tag:blogger.com,1999:blog-34323687.post3894700119939343823..comments2024-03-29T15:07:48.008+00:00Comments on Macro Man: Five things to note on payroll dayMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger152125tag:blogger.com,1999:blog-34323687.post-52758780881378760862016-08-15T03:59:53.777+01:002016-08-15T03:59:53.777+01:00
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(silence, as the Hammock swings quietl...<br />………………...<br /><br />(silence, as the Hammock swings quietly to and fro in the evening heat and humidity)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-49678147372768795772016-08-14T22:03:08.327+01:002016-08-14T22:03:08.327+01:00I guess there is a commission to pay upfront to be...I guess there is a commission to pay upfront to be eligible....<br />:)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-1943610725813545352016-08-13T20:40:47.352+01:002016-08-13T20:40:47.352+01:00Anyone heard anything interesting on DBK?Anyone heard anything interesting on DBK?Celeriac1972noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-41040247846790741702016-08-13T15:52:35.713+01:002016-08-13T15:52:35.713+01:00Friday's 12.325 settle for UXQ6 is the lowest ...Friday's 12.325 settle for UXQ6 is the lowest settle level for a front-month VIX future since April 2007Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-55021370162013426172016-08-12T17:08:52.174+01:002016-08-12T17:08:52.174+01:00Anon 3:27
That's the missing piece I was looki...Anon 3:27<br />That's the missing piece I was looking for, makes the picture complete now.<br /><br />Cheers.Skrnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-26024656128605260842016-08-12T15:27:32.619+01:002016-08-12T15:27:32.619+01:00Anyone up for chiming in on --
a) rationale for C...Anyone up for chiming in on --<br /><br />a) rationale for Central Banks buying equities?<br />b) ability to unwind this or protect themselves in a long-term downturn?<br />c) trading accordingly<br /><br />Happy FridayAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-75236806215440171002016-08-12T13:56:27.859+01:002016-08-12T13:56:27.859+01:00Abee:
short AUD/CAD: Very attractive and I have a...Abee: <br />short AUD/CAD: Very attractive and I have an oversize position from 1.01 with stoploss at 1.02. Adding further position now at 0.9995 The fundamental drivers are also in favour of a move lower namely the iron ore/oil ratio should correct and AUD.CAD has diverged from rate differentials in the last 3 months and should reattach itself at some stage. <br /><br />A further move up the range could occur if there is more weak data from Canada/Canada recession again. Still the last time this happened (late last year) AUD.CAD didn't breach 1.02. My plan is to take profit around 0.95. I suspect one day, the Australian economy will go into recession and it will break to the downside and head to 0.85. Just on a rate differential basis, AUD still has much further easing potential (from 1.5%) than CAD (0.5%). <br /><br />Shitty US retail sales and SPX barely budges. Wow, really is Teflon atm. One good thing about AUD.CAD is it gets you away from dollar directionality when the dollar is moving as it is. Also keeps me from silly impulses to short SPX again.Boogernoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-14854448645983288342016-08-12T08:36:50.577+01:002016-08-12T08:36:50.577+01:00LB,
USD/CAN , not seeing the edge on a chart at al...LB,<br />USD/CAN , not seeing the edge on a chart at all. At 1.30 upside and downside don't offer much RR. Now if the Fed pulls away or OIL get's a supply accord and it drops to 1.20 giving up 50% of the gain from the post 2011 basing range then that's a different story. As it stands though you really need to see Oil fall apart or the FED moving to convert that 1.30 flag into a failed pattern.checkmatehttps://www.blogger.com/profile/03688082792316894545noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-76702435696755734672016-08-12T07:09:15.149+01:002016-08-12T07:09:15.149+01:00Steepnes of Vol curve simply reflecting FED potent...Steepnes of Vol curve simply reflecting FED potential and US elections? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-14140939150187401882016-08-12T02:29:04.792+01:002016-08-12T02:29:04.792+01:00Thanks for the comments and questions. Yes, the vo...Thanks for the comments and questions. Yes, the vol curve still too steep at the front, and that's why we are still just watching - but that can change quickly of course with spot VIX at such low levels. Anon @1:02, thanks for the comments on TLT, we have also been bearish the Long Bond for the short-term here (lower highs and lower lows) and have been eyeing the 130 level and the 130-135 range; of course an overshoot below this is possible.<br /><br />Our reading is that at 125 the TLT would be a great buy and at that level the yield on the Long Bond makes a lot more sense than Unicorns, mall REITs, European shit with negative yields and pixie dust tech stocks. So we'd love for that to happen, and like others [Gundlach, Dalio etc..] we would probably be very interested even before TLT reaches that level.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-70692810849703311092016-08-12T01:02:17.625+01:002016-08-12T01:02:17.625+01:00The vol curve is very steep at the front. Less ste...The vol curve is very steep at the front. Less steep than three weeks ago but still back to 2012 levels. Further back, quite normal compared to the last three years. So for long VIX futures, November and later are less unacceptable than first two months.<br /><br />VIX, at <12, is very very low though, along with realized vol. Short-dated puts?...<br /><br />Seems best way to buy vol here is just set out sell levels below in your preferred and keep scaling in if they hit.<br /><br />How far do long bonds drop from here. Back to 125 on TLT? And if it gets anywhere close to that, do stocks float or sink?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-43551690793885908252016-08-11T22:09:09.401+01:002016-08-11T22:09:09.401+01:00thanks Jonho, you're a gentleman and a scholar...thanks Jonho, you're a gentleman and a scholar. <br /><br />Its impressive that you know so much about many different countries. I guess its easier to follow 20-30 main FX countries vs many different stocks/sectors that I currently have spurious knowledge about but I've found that FX the factors that drive prices tends to be dynamic depending what part of the cycle/situation you are in whereas with equities the drivers are pretty much static. earnings & growth along with company competitive position/mgmt/quality as an overlay<br /><br />For EM carry, we use EDD, higher carry vs EML. Have also dabbled in EDF but at a premium now. DSL and AWF are decent alternative, with lots of HY exposure as well. EMCB as wellabee crombiehttps://www.blogger.com/profile/13320039155613443039noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-45343787658143146922016-08-11T20:54:32.893+01:002016-08-11T20:54:32.893+01:00@anon 8:36
not really new. Interactive brokers ha...@anon 8:36<br /><br />not really new. Interactive brokers has a negative rate above >100k€ for a couple of months already...<br /><br />but what does it mean for you? hennerhttps://www.blogger.com/profile/15381506750678483901noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-606090724152918462016-08-11T20:36:29.153+01:002016-08-11T20:36:29.153+01:00I love it when THE PLAN starts to come together......I love it when THE PLAN starts to come together...<br /><br />"A Raiffeisen bank in southern Germany just introduced a negative deposit rate for retail clients with >€100k. That wasn't meant to happen."<br /><br />Wrong. It is exactly what was meant to happen.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-49461147971498896532016-08-11T20:34:11.800+01:002016-08-11T20:34:11.800+01:00@ Leftback:
Regarding your views on USD, to what ...@ Leftback:<br /><br />Regarding your views on USD, to what extent do you think the elections play in tempering the market/Fed's view on rate hikes over the FOMC meetings before the election? The markets talk about this goldilocks situation, which seems very fragile to me but it's simply been grinding along on this precarious view. I guess a related question would be what entry point would you think makes sense on the DXY?<br /><br />Would you long vol at the front end or near the back end of the curve? I've only been seeing an increase in vol steepness along the term structure over the past while, not decrease.Pandahttps://www.blogger.com/profile/05191480418685670630noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-16279247588180099592016-08-11T19:42:05.837+01:002016-08-11T19:42:05.837+01:00LB is back in the Hammock, where everyone should s...LB is back in the Hammock, where everyone should spend August. We are literally doing nothing but watching twice a day for half an hour. Things we are watching with interest - and waiting for an entry point over the next week or two:<br /><br />1) Short WTI. No position at present. We covered our shorts days ago. At the moment we are watching another squeeze that is engineered by and solely for the benefit of a few entities, e.g. Glencore, some of the large commodity hedge funds. The glut in crude and the products continues, and once these guys have exited their longs and sold to Tiny Punters, then supply data and a firmer dollar will contribute to another leg lower.<br /><br />2) Short CADUSD. Persistently low oil prices and a hissing sound from the Vancouver housing bubble are a big red warning flag for the Loonie. This one remains our favorite FX punt, and it will pay off handsomely for those who are willing to be patient. CAD is really going to plummet by December.<br /><br />3) Long UUP. Eventually the recognition that the Fed remains on a different flight path from other central banks will sink in, and although the speed of the ascent of US rates will be slow, the move in the dollar may be rapid. <br /><br />4) Short IWM. Once we see oil fading again and persistent under-performance in small caps, we will return to this.<br /><br />5) Short FXI. China will eventually have to fix the yuan lower. That will mark the end of the long and somewhat surprising run up in emerging markets. When BlackRock talks up EMLC, are they simply talking their book and selling it on to the Not Very Bright guys [who got a job managing money b/c they knew some one and are now desperately seeking yield] at Real Money inc.? We think so. Long EMLC is a popular USD carry trade, as Johno points out, but we think the timing is wrong here.<br /><br />6) Long vol. There are some alarming statistics on Tiny Punters and large traders alike both selling and shorting volatility with leverage here - and to a degree that hasn't been seen in decades, if ever. What could go wrong for Tiny Punters? Like Nico we are looking at VIX signals, such as a steady decline in the steepness of the curve.Leftbackhttps://www.blogger.com/profile/07728096415928915882noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-10790097587188326432016-08-11T16:58:18.291+01:002016-08-11T16:58:18.291+01:00abee @3:37PM,
Re MXN, perhaps I can offer some pe...abee @3:37PM,<br /><br />Re MXN, perhaps I can offer some perspectives. To start, note that Mexico has the highest unidentified capital outflows (reported as errors and omissions) in EM, at around 2% of GDP. If you look at FX implied yields versus current account plus error and omissions, MXN screens as having quite low carry for the level of CAD+EO (at around 5%). Mexico's CAD+EO is financed primarily with portfolio flows, but foreign positioning in MBONOs is already very high now and the fiscal situation with oil here raises questions. This also points to a bit of policy dilemma for Mexico - one reason foreigners are happy to own so much of the local bond market is because the curve is so steep, they can hedge the FX and still get a pickup versus treasuries. So, if the central bank hikes rates they might actually cause a foreign withdrawal from their bond market. Cyclically, there's some concern whether consumption can continue to diverge from manufacturing so strikingly. Mexican export growth, given the FX depreciation, has been dismal. That autos are 36% of Mexican exports and US auto sales have flattened out may explain this partly. Trump has also been a concern, perhaps less so now. Finally, perhaps related to my first point, the long high carry EM short MXN trade has been popular, so that's probably weighed on MXN.<br /><br />BRL I'm cautious about here. The central bank doesn't want it stronger and can unwind its swap book to lean against it. Cyclically, Brazil has hit bottom, but eventually growth will be necessary to push equities much higher. The market anticipates Temer introducing and passing lots of reforms after Rousseff is impeached, but I'd like to see it to believe it. Already there have been some setbacks to passing reforms, which markets have dismissed.<br /><br />Re AUDCAD, I'm a bit bullish AUD here. It looks cheap versus rates and terms of trade, but looked cheap like that back in April and terms of trade, i.e. crashing iron ore prices, closed the gap that time. CAD looks fair here. A maybe immaterial fact, but interesting nevertheless, Vancouver implemented a 15% tax on foreign purchases of real estate. Is it the beginning of the end for the Canadian real estate bubble?<br /><br />These days I wonder whether receiving rates isn't the better trade in EM than being long their currencies. It's an imperfect proxy (has FX and credit exposures too), but look at EMLC. I'm no technician, but doesn't that look interesting? Also, did anyone see BlackRock's head of EM fixed income's comments on a "great migration" to EM local currency bonds in the FT earlier this week? "This is not just the tactical guys.... This is pension funds, sovereign wealth funds. The big, big guys are starting to move." Anyone following this thread with more specific expressions of this theme than +EMLC, your comments are most welcome!<br /><br /><br /><br /><br /><br />johnonoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-91868232151663661702016-08-11T16:12:57.945+01:002016-08-11T16:12:57.945+01:00http://www.zerohedge.com/news/2016-08-11/13-bigges...http://www.zerohedge.com/news/2016-08-11/13-biggest-political-and-financial-distortions-world-heres-what-it-means-investorsAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-78493036056440967002016-08-11T15:37:06.884+01:002016-08-11T15:37:06.884+01:00Johno, thanks for the insights! Do you trade all F...Johno, thanks for the insights! Do you trade all FX or mostly EU? Any thoughts on BRL and MXN. MXN I cant figure out if the market is slow or I am missing something<br /><br />I'm not a big FX trader but thinking of dabbling in AUDCAD here, range trading any thoughts from the board. I'm more positive on oil on a 3 year view vs iron ore<br /><br />EEM is 25% Financials, 25% Technology. So as long as Nasdaq and XLF are going up, party on. IN terms of valuation, we are getting near top of PE bands in NDX though BKX still has about another 2 turns to go..Industrials already at 17x... hard to see it going much higher, IMO<br /><br />Omega/Lee Cooperman in his last letter said they were bullish on the markets not so much bc they see great price gains but bc they dont see a recession. They are not bullish on the actual price appreciation but on the length/duration of the current bull still has more to go. <br /><br /> <br /><br /><br /><br />abee crombiehttps://www.blogger.com/profile/13320039155613443039noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-71987682182758365432016-08-11T14:40:05.095+01:002016-08-11T14:40:05.095+01:00Holders of Mongolian bonds just got their clock cl...Holders of Mongolian bonds just got their clock cleaned. Wow, people really bought that stuff.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-80079061846620539562016-08-11T13:36:12.391+01:002016-08-11T13:36:12.391+01:00The guys at the Exchange Stabilisation Fund must b...The guys at the Exchange Stabilisation Fund must be happy with their efforts at weakening the $Phileas Foggnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-67423425103737646582016-08-11T08:49:20.059+01:002016-08-11T08:49:20.059+01:00August 2008.
Russian incursion of Georgia during...August 2008. <br /><br />Russian incursion of Georgia during Olympics and US presedential election. Somethign else happened in markets that year.....<br /><br />August 2016. <br />Ooh, look. Russia stepping up Ukraine conflict again, during Olympics and US presidential election. <br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-82146128252856734212016-08-11T06:04:40.943+01:002016-08-11T06:04:40.943+01:00@johno, nice if my view was usefull,
I still see ...@johno, nice if my view was usefull, <br />I still see nzdusd 0.74/75 and audusd 0.78/79 before what could be the biggest corrections since april on these pairs, eurusd could visit 1.1350 area.<br />Still like audnzd long too, but hard to know when the bottoming process will resolve itself as it probably needs a divergence between rba and rbnz policy.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-2477612298666308502016-08-11T04:53:13.077+01:002016-08-11T04:53:13.077+01:00nonrandomwalker @9:21PM, thank you for your though...nonrandomwalker @9:21PM, thank you for your thoughts on SEK and HUF.<br /><br />Re SEK, I'm not keen on range-trading, but I decided to give it a go Aug 2 with EURSEK having just reversed at 9.60. I could set a very tight stop. A regression model on rate differentials also showed EURSEK expensive there. Regarding the Riksbank, I would assume they continue pushing out their first hike, as they have done the last years. The STINA forwards are already reflecting that view. I'm not sure I quite follow you on the currency. The July 6 Monetary Policy Report shows the KIX at annual averages of 109.8 and 107.8 for '16 and '17 and currently it's at 112.1, so there's room for the currency to appreciate (lower KIX) from here before it's challenging the Riksbank's projections. As for the economy, Sweden has had the best post-GFC growth in G10, the output gap should be moving positive, the inflation trend is positive and the CPIF inflation prints have been meeting Riksbank projections more-or-less for a while now, after a long streak of misses. That's an alternative way of looking at it. Also, with the depo rate at -0.5% and QE ongoing, the Riksbank has already done everything save intervene in the currency (arguably in the same camp as EUR or JPY, also running a CA surplus). The flow picture is something I wish I had a clue about here, e.g. how FX flows are related to the yield curve (steepest swap curve in G10). There was also an interesting correlation with the SPX I mentioned sometime back, which made me wonder about equity FX-hedging flows. Anyway, my rational was top of range, tight stop (so skewed risk/reward), attractive on rate differentials, and some room before I thought Riksbank would fight the trade.<br /><br />Re HUF, it's more the PLN leg I'm excited about. PLNHUF is cheap on rate differentials and I figured the CHF-mortgage proposal, along with the hawkish Polish CB, could close it. I also have PLN against EUR, because I didn't want too big a bet against HUF, but that does introduce long-EM risk. As you point out, there are some NBH measures that should compress HUF FX implied yields. We're already seeing that.<br /><br />Anon @10:19, right you were! You'll see from my post earlier in the day, I came round to your view and took off my NZD exposure before the meeting. Seemed like too high a bar for the RBNZ to jump, on closer examination.<br /> johnonoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-80592238821778203802016-08-10T23:35:32.792+01:002016-08-10T23:35:32.792+01:00Sigma. Check out what happened to debtors in Dubai...Sigma. Check out what happened to debtors in Dubai back in 2008. Anonymousnoreply@blogger.com