Archive for October, 2013

Abbreviated End of Day Wrap Up

Thursday, October 31st, 2013

The belly of the Treasury curve took the brunt of the sell off today. Observe various butterflies (2s 5s 10s; 5s 7s 10s; and 5s 10s 30s) and each cheapened by about 2 basis points or a tad more than that. So the sector which had registered the most improvement ...

High Grade Fund Flows

Thursday, October 31st, 2013

Bank America Merrill Lynch reports significant outflows from high grade funds but their analyst believes that it is a one off event: Via Merrill Lynch:   Don't be spooked by the outflow. This week high grade funds reported the largest outflow since June, at $2.67bn. However, almost all of it, or $2.60bn, came ...

FX: Sinking Euro

Thursday, October 31st, 2013

The US dollar was a superstar today versus the Euro currency and the Euro cratered versus Sterling, Yen and Aussie. One aficionado of the FX market described the circumstances of the Euros decline. On the US side he suggests that market participants over thought the FOMC. Many players gazed at the ...

Mid Day Update

Thursday, October 31st, 2013

The belly of the Treasury curve has taken a battering since the Chicago PMI number printed. The 2s 5s curve was at 97.5 prior to the number and is now at 102 basis points. The 5 year/30 year spread was at 234 basis points prior to the data and that ...

Volatility

Thursday, October 31st, 2013

Volatility as measured by swaption vol is better bid today than it was prior to the FOMC statement yesterday. However, vol has been cheapening since the release of the September non taper statement and so viewed in the context of that move the move post FOMC is minimal. One trader ...

Chicago PMI

Thursday, October 31st, 2013

Chicago PMI posted a huge gain to 65 from 55 last month and a consensus view of 55. The internals of the report were quite strong with robust readings on production, new orders and employment. By Ainhoa Goyeneche Oct. 31 (Bloomberg) -- Following is a summary of business activity as reported by the ...

One Man Wrecking Crew

Thursday, October 31st, 2013

Attached is a link to an article at Dealbook about a Department of Justice attorney,Leon Weidmann, who has acted as a one man wrecking crew in his search to punish big banks for their role in the financial crisis. Mr Weidmann has employed Firrea (sounds like someone from Brooklyn pronouncing ...

Halloween Trading

Thursday, October 31st, 2013

Prices of Treasury coupon securities have rebounded from the post FOMC malaise which produced a  swift rate rise. In the belly of the Treasury curve rates are lower by about 2 basis  and the curve has partially erased some of the flattening against the belly which was the hallmark of ...

McCain/Graham Threaten to Delay yellen

Wednesday, October 30th, 2013

The WSJ reports that Senator John McCain and his sidekick Senator Lindsay Graham have threatened to filibuster the nomination of Janet Yellen to head the Federal Reserve. The opposition to Yellen is not related to monetary policy or economic policy but derives from the ongoing attempts of those Senators to ...

Some Thoughts on Post FOMC Trade

Wednesday, October 30th, 2013

When I first began in the bond business I remember a seasoned veteran explaining to me that the key to understanding short term gyrations in the market is dealer positions. The over arching responsibility of the dealer community is to get positions back to flat. So longs always get liquidated ...