorsk, the Med arb is said to be taking place between Novorossiysk and Spain.   via Reuters, "The arbitrage to the Mediterranean is open," said a trader with a major house, adding he had heard that at least one 100,000 tonne cargo of Urals...
2627 days ago
Front-Run The Delta wrote a new blog post titled Volatility in Australia's Electricity Markets
It seems the Australian power grid can suffer from the same volatility as the U.S. system. 
2634 days ago
Front-Run The Delta wrote a new blog post titled ETF / Futures Arbitrage: NYMEX Gold vs. two non-USD ETFs
This study combines the principles of ADR and ETF/Futures arbitrage.  Prior examples of ETF/Futures arbitrage have only included US-listed futures and US-listed ETFs.  ADR studies on the contrary have included many foreign listed, non-USD denominated assets.  It is the goal of this and future studies to expand on this research by including multiple legs and various competing securities (for instance, comparing cash FX vs. futures FX as a hedging vehicle). Both ETFs in this case...
2648 days ago
Front-Run The Delta wrote a new blog post titled NYISO Electricity Market, Cont'd
Ran across this great analysis of last week's action in NYISO/PJM markets. 
2665 days ago
Front-Run The Delta wrote a new blog post titled Pimco's view of Spanish Money Flows
via PIMCO, Snapshot on Spain: And the Money Keeps Rolling Out Where is it all going?
2668 days ago
Front-Run The Delta wrote a new blog post titled Today's NYC Electricity Market
Bloomberg covered the action in today's North Eastern electricity markets.  While PJM and NEISO caught bids, the NYISO grid saw the most action.  The "load" on the graph to the right is the electricity usage of the NYC node within the NYISO grid relative to the spot price of electricity. Further reading: Quantitative Methods for Electricity Trading & Risk Management Risk Management in Commodities Markets Commodities and Commodity Derivatives
2671 days ago
Front-Run The Delta wrote a new blog post titled An Update on Euro Zone's Yield Curves
The greatest experiment in multi-national currency reform continues to unfold.  I don't expect the Euro to dissolve in the complete sense, however I expect one or several member-states to remove themselves from the system and reissue an IMF-backed currency.  That seems to be the way things are done in these types of situations, for instance Chile in 1982, Brazil in 1982, Argentina in 1982, Mexico in 1987, Russia in 1998, and Argentina again in 2001.  Each result was an IMF-backed...
2682 days ago
Front-Run The Delta wrote a new blog post titled CNBC does not understand "arbitrage"
It should come as no surprise that a network of journalists who have never traded a share, a currency, an option, or a future in their lives repeatedly cite and support the "research" of Nanex/Themis.  I overheard a segment this morning regarding the "time arbitrage" between Chicago and NYC, and citing "investigative work" by the CEO of Nanex, they attempt to explain an arbitrage conducted at "the speed of light." The trade in question consists of "someone" buying 1,300 ES contracts and...
2685 days ago
Front-Run The Delta wrote a new blog post titled IndexUniverse Interviews Knight's Reggie Browne
The full interview can be found here. I previously touched on Knight's trading in the ADR sector using RWE Group as an example. Ulam: What are some of the key challenges regarding new ETFs coming on the market in terms of establishing liquidity?Browne: If you look at the ecosystem of ETFs, market makers historically rest at the arbitrage band. Wherever the arbitrage is located, market makers will begin quoting at that band. And the further you go through this band, the more liquidity shows...
2692 days ago