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macrocephalopod's profile
macrocephalopod
macrocephalopod
macrocephalopod
@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. macrocephalopod‏ @macrocephalopod 18 Feb 2021

      macrocephalopod Retweeted Polemic Paine

      This is true, breakeven inflation = expected inflation + risk premium - TIPS liquidity premium, sadly you do not get to observe the last two so... 🤷https://twitter.com/PolemicTMM/status/1362299841313931264 …

      macrocephalopod added,

      Polemic Paine @PolemicTMM
      Breakeven inflation rates are no more the inflation rate than CDS prices are actual default probabilities or VIX is actual volatility. Implied ≠ actual.
      Show this thread
      1 reply 3 retweets 18 likes
      Show this thread
    2. macrocephalopod‏ @macrocephalopod 18 Feb 2021

      Basically every observable metric derived from asset prices has this problem, e.g. treasury yield = risk-free rate + term premium + expected change in yields - convexity premium, only the first (and maaaaybe last) are observable.

      1 reply 1 retweet 6 likes
      Show this thread
    3. macrocephalopod‏ @macrocephalopod 18 Feb 2021

      Equity dividend yield = risk-free rate + equity risk premium - expected dividend growth rate, the last two are not observable.

      1 reply 0 retweets 2 likes
      Show this thread
    4. macrocephalopod‏ @macrocephalopod 18 Feb 2021

      Commodity futures term structure = expected change in spot price + risk premium - storage effects (these are particularly fun for seasonal commodities like natural gas or commodities with rare but severe supply/storage issues, like oil)

      1 reply 0 retweets 0 likes
      Show this thread
      macrocephalopod‏ @macrocephalopod 18 Feb 2021

      macrocephalopod Retweeted macrocephalopod

      Haha on this one I forgot to add "temporary social media-fuelled speculative mania" -- as in this post about the silver basis from back when I had ~0 followershttps://twitter.com/macrocephalopod/status/1356183622978596866?s=20 …

      macrocephalopod added,

      macrocephalopod @macrocephalopod
      Short thread about the silver futures basis. Below is a plot of the Mar/May futures basis converted into annual premium terms. The only difference between Mar and May futures is when you would take delivery, i.e. this basis tracks the difference between receiving physical silver pic.twitter.com/xamMzR3WEN
      Show this thread
      6:58 AM - 18 Feb 2021
      • 5 Likes
      • lord_lamington Martin A Josh Giersch 🏳️‍🌈 Hugh
      0 replies 0 retweets 5 likes

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