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Cross Market Analysis

  • #1
  • First Post: Edited Jul 7, 2014 12:08pm Jul 6, 2014 1:47pm | Edited Jul 7, 2014 12:08pm
Hello!

Introduction to myself, I'm a strategist (Macro, rates & FX) at a bank in London and I have to operate under a pseudonym. I also can't mention what bank it is for legal reason (unless someone is really keen on knowing )

I can comment and discuss anything worth talking about (compliance has loosened a bit regarding anonymous activities related to work, which is nice).

Started as a rates trader for EUR and GBP swaps, now am a strategist. (pic is off my desk as a trader... strats have far fewer screens and gadgets )

A few things first, This thread will hopefully be an interesting discussion from a macro perspective on mostly FX (hence thread area) but also Rates/Volatility (hence the title)

Something I can offer is being added to my mailing list for Bank research, absolutely free of course. I see websites charging for access and I hate it, so if you want bank research just ask me and msg me your email http://static2.trade2win.com/boards/...icon_smile.gif

I hope that this thread can become something worth while, but lets see.

anyone is welcome to comment, just no hate or anything!

*few edits in here to clear up some question i've had
  • #2
  • Jul 6, 2014 1:48pm Jul 6, 2014 1:48pm
So a few charts that I'm watching at the moment

1st is EURUSD vs 1Y implied yield. Recent movements have caused the market (not just 1Y, but fwd starters and x-ccy bs to widen in the USD's favour as shown)

This is nominal yield, and doesn't show the full picture as USD inflation swaps have been bid last few weeks. but definitely worthy of note.

Not at all suggesting EUR$ trades down to 1.27, just that the price action divergence is quite something...
Attached Image (click to enlarge)
Click to Enlarge Name: eur vs swaps.png Size: 48 KB
  • #3
  • Edited 2:01pm Jul 6, 2014 1:51pm | Edited 2:01pm
A bullish go-to chart for the AUDUSD is that of considering it as an EM proxy or a risk proxy (which are sizeable assumptions)

Chart shows the AUDUSD vs the CDX emerging market - IG 5 year CDS spread. (any people trade credit here?)

In other words, the risk premia of the emerging markets over "safety"

Generally correlated well with the AUDUSD, but so far this year has pushed quite a bit higher (well tighter, but scale is inverted) its 180 vs 260.

I could produce 10, equally bearish AUD charts, to even it out, but its interesting nonetheless
Attached Image (click to enlarge)
Click to Enlarge Name: AUD vs EM.png Size: 50 KB
  • #4
  • Edited Sep 23, 2015 7:12pm Jul 6, 2014 1:57pm | Edited Sep 23, 2015 7:12pm
And as stated in the intro piece, anyone wanting sell-side commentary and notes, just ask...

I'll try and upload a sample here - BAML econ, Credit suisse techs, BNPP weekly Fx, Goldman Sachs technicals

I have a mailing list so its no problem if anyone wants to join

The stuff I send out is Interest rates / Equity / FX / Commodities and economic pieces. As well as occasional desk commentary.
Attached File(s)
File Type: pdf doc40048888View.pdf   2.7 MB | 621 downloads
File Type: pdf Global_FX_Plus_-_03_July_2014.pdf   2.8 MB | 993 downloads
File Type: pdf téléchargement (3) (6).pdf   3.0 MB | 1,071 downloads
  • #5
  • Jul 6, 2014 2:58pm Jul 6, 2014 2:58pm
EURUSD pin risk this week, 5.5bn or so DTCC recorded options going off at 1.36 this week

selling 1W strangles may be good (not delta hedged) even though offer vol is sub 4
Attached Image(s) (click to enlarge)
Click to Enlarge Name: SDR EURUSD.png Size: 33 KB
Click to Enlarge Name: sdr EURUSD 2.png Size: 34 KB
Attached Image
  • #6
  • Jul 6, 2014 3:37pm Jul 6, 2014 3:37pm
NZD valuing can be hard... but I like this chart a lot!

its 1Y carry/vol

Currently at decade highs, mostly because the denominator (volatility) is very low, but also the numerator (carry) is rising.

Hence meteoric rise YTD

no doubt has led to the 8.9% rise as well YTD
Attached Image (click to enlarge)
Click to Enlarge Name: NZD 1Y carryvol.png Size: 153 KB
  • #7
  • Jul 6, 2014 6:12pm Jul 6, 2014 6:12pm
Nice.
  • #8
  • Edited Feb 13, 2024 8:08pm Jul 7, 2014 3:37am | Edited Feb 13, 2024 8:08pm
Goldman and Citi FX desks traders notes for the day

edit* and morgan stanley's and commerzbank

{ copyrighted attachment deleted by staff }
Attached File(s)
File Type: pdf Citi trading desk.pdf   66 KB | 985 downloads
File Type: pdf GS trading desk.pdf   154 KB | 546 downloads
File Type: pdf Commerzbank_SalesTrader_Views (1).pdf   539 KB | 1,024 downloads
  • #9
  • Edited 12:56pm Jul 7, 2014 3:51am | Edited 12:56pm
test
  • #10
  • Edited 1:03pm Jul 7, 2014 5:23am | Edited 1:03pm
From BNP Paribas GBP trading desk :

While long GBP is the correct trade, there is a significant vulnerability at any weak data .Or if the tightening schedule comes into question

I am inclined to agree... GBP vs 3 month 25D RRs, positioning quite long (on a Z-score basis) and any weakness could see GBP drop quite hard (in these days thats like 2% lol)
Attached Image (click to enlarge)
Click to Enlarge Name: gbp chart.png Size: 51 KB
  • #11
  • Jul 7, 2014 9:21am Jul 7, 2014 9:21am
US 10 years have been strongly bid today...

Back to pre-NFP levels, could be further shake out under 2.60%, likely pressure USDJPY if it continues.
Attached Image (click to enlarge)
Click to Enlarge Name: us10yt=rr.png Size: 33 KB
  • #12
  • Edited Feb 4, 2016 1:28am Jul 7, 2014 11:54am | Edited Feb 4, 2016 1:28am
Bank of America Technicals, some interesting ideas in there.

"sell the bounce in EURUSD"

"buy NOKSEK"

sell USDJPY etc etc.

{ copyrighted attachment deleted by staff }
  • #13
  • Jul 7, 2014 12:22pm Jul 7, 2014 12:22pm
Hey AWS,

nice to see a new, reasonable member joining amongst all those muppets trying their luck (sic!) in the market. You on the other hand seem like quite a reasonable chap.

To mind my manners and introduce myself, I am a co-owner and CEO of a CEE based value fund and of course our analysts spend quite some time over macro as well. Will be happy to comment or add if I find a spare moment to this thread of yours, let it thrive and prosper!

All the best, FXM
Quant Hedge Fund CEO
  • #14
  • Jul 7, 2014 12:22pm Jul 7, 2014 12:22pm
Hey! You do a good work,

I like to see what others brokers view on the market.
Let the GOLD time Roll
  • #15
  • Jul 7, 2014 12:25pm Jul 7, 2014 12:25pm
Quoting Aws1962
Bank of America Technicals, some interesting ideas in there. "sell the bounce in EURUSD" "buy NOKSEK" sell USDJPY etc etc. {image}
Not that I´d be that much of a fan of BofA analysis most of the time, but I sold the bounce on D1 @1.3691 at my personal account, we don´t do much FX except for currency hedging in the fund (which is about to change soon but anyway). Was a no-brainer trade really.
Quant Hedge Fund CEO
  • #16
  • Jul 7, 2014 12:44pm Jul 7, 2014 12:44pm
Hi AWS,
your thread looks interesting. Subscribed.
Per aspera ad astra
  • #17
  • Jul 7, 2014 12:57pm Jul 7, 2014 12:57pm
Quoting FXMastermind
Hey AWS, nice to see a new, reasonable member joining amongst all those muppets trying their luck (sic!) in the market. You on the other hand seem like quite a reasonable chap. To mind my manners and introduce myself, I am a co-owner and CEO of a CEE based value fund and of course our analysts spend quite some time over macro as well. Will be happy to comment or add if I find a spare moment to this thread of yours, let it thrive and prosper! All the best, FXM
kind words sir, all the best for your ventures too
  • #18
  • Jul 7, 2014 12:59pm Jul 7, 2014 12:59pm
kind words from all in fact! I hope we can get some good discussions going, markets are so boring these days anyway
  • #19
  • Jul 7, 2014 1:16pm Jul 7, 2014 1:16pm
Should add - I'll post probably less than 1/10th of the research I get on here, its quite time consuming. Much easier to join my mailing list
  • #20
  • Jul 7, 2014 1:38pm Jul 7, 2014 1:38pm
JPY and nikkei diverged a bit. Our desk recos long USDJPY, but I'm much more inclined to short nikkei...

especially as we've got a monster typhoon heading that way...
Attached Image(s) (click to enlarge)
Click to Enlarge Name: jpy nikkei.png Size: 44 KB
Click to Enlarge Name: hurricane.png Size: 813 KB
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