@WarrenPies@stevehou There is no such thing as value-weighting when it comes to commodity indices. The primarily followed benchmarks use either purely production weights (GSCI) or combining those with liquidity (trading volume) weights to achieve a more balanced sector profile.
@donnelly_brent Brent, love your weekly market screed. But today's pronouncement on crude is the rare case of major foot in mouth disease. If the CL curve had persistently maintained the inverted shape you are showing through all these years, then USO would have been a splendid investment.
@hussmanjp You keep attributing the failure of “overvalued, overbought, overbullish” conditions to trigger corrections to ZIRP. That would suggest the signal to become effective again now. However, that does not seem to be the case. What gives?
@Ksidiii@yungshady_2 Actually, automatic exercise rules applied by the exchanges7OCC are based on the RTH closing price. But of course, any rational holder of long puts will be guided by after hours action in determining whether to request exercise regardless.
@dave_stonks@MacroAlf Prior to the GFC, the Fed ran a scarce reserves regime where the amount of reserves in the system directly determined FFR. The current ample reserves regime relies on IOER to set the level of FFR.
@M1tchRosenthal Perfectly correlated time series are not necessarily cointegrated. Suggest you look up an accessible yet rigorous exposition of cointegration applied to financial time series as presented e.g. in the book "Market Models" by Carol Alexander.
@BobEUnlimited There are powerful theoretical reasons to discount claims of typical institutional long-only involvement in commodity futures markets to persistently affect prices (lack of physical hoarding,pure side bets). Furthermore, a wealth of empirical research disputes causality.