Macro Man sells his 116.65 USD call versus yen for 1.54% of face....today's figures were Goldilocks extraordinaire.....next week might be another story.
I don't know from 'Goldilocks extraordinaire' though I do think the jobs number will have reassured some. I am pretty sanguine about CPI (ex-fuel, which the market well knows has been up) but not expecting great retail data. The good bet imo is still "soft landing" which should lead to some nice volatility as the growth-resurgence camp dukes it out with the hard-landing pessimists. Like you (but in different vehicles) I'm long cheap gamma through next week.
Landing is landing IMHO. About half the 97K new jobs were government jobs, which is poor reflection on private sector strength. More important is Fed repo liquidity issuance during last two weeks. Some $4 billion a day at less than Fed rate, and yesterday a lump of $14 billion on a two week repayment. Pumping up the markets? Broker/dealers must love this for asset price inflation, but I don't see where that's going to help re-financings in the mortgage market. Is the "fix" in? I'm holding my very short-Alpha positions a while longer. OldVet
Morgan Stanley's Stephen Jen agrees with your view that Yen carry trade is exaggerated: http://www.morganstanley.com/views/gef/archive/2007/20070309-Fri.html#anchor4542
I think that it is instructive that most of the hand-wringing over the size and danger posed by the yen carry trade has come from non-currency specialists. A number of houses have, on occasion, expressed concern over the viability of FX carry generally, but it seems to me that there has been little specific angst on the yen specifically from people who see the flows.
I actually think Stephen is a little too upbeat in the near term; I currently find myself in the curious position of being more upbeat on the yen (in the very near term) than he is, which is the first time for that in a number of years.
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Click here for commentsI don't know from 'Goldilocks extraordinaire' though I do think the jobs number will have reassured some. I am pretty sanguine about CPI (ex-fuel, which the market well knows has been up) but not expecting great retail data. The good bet imo is still "soft landing" which should lead to some nice volatility as the growth-resurgence camp dukes it out with the hard-landing pessimists. Like you (but in different vehicles) I'm long cheap gamma through next week.
ReplyLanding is landing IMHO. About half the 97K new jobs were government jobs, which is poor reflection on private sector strength. More important is Fed repo liquidity issuance during last two weeks. Some $4 billion a day at less than Fed rate, and yesterday a lump of $14 billion on a two week repayment. Pumping up the markets? Broker/dealers must love this for asset price inflation, but I don't see where that's going to help re-financings in the mortgage market. Is the "fix" in? I'm holding my very short-Alpha positions a while longer. OldVet
ReplyMorgan Stanley's Stephen Jen agrees with your view that Yen carry trade is exaggerated: http://www.morganstanley.com/views/gef/archive/2007/20070309-Fri.html#anchor4542
ReplyI think that it is instructive that most of the hand-wringing over the size and danger posed by the yen carry trade has come from non-currency specialists. A number of houses have, on occasion, expressed concern over the viability of FX carry generally, but it seems to me that there has been little specific angst on the yen specifically from people who see the flows.
ReplyI actually think Stephen is a little too upbeat in the near term; I currently find myself in the curious position of being more upbeat on the yen (in the very near term) than he is, which is the first time for that in a number of years.
Anonymous 4:45 -
ReplyYou make the classic gold bug blunder of looking only at RP's initiated while ignoring RP's expiring:
w/e 02/24/07 Net RP's -$2.5bn
w/e 03/03/07 Net RP's -$2bn
There was a $1.6bn (?) outright coupon purchase, but that is the first since mid-Dec if memory serves.
So where's the pumping?