bund & c.: la partenza a razzo. Seduti? Pronti? Viaaaaaa
- Creatore Discussione maria
- Data di Inizio
gastronomo
Forumer storico
Ariecchime - si, Fleur, dobbiamo accattarci qualche bond kiwi per la pensione, credo si possa fare anche con IW ma non dalla lista titoli per il portafoglio ma da una cosa che si chiama, mi pare market watch..., mi informo e pubblico le scoperte nei prossimi giorni.
Per Andrea: Per le opzioni a più breve scadenza il tempo è il fattore più importante. Invece, quanto il premio dell'opzione varia quotidianamente dipende principalmente dalla volatilità implicita.
Poi ci sono altri fattori da considerare, e sono da annoverarsi tra le "distorsioni di mercato": al termine di un bull market (o comunque quando un mercato sembra aver esaurito la corsa al rialzo) i m/m tendono a prezzare - in termini relativi -in modo più caro le put rispetto alle call, ossia, a parità di volatilità, saranno meno inclini a comprare call e più favorevoli a comprarsi put - viceversa quando il mercato sembra aver toccato un bottom.
Per Andrea: Per le opzioni a più breve scadenza il tempo è il fattore più importante. Invece, quanto il premio dell'opzione varia quotidianamente dipende principalmente dalla volatilità implicita.
Poi ci sono altri fattori da considerare, e sono da annoverarsi tra le "distorsioni di mercato": al termine di un bull market (o comunque quando un mercato sembra aver esaurito la corsa al rialzo) i m/m tendono a prezzare - in termini relativi -in modo più caro le put rispetto alle call, ossia, a parità di volatilità, saranno meno inclini a comprare call e più favorevoli a comprarsi put - viceversa quando il mercato sembra aver toccato un bottom.
gastronomo
Forumer storico
Andrea, sei sicuro che a parità di scadenza la vola implicita del t-bronx sia più alta della vola sul bund?
Fleursdumal
फूल की बुराई
cià cè
ric i nz bills a tre mesi se non sbaglio rendono il 7% altro che pensione, pensiamo all'immediato
per ora facendo un search ho trovato delle obbligazioni Australia& New Zealand 2008 che danno un 5%
ric i nz bills a tre mesi se non sbaglio rendono il 7% altro che pensione, pensiamo all'immediato
per ora facendo un search ho trovato delle obbligazioni Australia& New Zealand 2008 che danno un 5%
gastronomo
Forumer storico
Interessante
Fed language shifts could erect dollar roadblockWed Dec 7, 2005 12:46 PM ET
By John Parry
NEW YORK, Dec 7 (Reuters) - The dollar's year-long rally could hit a roadblock if the Federal Reserve changes the language of its post-meeting statement next Tuesday, even though the meeting is expected to produce an interest rate increase that will widen the difference between rates in the U.S. and Europe and Japan, analysts warn.
The dollar has gained more than 15 percent against the euro and the yen in 2005 as 12 fed fund rate increases have boosted the currency's allure to global investors seeking high yields.
But markets are starting to consider the possibility that Tuesday's expected 0.25 percentage point rise in the federal funds rate to 4.25 percent may be followed by only one or two more rises in rates in this monetary policy tightening cycle, and that the Fed may hint at this by altering key language in the statement it releases after each policy meeting.
"On Tuesday, we may see some signs of them changing their statement," said Ronald Simpson, managing director of global currency analysis, with Action Economics LLC in Dobbs Ferry, New York.
"In the bigger picture, the risks are probably turning to the downside for the dollar," Simpson said.
If the phrase "policy accommodation can be removed at a pace that is likely to be measured" is removed or modified in the Fed's statement, that will be a sign that there may not be many more rate rises, analysts said.
But in a bid to avoid upsetting markets, the Fed will probably do its utmost to keep the last statement's message from the November 1 policy meeting mainly intact, some strategists said.
"I think there will be a change that won't necessarily signal that the Fed is done", said Tony Crescenzi, chief bond market strategist with Miller, Tabak & Co in New York. "The change in language won't obviate the need for more hikes," he added.
FLEETING DOLLAR FALL?
Hints next Tuesday that the Fed's monetary policy tightening cycle might end early in 2006 could hurt the dollar near term, analysts said.
The dollar could weaken "because of the notion of a stoppage driven by a change in language," said Crescenzi. However, "a language change or anything that happens next week will be a short-term affair for the dollar," he added.
The greenback would probably soon rebound as the interest rate differential between the U.S. and Europe and Japan remains in favor of the U.S., analysts expect.
Even though the first European Central Bank rate hike in five years took the euro zone refinancing rate to 2.25 percent last week, a rise next week to 4.25 percent in the federal funds rate would restore a 2.0 percentage point advantage to short-dated U.S. dollar-denominated deposits. In Japan, key interest rates are still close to zero.
Because recent U.S. economic reports have been robust, some strategists expect negligible alterations in the Fed statement; an outcome which could support the dollar.
"I don't expect any significant change in the language only because of the strong economic data we have had over the last week," including gross domestic product, employment and productivity, said Joe Quinlan, chief market strategist with Banc of America Capital Management in New York.
"Nothing to me in the data suggests they are going to start talking with a more neutral bias and tone," about monetary policy decisions, he said. "The dollar has the wind at its back for now, and I think that will carry over into 2006," Quinlan added.
However the greenback may lose some support given the end of flows back into dollars driven by the Homeland Investment Act (HIA), a one-time 2005 tax reduction for U.S. companies' foreign subsidiaries.
The market may also begin to refocus on the wide U.S. trade and budget deficits which have gotten worse over the past four years.
After HIA flows into dollars fade, "I think maybe the market may start getting a rate hike hangover and look ahead to when the Fed stops its campaign of hiking rates and focuses more on the current account and the trade deficit. We may get a taste of that next week with the trade data," said Simpson.
The U.S. October international trade balance is due for release next Wednesday.
Fed language shifts could erect dollar roadblockWed Dec 7, 2005 12:46 PM ET
By John Parry
NEW YORK, Dec 7 (Reuters) - The dollar's year-long rally could hit a roadblock if the Federal Reserve changes the language of its post-meeting statement next Tuesday, even though the meeting is expected to produce an interest rate increase that will widen the difference between rates in the U.S. and Europe and Japan, analysts warn.
The dollar has gained more than 15 percent against the euro and the yen in 2005 as 12 fed fund rate increases have boosted the currency's allure to global investors seeking high yields.
But markets are starting to consider the possibility that Tuesday's expected 0.25 percentage point rise in the federal funds rate to 4.25 percent may be followed by only one or two more rises in rates in this monetary policy tightening cycle, and that the Fed may hint at this by altering key language in the statement it releases after each policy meeting.
"On Tuesday, we may see some signs of them changing their statement," said Ronald Simpson, managing director of global currency analysis, with Action Economics LLC in Dobbs Ferry, New York.
"In the bigger picture, the risks are probably turning to the downside for the dollar," Simpson said.
If the phrase "policy accommodation can be removed at a pace that is likely to be measured" is removed or modified in the Fed's statement, that will be a sign that there may not be many more rate rises, analysts said.
But in a bid to avoid upsetting markets, the Fed will probably do its utmost to keep the last statement's message from the November 1 policy meeting mainly intact, some strategists said.
"I think there will be a change that won't necessarily signal that the Fed is done", said Tony Crescenzi, chief bond market strategist with Miller, Tabak & Co in New York. "The change in language won't obviate the need for more hikes," he added.
FLEETING DOLLAR FALL?
Hints next Tuesday that the Fed's monetary policy tightening cycle might end early in 2006 could hurt the dollar near term, analysts said.
The dollar could weaken "because of the notion of a stoppage driven by a change in language," said Crescenzi. However, "a language change or anything that happens next week will be a short-term affair for the dollar," he added.
The greenback would probably soon rebound as the interest rate differential between the U.S. and Europe and Japan remains in favor of the U.S., analysts expect.
Even though the first European Central Bank rate hike in five years took the euro zone refinancing rate to 2.25 percent last week, a rise next week to 4.25 percent in the federal funds rate would restore a 2.0 percentage point advantage to short-dated U.S. dollar-denominated deposits. In Japan, key interest rates are still close to zero.
Because recent U.S. economic reports have been robust, some strategists expect negligible alterations in the Fed statement; an outcome which could support the dollar.
"I don't expect any significant change in the language only because of the strong economic data we have had over the last week," including gross domestic product, employment and productivity, said Joe Quinlan, chief market strategist with Banc of America Capital Management in New York.
"Nothing to me in the data suggests they are going to start talking with a more neutral bias and tone," about monetary policy decisions, he said. "The dollar has the wind at its back for now, and I think that will carry over into 2006," Quinlan added.
However the greenback may lose some support given the end of flows back into dollars driven by the Homeland Investment Act (HIA), a one-time 2005 tax reduction for U.S. companies' foreign subsidiaries.
The market may also begin to refocus on the wide U.S. trade and budget deficits which have gotten worse over the past four years.
After HIA flows into dollars fade, "I think maybe the market may start getting a rate hike hangover and look ahead to when the Fed stops its campaign of hiking rates and focuses more on the current account and the trade deficit. We may get a taste of that next week with the trade data," said Simpson.
The U.S. October international trade balance is due for release next Wednesday.
ditropan
Forumer storico
BON DAI ... CHIUSE A 0,6875 PRESO E PORTATO A CASA 781$, come prima esperienza non è andata male. Ovviamente con 5 future e lo stesso movimento si prendeva molto di più ma tantè che non si puòavere tutto dalla vita.
adesso mi segno un poki di livelli e domani vediamo quanto gli levano di valore intrinseco col time decay.
adesso mi segno un poki di livelli e domani vediamo quanto gli levano di valore intrinseco col time decay.
ditropan
Forumer storico
gastronomo ha scritto:
non sono sicuro di niente, anche perchè non sono andato a vedere nè la vola nè il delta di queste opzioni, e manco saprei dove andare a guardare.
facevo solo un'osservazione che a parità di percentuale persa tra bund e t-bond con il bund se cjapa di più nonostante il tick del bronx paghi di più in temini di schei.
.... ma questo dipende (credo) solo per il fatto che un -0,3% fatto su di un 121 ha più escursione di un -0,3% fatto su di un 112.gastronomo
Forumer storico
Treasuries slip as good 5-yr sale fails to lift
Wed Dec 7, 2005 01:35 PM ET
(Adds five-year note auction details, analyst comments, updates prices)
By Pedro Nicolaci da Costa
NEW YORK, Dec 7 (Reuters) - U.S. Treasury debt prices retreated on Wednesday as a bout of profit-taking trumped a relatively successful auction of $13 billion in five-year notes.
The new notes were sold at a high yield of 4.435 percent and garnered 2.38 times the number of bids per dollar of debt on offer, below the 2.53 average seen so far this year.
But indirect bidding from customers of primary dealers and foreign central banks added up to $5.69 billion, or 43.8 percent of the sale, well above an average 37.6 percent for the prior five-year auctions of 2005.
That came as particular relief given a meager 21.1 percent showing from indirect bidders in the last five-year auction in November.
But a tide of early selling appeared too strong for the auction to reverse it, leaving benchmark 10-year notes (US10YT=RR: Quote, Profile, Research) 9/32 lower for a yield of 4.53 percent, up from 4.49 percent. Two-year notes (US2YT=RR: Quote, Profile, Research) were off 1/32 and yielding 4.43 percent, from 4.40 percent.
"Foreign demand was better and yet the market's still in the red," said Alan De Rose, a trader at CIBC World Markets.
Bonds had already kicked off the session on a negative note as investors booked profits on Tuesday's hefty rally. By the afternoon, five-year notes (US5YT=RR: Quote, Profile, Research) had eased 4/32 and were yielding 4.45 percent, while the 30-year bond (US30YT=RR: Quote, Profile, Research) had slipped 21/32 to yield 4.73 percent.
From a broader vantage point, benchmark yields were stuck in a range between 4.40 percent and 4.55 percent, with variance within that band depending on the market's fluctuating hunches on the future of monetary policy.
Investors widely expect another 1/4-point interest rate hike from the Federal Reserve when it meets next week, and foresee another such move in January as well.
But beyond that point there are doubts about the course of policy, particularly if data showing an easing of the housing sector begin to worsen.
The latest weekly report showed U.S. mortgage applications rose for the first time in a month, mostly driven by a robust rebound in refinancing volume even as interest rates rose.
The Mortgage Bankers Association said its seasonally adjusted index of mortgage applications for the week ended Dec. 2 rose 5.2 percent to 656.7, up from the previous week's 624.1.
A November letter to a lawmaker from soon-to-retire Fed Chairman Alan Greenspan shed little light on future policy. In it, Greenspan said only that the concept of a neutral interest rate, one that neither slows nor spurs growth, was not very helpful in telling policy-makers when to stop tightening rates.
The job market also appeared to be too volatile to provide central bank officials with a useful signpost for when to discontinue their campaign of rate increases.
Despite a solid reading on national job growth from government data last week, employment research firm Challenger, Gray & Christmas said November job cuts surged to 99,279, up 22 percent from 81,301 in October.
The automotive industry led November with 16,870 planned lay-offs.
Wed Dec 7, 2005 01:35 PM ET
(Adds five-year note auction details, analyst comments, updates prices)
By Pedro Nicolaci da Costa
NEW YORK, Dec 7 (Reuters) - U.S. Treasury debt prices retreated on Wednesday as a bout of profit-taking trumped a relatively successful auction of $13 billion in five-year notes.
The new notes were sold at a high yield of 4.435 percent and garnered 2.38 times the number of bids per dollar of debt on offer, below the 2.53 average seen so far this year.
But indirect bidding from customers of primary dealers and foreign central banks added up to $5.69 billion, or 43.8 percent of the sale, well above an average 37.6 percent for the prior five-year auctions of 2005.
That came as particular relief given a meager 21.1 percent showing from indirect bidders in the last five-year auction in November.
But a tide of early selling appeared too strong for the auction to reverse it, leaving benchmark 10-year notes (US10YT=RR: Quote, Profile, Research) 9/32 lower for a yield of 4.53 percent, up from 4.49 percent. Two-year notes (US2YT=RR: Quote, Profile, Research) were off 1/32 and yielding 4.43 percent, from 4.40 percent.
"Foreign demand was better and yet the market's still in the red," said Alan De Rose, a trader at CIBC World Markets.
Bonds had already kicked off the session on a negative note as investors booked profits on Tuesday's hefty rally. By the afternoon, five-year notes (US5YT=RR: Quote, Profile, Research) had eased 4/32 and were yielding 4.45 percent, while the 30-year bond (US30YT=RR: Quote, Profile, Research) had slipped 21/32 to yield 4.73 percent.
From a broader vantage point, benchmark yields were stuck in a range between 4.40 percent and 4.55 percent, with variance within that band depending on the market's fluctuating hunches on the future of monetary policy.
Investors widely expect another 1/4-point interest rate hike from the Federal Reserve when it meets next week, and foresee another such move in January as well.
But beyond that point there are doubts about the course of policy, particularly if data showing an easing of the housing sector begin to worsen.
The latest weekly report showed U.S. mortgage applications rose for the first time in a month, mostly driven by a robust rebound in refinancing volume even as interest rates rose.
The Mortgage Bankers Association said its seasonally adjusted index of mortgage applications for the week ended Dec. 2 rose 5.2 percent to 656.7, up from the previous week's 624.1.
A November letter to a lawmaker from soon-to-retire Fed Chairman Alan Greenspan shed little light on future policy. In it, Greenspan said only that the concept of a neutral interest rate, one that neither slows nor spurs growth, was not very helpful in telling policy-makers when to stop tightening rates.
The job market also appeared to be too volatile to provide central bank officials with a useful signpost for when to discontinue their campaign of rate increases.
Despite a solid reading on national job growth from government data last week, employment research firm Challenger, Gray & Christmas said November job cuts surged to 99,279, up 22 percent from 81,301 in October.
The automotive industry led November with 16,870 planned lay-offs.
gastronomo
Forumer storico
N.Z. Dollar Drops on Bollard Comments: World's Biggest Mover
Dec. 8 (Bloomberg) -- The New Zealand dollar fell, the biggest fluctuation of any currency, after Reserve Bank Governor Alan Bollard said the currency's level was ``unjustified.'' He today raised interest rates for a ninth time since January 2004.
Rising interest rates have helped push New Zealand's dollar 64 percent higher in the past five years, which Bollard says is a threat to economic growth. The governor said there was a risk of a ``hard landing'' for the economy after lifting the official cash rate by a quarter-point to a record 7.25 percent.
``The New Zealand dollar is wobbling -- watch out,'' said David Mozina, a currency strategist at Lehman Brothers Inc. in New York. ``The Reserve Bank of New Zealand are trying hard to talk down the currency.''
The New Zealand dollar slid to 69.85 U.S. cents at 5:31 p.m. in Wellington from 70.17 cents yesterday in New York. The loss added to the 2.2 percent slump yesterday after Standard & Poor's signaled the country's widening current-account deficit could threaten its AA+ debt rating. It will weaken to 65 cents in six months, said Mozina.
Bollard is concerned the New Zealand dollar's advance will erode demand for the country's exports, which account for 30 percent of gross domestic product. At the same time, he has fueled strength in the currency by raising borrowing costs to cool a booming domestic economy that's pushed inflation above the top of the central bank's target.
New Zealand's dollar has gained more than any of the other 16 most-actively traded currencies in the past five years.
`World of Pain'
``Exporters and other businesses exposed to the very high exchange rate are under considerable pressure,'' Bollard said in Wellington. ``We remain concerned about the tightness of resources and the persistence of inflation pressures.''
New Zealand's economic growth will slow to 2.8 percent this year and 2.4 percent in 2006 from 4.4 percent in 2004, Bollard forecast today.
``The New Zealand economy is going to fall into a pretty deep, dark hole,'' said Michael Jansen, a market strategist at National Australia Bank Ltd. in New York. ``The risk to rates is now skewed in only one direction in 2006, and that's down. It's all shaping up for a world of pain for the New Zealand dollar'' which will weaken to 60 cents by the end of 2006.
Thirteen of 14 economists surveyed by Bloomberg News forecast Bollard would raise rates today.
New Zealand's benchmark rate is 3.25 percentage points more than the Federal Reserve's target. Fed policy makers have raised rates seven times this year. The Reserve Bank of Australia last raised its benchmark rate in March to 5.5 percent.
`Buying Opportunity'
New Zealand's dollar will recover from its slump as investors flock to interest rates at an all-time high, according to State Street Global Markets.
``In this current regime of yield, this is a buying opportunity,'' said Ryan Shea, a currency strategist in London at State Street, a unit of the world's largest provider of investment services to institutions.
New Zealand's 10-year government bonds yield 137 basis points, or 1.37 percentage points, more than comparable U.S. debt. The gap, which has averaged about 172 basis points since 2000, has narrowed 36 basis points this year, according to data compiled by Bloomberg.
The yield on the 6 percent bond maturing in April 2015 was little changed at 5.91 percent, higher than any benchmark bond of similar-maturity in North America, Western Europe and Northeast Asia.
``The New Zealand dollar has got too much yield-related support built into it and that support is going to dissipate over the next three months,'' said Cameron Bagrie, head of market economics at ANZ National Bank Ltd. in Wellington. ``The New Zealand dollar is going to give back some of the recent gains.''
The world's biggest movers are based on changes in price or yield and are screened for the size of the market and amount of daily trading.
To contact the reporter on this story:
Chris Young in Sydney at [email protected].
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