Feb

23

Why is the close price so much higher than trading at the close? Why is June ES 38 points higher than March ES? That's a really big spread. It must mean something. And to adjust the back data to continuous must remove or affect information.

Justin Klosek responds:

March-June ES spread is due to the difference between the (assumed) dividend rate of the S+P and the risk free rate.

Investor A who owns the portfolio of S&P 500 stocks receives the dividends and the return from the changing stock prices. Investor B who owns the futures and a Treasury bill has (to first order) the same portfolio. He does not receive the stock dividend but instead earns the T-bill rate, which is now higher than the dividend yield. So the futures prices have to adjust to account for this.

If the risk free rate is 4.75% vs a dividend rate of 1.25%, that 3.50% difference is reflected in the futures roll—about 87bp per quarter, or around 38 points, plus/minus.

Kora Reddy adds:

Fisher effect as chair says here:

The Performance of Market Index Futures Contracts

Zubin Al Genubi comments:

Seems it would behoove one to own bonds with the futures to capture the roll. Especially now.

Justin Klosek asks:

Long T-bills plus S&P futures is no different than owning cash stocks…. what drives your “especially now” comment?

Zubin Al Genubi responds:

If FOMC is done at 5 1/4, in 2 increments 3 months apart we are 6 months away from the end of rate increases. Powell's bond "put" so to speak. Yields are high. Seems, like today [22 Feb], the bonds have decoupled from stocks. Why not carry some bonds to support a portfolio of futures? Carry margin is much less with futures than stocks. The overnight market is a big plus of futures over stocks.

Jul

31

When you first start learning a sport equipment seems important. After years of practice and finally mastery you realize equipment doesn't matter. I suppose true. I suppose true life mastery makes you realize you don't even need equipment.

Peter Saint-Andre writes:

Recently I visited an uncle of mine for a few days and, to help while away the time, played a cheap guitar he had sitting around in his attic. I sure was happy to get home and play the nice Taylor 6-string I bought years ago on 48th Street (the now-vanished "Music Row") in NYC.

Steve Ellison adds:

I used my skis for 16 years. Good value for money, but in the meantime designs and materials improved. In recent years, my old skis were noticeably skinnier than those of others riding lifts with me. In March I bought new skis, and I hope I can be proficient with less effort.

Larry Williams writes:

Running shoes have made a major breakthrough with the carbon soles, etc. no way will I ever go back to my old Tigers.

Justin Klosek comments:

Musical instruments can improve over time, too — my Nord keyboard has terrific sounds (and effects) that used to require lots of pieces to achieve. now in one convenient package, and more reliable!

Michael Brush says:

Taylors are nice! Jewel used to borrow them from that store for recording sessions in NYC. She helped put Taylor on the map back then, and cutaways.

Peter Saint-Andre responds:

I bought my Taylor jumbo six-string (serial #690, made at their original workshop in Lemon Grove) in 1988, when Jewel was 14 years old and still living on a far.

Jeff Watson offers:

Interesting list of artists who play Taylors. Much more than Jewel.

Michael Brush replies:

Of course. But she put them on the map. I never bought one. I can't stand having to use Elixirs, and they got way to trendy. I have many Martins and Gibsons.

Big Al offers:

Some quotes from Yvon Chouinard:

You perfect a sport when you can do all of these things with less stuff. The most impressive ascent of Everest was by the Swedish guy who bicycled from Stockholm to Kathmandu and then soloed Everest and bicycled back to Stockholm. That is cool, as opposed to this huge multinational guided thing with computers and internet cafes at the base of Everest.

The more you know, the less you need.

The word adventure has gotten overused. For me, when everything goes wrong – that’s when adventure starts.

Mar

15

Brothel Discounts 'Matinee s-x' for Pensioners

Mar 14, 2007 11:57 AM Reuters News Agency

BERLIN — A brothel in Germany hopes to capitalise on the growing number of pensioners interested in "matinee" s-x by offering them a 50 percent discount during the afternoon hours.

The "Pascha" in the western city of Cologne has introduced reduced rates for s-x sessions for clients aged 66 and above — provided they can prove they are old enough.

"All clients need to do is show us some proof of age," said a spokesman for the brothel's managing director Armin Lobscheid. "A 'normal session' costs 50 euros with us — and we're now paying 50 percent of that for these older guests."

"Life begins at 66!" it says in an advert for its "senior citizens afternoon" next to a picture of a motorcycle rider.

Brothels have Managing Directors? Wow, I bet those MDs at Morgan Stanley feel super-special now.

Gordon Haave replies:

And I'd bet the "talent" are all vice-presidents.

Roger Arnold queries:

How does this get accounted for in GDP? Is it a deflationary indicator or indicative of an increase in productivity? Are there any hedonic adjusters that need to be accounted for? Looks like free market animal spirits are beginning to reawaken in Europe!

George Zachar responds:

Simplistically, I'd say it would show up as a decline in productivity, as seniors will simply shift their s-x purchases to the earlier time slot, with the establishments earning only half their prior revenue per session. GDP would similarly take a hit, and assuming quality remains constant, this would show up as a price decline.

So look for Trichet, at his next press conference, to be asked about stag-de-flation.

Marion Dreyfus explains:

George's explanation is a wrong take entirely. The early bird special is income that would be extra, since these are men who would not be coming in at all, short of lowered price per assignation. These are men who are thus providing income in the slow early afternoon hours when nothing much else is happening. Since the wear and tear on the females is supposedly less (I don't know from experience what the difference is in men from 20s, 30s, to 70s, etc.) than from the younger males that give them a harsher workout, maybe the lower price is fair, since they are not working as hard for the money.

Thus it seems like a win-win, actually. Management is selling product in normally slow hours, and the clientele will be doubly pleased at low-priced but professional action and can get a workout without having to be especially nice to their wives. Or if single, they can feel manly again, despite not being able to date perhaps, at their age or with a paucity of date-objects around. And likely as not, some of the men will use the opportunity to simply talk, as a surrogate for therapy, and bloviate on topics they can't share comfortably with their wives or friends without censorious responses.

I think the whole thing a fit subject for a PhD, actually, when one considers all the ramifications.

Adi Schnytzer adds:

I agree entirely. This is very definitely a topic for a PhD in sexual economics, a field I will be delighted to pioneer if anyone wants me as a supervisor and who isn't scared of fieldwork. Marion's gritty microanalysis makes a lot of sense and an econometric analysis of the wear and tear caused by different age males on working females is long overdue. 

Archives

Resources & Links

Search