Readings: Correlations, Margin calls for FIIs?, Stock-to-bond ratio
- Bespoke: S&P 500 and Oil
Correlations breaking down. At one point, SBI was up 4% while ICICI was down 19% yesterday - what happens to pair (stat-arb) trades?
- Naked Capitalism: Are Hedge Fund Margin Calls Leading to Stock Rout?
Margin rates as low as 15% for broker dealers were raised to 35%; hedge funds who had been used to operating on high leverage were told that they had to bring accounts up to a much larger percentage of equity.
. . . the first notice of these calls were issued on October 2nd and 3rd. There was something of a grace period to meet the calls, but funds realized they weren’t going to be able to meet them other than by selling stock. There are rumors that the most massive of the calls are due Monday (October 13th).
Net FII sales at the NSE were over Rs 2500 cr yesterday. Gross sales were over 6000 crore!
- BCA Research: Risky Assets Are Extremely Oversold, But…
Related Posts:
