Unenjoyment Day

Unenjoyment Day is here again!  Today's release has been anticipated for some time as the first "clean" figure in the wake of the winter storms, though if the bullish consensus is correct it should capture that dynamic too.

For what it's worth, Macro Man's proprietary model forecasts 211k for private payrolls.  The challenge with these types of models is that while the historical fit looks really good....


....the odd 50k miss from time to time, which is barely noticeable on the chart, can prove quite costly if there are substantial sums wagered on it.   The lesson, therefore, from Macro Man's perspective, is to avoid wagering substantial sums on this erratic figure where possible.

That having been said, there are a few interesting setups at the moment.  The market is ostensibly looking for/worried about a big number today.   The market is also bearish US fixed income, yet TY is near its highs of the year....



Meanwhile, the market has tried to be long dollars, yet the DXY is near the lows of the year.


Given the unfulfilled emotional (and financial) investment in these views thus far in 2014, Macro Man cannot shake the view that the market will feel compelled to layer risk aggressively should a strong number "justify" a bullish dollar/bearish rates view.  Should the result come in "blah", well, the price would suggest that a lot of positions have already been vacated.   It would therefore appear that there is something of an asymmetric set up in favour of the views that were almost universally held before the snow came. 

Macro Man is not of course suggesting that these views will play out thematically on the basis of one payroll print.   Rather, he merely observes that the tactical set-up would appear to favour the positions that were so popular at the end of 2013.

As discussed in previous posts, of course, the exception would appear to be equities.  "Sell in May" has worked a treat so far, with the cash SPX cratering a whopping 1 basis point on May Day.  If we finally do get a "Big Kahuna" number, however, the concomitant price action in rates could well make it an Unenjoyment Day for equity longs.
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amplitudeinthehouse
admin
May 2, 2014 at 9:09 AM ×

Sorry to hear about your models miss, MM, keep your chin up laddy, I'm sure the model you have now is well suited to your commodities hedging desk. Actually, I had good laugh today when I saw the very same model on display in a Turkish pizzeria , no , not in the front window, but on the big screen. Fuck me , you just can't win on payroll days like this.
Can't you guys over there take it back!

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Anonymous
admin
May 2, 2014 at 1:19 PM ×

As the bishop said to the actress: "favor the positions that were so popular at the end of 2014."

Ooops!

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Leftback
admin
May 2, 2014 at 1:34 PM ×

Ah yes, the blow out number. Protection will be in demand for fixed income today, one imagines... is this the Good News we have been looking for to ring the bell at the top?

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Anonymous
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May 2, 2014 at 1:45 PM ×

Labor force shrinks by 806k. Who needs jobs?

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Anonymous
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May 2, 2014 at 4:22 PM ×

"Protection will be in demand for fixed income today" spoke too early

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Hotairmail
admin
May 2, 2014 at 4:26 PM ×

My rule of thumb. For a big outperform headline number and the market gaps up...sell it.

For a big outperform headline number and the market opens flat to down, buy it.

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abee crombie
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May 2, 2014 at 6:57 PM ×

3.37% in the 30year... vs close to 4% at the start of the year. Wow I was completely wrong.

Perhaps some supply/demand issues going on at the long end. its quite a buy-fest there. Like MM, I guess the trade is to flatten the curve, not play the outrights

When do we see banks mortgage co's take down the rate. Avg 30year is still 4.25% in US.

Yellen to lend directly to homeowners! Who needs Fannie anyways sine the Fed will own most of thier bonds. Disintermediate them and let the Fed buy straight from the source!

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