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09/08/2011Monetary Stimulus Fuels Currency Volatility, RDQ Economics’s
Ryding Says “Ryding spoke at the Bloomberg Global Inflation
Conference in New York hosted by Bloomberg Link. He was on the panel with Dean
Curnutt, president of New York-based Macro Risk Advisors LLC, and James
Rickards, senior managing director of Tangent Capital Partners. […] These
actions lead to increased volatility in the foreign exchange market, making it
riskier to invest, Ryding said. Curnutt and Rickards joined Ryding in saying
that gold is a stable alternative. […] ‘As we look at the actions of the Swiss
National Bank this week, you see again that volatility or risk just changes
form,’ Curnutt said. ‘The SNB was very successful in moving the currency, but
they also tremendously damped the volatility. Implied volatility on the
Scandinavian currencies has actually come up a lot.’”…
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09/08/2011Correlation of US stocks highest since 1987
crash“The extreme correlation might drive additional trading
en masse, said Dean Curnutt, president of Macro Risk Advisors. Traders might be
forced to cut positions due to rising volatility in indices such as the S&P
500, a result of their member stocks moving in one direction." …
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07/15/2011The Evolution of Systemic Risk“Macro Risk
Advisors, headed by Dean Curnutt, are specialists in derivatives strategy. One
of their chief occupations is thus evaluating risk and volatility [...] Their
debut monthly publication “Systemic risk outlook” describes a rather unsettling
condition in the global financial system. The fact that we’ve run out of Plan
Bs." … |
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06/02/2011Risk Asset Correlation Strikes Again“They may
also signal reduced confidence in the strength of the global economic recovery,
analysts said. 'The high correlations are not a sign of a healthy market,' said
Dean Curnutt, chief executive of Macro Risk Advisors. 'They imply that the
market views the rally more as a weak dollar trade than a sustainable,
self-reinforcing growth cycle.' " … |
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05/10/2011More on Food
Inflation - from Food Companies' Mouths" Dean Curnutt of Macro
Risk Advisors compiled an interesting list of commentary on food inflation from
recent food company conference calls...his conclusions are the same as mine:
'This round of recent earnings calls suggest companies are successfully passing
along price increases to consumers ...' and that consumer demand remains strong
despite high unemployment. ”… |
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03/31/2011Why is the Vix So Low?“Now, we’re not the first
to notice that the Vix seems to be under-fearing the current crisis somewhat.
Dean Curnutt, President of Macro Risk Advisors, for one, has noticed too. And as
he wrote this week: [...]" … |
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03/30/2011Grrrr: 8 Reasons to Worry About the Giddy
Market“Financial markets are racing into the end of the first
quarter as if all is well in the world. But Macro Risk Advisors thinks that
investors may have rose colored glasses on. In a report earlier this week MRA
came up with the ominously named “Octagon of Uncertainty” that to them, suggests
the markets are mispricing risk. They recommend investors buy put options on the
S&P 500 SPDR exchange traded fund.”… |
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03/11/2010Rally Fuels Investor Complacency on Risk“'When a
market keeps going up and a hedge does not pay off, there can be
dissatisfaction, and a feeling that the premium paid for the hedge has been
wasted,' Dean Curnutt, chief executive of Macro Risk Advisers, says. 'When
nothing bad happens for a long period, it leaves people’s memories...'" …
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03/01/2011Buy Bullish Gold Options as U.S. Deficit Rises, Macro Risk Says
“Investors should buy bullish gold options because bullion may
extend gains on as U.S. federal and state lawmakers struggle to close budget
gaps, according to Macro Risk Advisors LLC. The New York-based derivatives
advisory firm is recommending April $140 call options on the SPDR Gold Trust
exchange-traded fund, which tracks futures on the metal, Macro Risk President
Dean Curnutt said today in a presentation at the CBOE Risk Management Conference
in Dana Point, California. ”… |
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12/23/2010Buy Options as Lower VIX Belies Risk, Macro Risk Says
“While there are economic risks that might otherwise drive up
the cost of buying options as insurance, the VIX is being dragged down by one of
the lowest Standard & Poor’s 500 Index volatility levels in four years, said
Macro Risk President Dean Curnutt. That means stock investors should buy options
because their prices are poised to rebound next year on renewed concern about
European government debt, according to Curnutt, who predicted the region’s
credit crisis. 'Systemic risk is still very much active in the market,' Curnutt
said in an interview. 'The sovereign risk issue is almost guaranteed to flare up
again in 2011.'”… |
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12/13/2010Investors start to focus on inflation prospects
Dean Curnutt, President, MRA: “Some analysts see that as a
sign that markets are slowly normalising and discounting the “tail risk” of
deflation that they had fretted for much of the year. 'Investors are still
hedging against an increase in inflation, but fewer are as focused on
deflation,' says Dean Curnutt, chief executive of Macro Risk Advisors. 'There is
a more middle of the road sentiment out there than before.'" …
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12/04/2010An Index That Charts Risk "Dean Curnutt of Macro
Risk Advisors and Paul Britton of Capstone Holdings, speaking at a Bloomberg
hedge-fund conference last Thursday, agreed that one reason for the steady
premium in these instruments and others is a dearth of risk capital on Wall
Street that would typically take the other side by effectively "writing"
insurance to hedgers. This is a fair point and speaks in part to a structural
change, but doesn't as much disprove the idea of broad risk aversion as help
support it. ”… |
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12/02/2010Europe Headed for Recession as Bailouts Falter...
"'We’re dealing with fundamental solvency issues, which are
vastly exacerbated by the fact that you have a single currency,' said Dean
Curnutt, chief executive officer of New York-based Macro Risk Advisors LLC, who
appeared on the same panel. 'We learned earlier this year there are vast
spillover effects. I don’t think you can argue Europe is a contained animal.’”…
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11/17/2010Top Stories: Business and Finance"'The sovereign
CDS are speaking to a reality that the VStoxx is not reflecting,' said Dean
Curnutt, chief executive officer of New York-based Macro Risk Advisors LLC. 'The
situation in Greece shows that there will eventually be a restructuring of the
country´s debt and in Ireland the bailout of the banking industry is getting
bigger and bigger.’”… |
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11/08/2010Market Has Given Up
on Fighting Fed: Pro"Despite significant risk in the
marketplace, the markets have given up on fighting the Fed's $600 billion
liquidity injection, Dean Curnutt, president and chief executive of Macro Risk
Advisors, told CNBC on Monday.”… |
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11/05/2010Bernanke's Genie Released"All of which makes
Curnutt conclude (our emphasis): 'All in all, we are left thinking that there
may be a derivatives market analogue to the “law of conservation of energy'.
Perhaps it reads: 'volatility cannot be created or destroyed, it can only change
form'. When the financial sector went bust in 2008, it was saved through the
massive backstops provided by governments. Two years later, the VIX is 50 points
lower but the strain on fiscal balance sheets has introduced credit risk into
the realm of governement bond markets. In addition, Central Banks are finding it
necessary to pursue QE and the like to weaken currency and support growth. Do FX
implied volatility levels fully reflect this volatility transformation?.”…
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10/15/2010The Fed is the biggest seller of volatilityDean
Curnutt, President, MRA: “We continue to have serious doubts that Europe is any
closer to a solution. The difficulty that Ireland has had in going the austerity
route and the cost to further supporting its banking system illustrate the
degree of fragility.”… |
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10/11/2010Macro Risk Advisors Unveils Systemic Risk
Dashboard“'A defining lesson of the financial crisis has been
the high level of asset price correlation in times of macro uncertainty,' said
Dean Curnutt, CEO of MRA. ' Our risk dashboard provides institutional investors
wtih a powerful tool that identifies the linkages across asset classes, puts
risk premiums in historical context, and serves as a guide post for prudent
portfolio risk management.’”… |
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09/27/2010Stocks Slip on Europe Worries"’The Fed, via this
renewed campaign to target quantitative easing as a way to boost asset prices,
is certainly adding some fire power to the rally,’ said Dean Curnutt, president
of Macro Risk Advisors. ‘The market's got an implicit downside protection.’”…
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09/15/2010Macro Risk Advisors hires George Lam and Jarret
Christie“Macro Risk Advisors, an equity derivatives strategy
and execution firm, has hired George Lam, a former risk analyst at Marathon
Asset Management, and Jarret Christie, a former sales executive at Omnium, a
subsidiary of Citadel Investment Group. ‘We are fortunate to be able to attract
top talent to MRA through our commitment to advanced, high-level strategy and
execution services,’ says Dean Curnutt, founder and chief executive of Macro
Risk Advisors. ‘At a time when investment risk and uncertainty are high, we see
strong interest in trading strategies that protect portfolios and enhance
returns.’”… |
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09/14/2010Longer-Dated Option Prices to Remain Higher, Dean Curnutt
Says“’The Fed’s hope is that by providing the initial
stimulus, the impetus for lower interest rates and so forth, that it can
engender an economic recovery that then will breed credit creation,’ Curnutt,
who predicted Europe’s debt crisis, said in a Bloomberg Television interview.
‘So far that’s only happening to some extent, and not nearly at the pace that
the Fed wants it to, and that’s what’s keeping these longer-dated volatility
levels high.’”… |
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09/07/2010Where's the Appetite for Risk?"’We were braced
for a more disappointing number, but that … wasn't the kind of number that would
indicate a durable, private-sector-led recovery’ either, says Dean Curnutt,
president of Macro Risk Advisors. The report ‘didn't do all that much’ for risk
appetite, he says.”… |
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08/2010Equity volatility backlash“’We’re in an
environment where macro forces are dominating everything and asset classes that
historically exhibited a fairly low level of correlation have behaved in an
extremely correlated manner. So we have worked with our clients and tried to
identify those hedges that will perform best when liquidity falls. Our overall
view at the moment is that short-dated options are a fairly good play,’ says
Dean Curnutt, president of Macro Risk Advisors, a New York-based asset
management firm, and previously head of institutional equity derivatives and
convertible sales at Bank of America.”… |
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08/10/2010US Stocks Slip; Intel Weighs On DJIA Ahead Of Fed Action
“‘The risk is that the market has overshot its expectations,’
said Dean Curnutt, president of Macro Risk Advisors. ‘As the market rallied on
continuing bad news, the question is, is the market effectively pricing in some
help from the Fed at this meeting?’ Investors appear to have decided the Fed's
action Tuesday will mark a turning point in how the central bank views its role
in supporting the market, he said. ‘The concern is that the real economy has
slowed down and, absent the ability for Congress to put in place a strong fiscal
response, monetary policy becomes the only game in town,’ he said.”…
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08/10/2010Buy Gold Calls, Bank Puts Before Fed Announcement Today, Macro
Risk Says“Investors should buy bullish gold options and
bearish bank puts before Federal Reserve policy makers signal today whether the
economy needs more stimulus, Macro Risk Advisors LLC said. The options advisory
and brokerage firm, which predicted Europe’s debt crisis, recommended a strangle
strategy that pairs buying this week’s August $118 calls on the SPDR Gold Shares
exchange-traded fund and August $15 puts on the Financial Select Sector SPDR
ETF. The contracts expire on Aug. 13. […] ‘We see the potential for above
average volatility after this afternoon’s announcement,’ Dean Curnutt, the New
York- based firm’s chief executive officer, wrote in the report. ‘If the Fed
statement does not have the dovish tone that the market is looking for, we would
expect financials to be particularly reactive and take an outsized hit.’”…
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07/2010S&P volatility-based derivatives at record
highs“A recent daily strategy piece by equity derivatives
broker dealer Macro Risk Advisors found the long-dated volatility levels that
derivatives' prices imply would not even come from running together the
S&P's 2520 most volatile trading days since
1940.”… |
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07/23/2010Volatility gauges suggest trouble is
brewing“‘The equity markets are not working on a scale that is
truly shocking,’ says Dean Curnutt, president of Macro Risk Advisors. ‘Credit
and mortgages were the dislocation of 2008. Now, there is a real illiquidity
premium in the equity space.’”… |
