ES -- DX/CL -- isee -- cboe put/call -- specialist/public short ratio -- trinq -- trin -- aaii bull ratio -- abx -- cmbx -- cdx -- vxo p&f -- SPX volatility curve -- VIX:VXO skew -- commodity screen -- cot -- conference board

Friday, January 09, 2009

 

updating the risk appetite index


catching up with credit suisse's jonathan wilmot and his risk appetite index in a note appropriately titled "the year finance failed". as a timing tool the signal would've drawn you in january and again in march -- only to hold for the great crash of 2008. so while an interesting barometer of the risk environment, it may not be a trading tool well adapted to a depressionary environment.

also of interest are a set of long-run comparisons that make clear the extreme environment we have faced and continue to face. what is happening in corporate bonds is really without parallel in this country since the great depression, although it almost certainly has other parallels in previous depressions such as 1873-79 and in other economies at times of depression. not that that provides much comfort.

also of interest are the ramps in real oil prices shown -- big spikes leading into 1873, 1877, 1893, 1921, 1974, 1981, and now 2008 all anticipated extremely difficult times.

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