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  • #341
  • Sep 3, 2014 9:45am Sep 3, 2014 9:45am
Hello sir, hope all is good with your work there, ... really miss your posts here ...
I see it all in between ...
  • #342
  • Sep 6, 2014 6:45am Sep 6, 2014 6:45am
Quoting Ken A
This thread has gone quiet ...........
back...
  • #343
  • Sep 7, 2014 1:19am Sep 7, 2014 1:19am
Welcome back ...
I see it all in between ...
  • #344
  • Sep 8, 2014 6:13am Sep 8, 2014 6:13am
Crazy moves in front end GBP vols, 2W marked higher towards 11vols, this is from our options desk

In response to a poll released over the weekend GBP vols are going bonkers and 1m EURGBP has been a particular focus of the rally trading up from 9.25 on the open to 9.7 (we closed marked around 7.3 on Friday).

Believe it or not there have been periods where the 1m EURGBP saw delivery on or above the 9 handle over the past 2yrs once in late Jan early Feb this yr (when we didnt quite make it over 9.25ish) and once in early 2013 when we pushed through 13.0 (this is on a D/D basis - see attached)

more on the move from the options desk

A lot of vol of vol on the curves this morning with both 1 month EUR/GBP and GBP/USD trading up by about 2vega on the day at 9.5 and 9.7 respectively.

Skew is also shifting with 1 month 25d RR in GBP/USD was paid up to 1.75 from 1.1 on Friday. 3m got paid up at 1.4 EP

EUR/GBP risk reversals are getting bid up for Euro Calls 3 months here are trading at 0.55 EUR calls from more or less flat on friday.

We didn't see much flies this morning but they are also better bid. 1m 25d is marked 0.25 vs 0.125 this time last week and 1m eurgbp is 0.275 vs .175 mark on Friday
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  • #345
  • Sep 8, 2014 6:31am Sep 8, 2014 6:31am
Quoting Aws1962
Crazy moves in front end GBP vols, 2W marked higher towards 11vols, this is from our options desk In response to a poll released over the weekend GBP vols are going bonkers and 1m EURGBP has been a particular focus of the rally trading up from 9.25 on the open to 9.7 (we closed marked around 7.3 on Friday). Believe it or not there have been periods where the 1m EURGBP saw delivery on or above the 9 handle over the past 2yrs once in late Jan early Feb this yr (when we didnt quite make it over 9.25ish) and once in early 2013 when we pushed through...
Good to have you back! Hope the holidays were enjoyable.
A pip is only worth it if you know how much you risked to earn it
  • #346
  • Sep 9, 2014 3:09am Sep 9, 2014 3:09am
From nomura spot trading desk

JPY – There was no good catalyst ( apart from SF Fed study saying that investors expect lower rates for longer than Fed) but USD was boosted across the board, especially USD/JPY’s performance was outstanding in the G10 spaces which broke a pre-NFP high of 105.71 and extended its gain to 106.34 overnight. What we have seen since yesterday was the first buying through 105.30 from people who had sold the dollar after the payroll below 105, the second buying was through 105.70 from the macro communities and through 106.00 from similar names. During the Asian session, we were a better seller for people was taking profit and I tend to agree as a 150pips rally for 2days was a bit extended to me. However, now the uptrend is firm, I like to buy any dips for USD/JPY today. 105.70/105.45 supports 106.50/65 resistances.



EUR - Broad based USD buying as London left for the day has given us a new low on this move (1.2867). Little has changed from my piece yesterday and this remains a sell on the rally. It is difficult to put a finger on what actually started the move, but it might well have been this from the San Fran Fed stating that the public expect a more accommodative policy than the FED. Thank you Adam Redland for forwarding.
http://www.frbsf.org/economic-research/publications/economic-letter/2014/september/assessing-expectations-monetary-policy/

What it still highlights is that even though the world is super-short EUR and long USD, the market does not trade that way. Rallies die out fast.

We are nearing crucial levels in the EUR and DXY. 1.2750 is massive, as is 84.75. I do expect the move to slow at these levels and to get some more two-way in the price, before the USD continues on its merry way.

https://mail.google.com/mail/u/0/?ui...=emb&zw&atsh=1

CHF – CPI was a little stronger, but the USD play is a far bigger game at the moment, and it will remain so. Stay long USD, and only lighten up if you get vertigo.




GBP - all about the polls and the ones to come are all getting a little tight, so it’s a matter of following the price action. Cable was just a dollar trade o/n and the new release (50.6/49.4 in favour of No) had a limited impact . Real money flow will be all important and that will/should only come in London hours so expect fresh supply. Level wise Eur/gbp topped/supply 0.8035-38 (100 dma 0.8032) demand 0.7995-00, cable 1.6170-80 if we rally and the all important 1.6000 level which was always a solid/pivot area on the way up . On the data front we get IP at 9.30am . Remain very flexible and will follow the flows.




Commonwealth

The U.S dollar took centre stage as London walked out yesterday we are now approaching some important DXY resistance that comes in at 84.75/85.00 (84.35) which should attract some profit taking.
Overnight weaker business confidence from Australia hasn’t helped the commonwealth , today I am wary of some profit taking in US dollar longs up around these levels , but I remain a seller of the commonwealth on any reasonable rally’s.
Ranges today A$ 0.9250/0.9300 , $CAD 1.1010/1.0965 and KIWI 0.8250/0.8310

https://mail.google.com/mail/u/0/?ui...=emb&zw&atsh=1
  • #347
  • Sep 9, 2014 4:51am Sep 9, 2014 4:51am
Is GBP really reacting to scottish independence rhetoric?

Take a look at rate spreads vs the GBPUSD. US rates have been rising, while UK rates have been dropping... so its no surprise that we've seen cable drop. But its hardly the scottish independence "yes" vote, just take a look at EURGBP, not even above 0.8000.

On the one hand, a yes vote would likely lead to the BoE pushing back hikes (even if Carney says otherwise). But a no vote hardly brings it forward... So While shorting the GBP here may be unwise given we've dropped for 10 weeks on the trot. Buying it on the expectation of a no vote also isn't a smart move.

GBP is fairly valued here, and the scotch vote is purely noise.
Attached Image (click to enlarge)
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  • #348
  • Sep 14, 2014 11:46am Sep 14, 2014 11:46am
Quoting Aws1962
So While shorting the GBP here may be unwise given we've dropped for 10 weeks on the trot. Buying it on the expectation of a no vote also isn't a smart move. {image}
but, I will still buy it... because the last YouGov poll say so ...

Thanks for the insight
I see it all in between ...
  • #349
  • Sep 14, 2014 12:09pm Sep 14, 2014 12:09pm
Quoting Thx
{quote} but, I will still buy it... because the last YouGov poll say so ... Thanks for the insight
This pair, after this thursday is still going to be a USD story, as it has been for the last 2 months. The GBP hasn't really weakened on Scotland, nor has it strengthened. In fact its done very little.

But short covering would take us to 1.64+ on the current 85% chance of a no vote
  • #350
  • Sep 14, 2014 12:28pm Sep 14, 2014 12:28pm
note weakness in AUD on the open due to industrial production numbers. 0.90 big level (and according to goldman) will be attracting a lot of demand from soverign, but also Japanese buyers as the x-ccy has aided potential for foreign buyers of AUD government bonds. That with a lower spot price and compressing fwds (thru high US end rates) buying thru AUDUSD may be seen. Lets see, good luck this week.

Also, these numbers in line with a sub 7% GDP growth, expect the PBoC and Chinese government to start implementing "stuff" to boost growth.

*chart is CNY 1Y ND swap, recieving these rates here not a bad idea if we are to see some action, n.b. this line dropping = bullish for the AUD and NZD.

But don't confuse me with being bullish the AUD, just putting some ideas out there for this week.
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  • #351
  • Sep 14, 2014 10:56pm Sep 14, 2014 10:56pm
Quoting Aws1962
note weakness in AUD on the open due to industrial production numbers. 0.90 big level (and according to goldman) will be attracting a lot of demand from soverign, but also Japanese buyers as the x-ccy has aided potential for foreign buyers of AUD government bonds. That with a lower spot price and compressing fwds (thru high US end rates) buying thru AUDUSD may be seen. Lets see, good luck this week. Also, these numbers in line with a sub 7% GDP growth, expect the PBoC and Chinese government to start implementing "stuff" to boost growth. *chart is...
Hi Aws1962

Thanks for sharing your info and views.Recently found this thread and will following and contributing as I can.

GL

Rooi
We miss 100% of the shots we don't take
  • #352
  • Sep 16, 2014 4:11am Sep 16, 2014 4:11am
JPY – USD/JPY was range-bound, local exporters were seen as sellers of USD/JPY and Cross/JPY and the pair dropped with weak stops triggered below 107.00. However the downside was well supported ( low 106.93) and the pair retraced back to where it had been at 107.20/25 before the London opening. I still expect a range-bound market before the FoMC statement tomorrow but interestingly now we are picking up weak stops on the topside and intraday the pain side looks to the topside after we have cleaned out downside stops. I think we are going to see a pop first but the resistance of 107.60/70 is likely to be a cap. Resistance is a multi-daily high of 107.395 and support is Asian low of 106.93.



EUR - Consolidation is the name of the game before the big events of the coming days. I doubt today will be any different with a 1.2900-80 range likely to capture all the action. We held well down there yesterday, but most players will be waiting for tomorrow before putting on anything fresh. The FOMC meeting begins today, so a period of calm is expected notwithstanding the German ZEW data at 10am. A slightly stronger number will see a more position squaring but I still expect offers around 1.3000. I will put a stop above 1.3030 on day trades. Some commentators were highlighting the risks to the topside yesterday if the FED do not drop the ‘considerable time’ language and so some pairing of USD longs was understandable.

ZEW has been on a downward path, so we’ll need a number above +10 to turn this tide. Expectations are for +5
https://mail.google.com/mail/u/0/?ui...=emb&zw&atsh=1

CHF – All about Wed/Thur for us now. FOMC is crucial, but so is the SNB’s response to the ECB’s policy. There has been some decent interest in the topside trade as the next few days could be the perfect storm for USD/CHF longs. Parity here we come, or back to 0.9150? I am socially long, and will add on CB action.



GBP – pretty much range bound here in Poundland. 0.7940-80 Eur/gbp and 1.6200-1.6270 cable pretty much covers it for now with very little flow and order boards being very light. Unless we get some news release or a poll that will give us a clear indication in terms of the Scottish referendum outcome, we will be looking at the data for market moves . Today we get PPI and the more important CPI. Let’s see where this takes us, any position taken will be short term and I remand flexible in terms of direction.



Commonwealth

As I suspected Aud$ closed the gap yesterday. Overnight we’ve seen good macro selling also I suspect there was some commonwealth/ yen selling coming out of the Japanese exporter side .The RBA minutes gave us no real surprises although they did mention the currency was overvalued which has encouraged fast money selling .
Today the U.S dollar looks pretty firm at the open , Asian stocks aren’t a pretty sight so I can’t see much respite for the aussie and the rest of the commonwealth , sell rallies continues to look the best play .
Aud$ support comes in at 0.8980 with resistance now at 0.9035/40 , for the kiwi look for 0.8140/90 and $cad 1.0940/90 (Poloz speaks at 5.30gmt currency being the subject)
Milk auction is out in early London afternoon. Always worth a sniff.

https://mail.google.com/mail/u/0/?ui...=emb&zw&atsh=1
  • #353
  • Sep 18, 2014 4:23am Sep 18, 2014 4:23am
PY – Yesterday’s price action through the FOMC was interesting that when a considerable time was found on wires USD/JPY went 35 offer and immediately went 60bid ( on 107), then we haven’t seen below there since then. The price action told me that people certainly wanted to buy the dollar regardless of a content of the forward guidance and as the dip was too shallow I think many people couldn't get fill their appetite for the dollar (again). So such a buying interest is still intact on the downside and we have seen Japanese corporate starting buying on a rally which was interesting. USD/JPY looks slightly extended to me in the short term, so intraday I am looking to buy USD/JPY at 108.20/30 where we see some fresh bids and with a stop at 107.60. Resistances are 109.00/50.




EUR - Everyone will have dissected the FOMC outcome by now, and Yellen’s more balanced (which is hawkish for her) testimony has given the USD a lift. All the dots were aligned for a lower EUR, and we broke the low to trade 1.2835 overnight. FX has moved more than other markets and there is a temptation to take some profit here. I have done so, but am still very much in a sell-on-rallies mode.


DXY nearing big levels again.
https://mail.google.com/mail/u/0/?ui...=emb&zw&atsh=1

CHF – Big event today at 8.30am. There has been much speculation about an SNB response to the recent CB moves, so the market goes into this a little short CHF (as do I). We expect rates to remain the same, but watch out for other measures. People short CHF on risk-reward. No changes and the cross goes back to 1.2080.



GBP – A potentially historic day with the people of Scotland heading off to their voting booths , accounts that want positions or need position have by now got them on , so for today it will all be about liquidity and where it comes from , I guess it will start drying up after the 4pm fix, until then it should be fine but we may see some volatile short term intraday price action . Level wise 0.7840-60 should find some demand in the cross and 1.6250 -1.6350 in cable may prove to be todays range. Retail sales at 9.30am .

NOK – Norges bank at 9am. Unchanged expected but watch for the comments. Market is expecting dovishness, although some have been saying this is where they could get a hawkish slant to their rhetoric. Will move.



Commonwealth

Big USD day yesterday. Huge moves in AUD especially as following Poloz’s comments there was some RV trading in this area. Short AUD/CAD cannot be argued with, although those who went long straight CAD (i.e short USD/CAD) might be a little disappointed. Big events elsewhere in the FX spectrum should keep these pairs trading the USD side.

Will Aud/Cad see parity again? Sell on a 0.9940 bounce.
https://mail.google.com/mail/u/0/?ui...=emb&zw&atsh=1
  • #354
  • Edited 8:32am Sep 18, 2014 8:16am | Edited 8:32am
Quoting Aws1962
{quote}short covering would take us to 1.64+ on the current 85% chance of a no vote

Perfectly hit 1.64 ... Great Analysis !!!

Given the GBPUSD already in a up mood for past 7 days, lets say if no voters won, then how far would you expect this current mood will last ... ??
what's your opinion about this ??
I had re-read GBP/USD data point but my brain can't draw even a single conclusion from it.

Many Thanks, as always ...
I see it all in between ...
  • #355
  • Sep 18, 2014 8:40am Sep 18, 2014 8:40am
Quoting Thx
{quote} Perfectly hit 1.64 ... Great Analysis !!! Given the GBPUSD already in a up mood for past 7 days, lets say if no voters won, then how far would you expect this current mood will last ... ?? what's your opinion about this ?? I had re-read GBP/USD data point but my brain can't draw even a single conclusion from it. Many Thanks, as always ...
Looking at the options markets, there is still outright fear and panic of a "yes" vote, yet at the same time the spot markets is very optimistic (trading multi-year highs etc)

its tough, my fair value GBP rate is 1.65, so I think it would struggle to go much higher than that tomorrow.

On the downside, it would be rough. GBP doesn't necessarily rally on a "no" vote, especially if its a close vote as people will demand a recount, there may be protests etc, so something to bear in mind.
  • #356
  • Sep 18, 2014 10:08am Sep 18, 2014 10:08am
Quoting Aws1962
{quote}there may be protests etc, so something to bear in mind.
Oh ... yeah , forgot about that one ...

Thanks.
I see it all in between ...
  • #357
  • Sep 18, 2014 10:19am Sep 18, 2014 10:19am
One big market theme that has gone unnoticed in the past few weeks, is the huge move higher in 5 year real interest rates. (chart attached). more importantly it has moved into positive territory. A long term bullish factor for the USD, and more importantly, its hugely bearish for assets like silver & gold. 1200 incredibly key on the latter as is 18.20 on the former.

However, even though we've seen this move, I re-iterate my (very) short term bearish theme for the USD (2weeks-month etc)

Long EURUSD. Spot desk at my place is short USDJPY and USDSEK.

And so very funny, traders are being asked (read: told) to be at their desks at 3am to provide liquidity for Asian and North american guys. (to anyone ever wanting to be a trader at a bank, don't. its shit!!!)

Good luck.
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  • #358
  • Sep 20, 2014 8:47pm Sep 20, 2014 8:47pm
Respect to you, good to have an expert among noobs
Don't speculate trade with surety.
  • #359
  • Sep 22, 2014 12:29pm Sep 22, 2014 12:29pm
A look at the AUD...

a few things, short term technicals suggest a move higher (chart is vs US yields inverted) and the AUD appears cheap.

Desk bought some here (not strat team) for a fade, seems overdone. However concerned over move in copper today, fears on china growing fast.
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  • #360
  • Sep 22, 2014 12:32pm Sep 22, 2014 12:32pm
should add, we saw PBoC add 80bn US$ stimulus, but we've seen Chinese interest rates drop fast... 1Y ND IRS.

A Bullish AUD factor on the margin... but frankly the bearish ones way outweigh the bullish. But I'm just relaying my traders thought.
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