quicksilver
Forumer storico
anticipato in che senso?
Derivati USA: CME-CBOT-NYMEX-ICE BUND, TBOND and the middle of the guado (VM 69) (3 lettori)
- Creatore Discussione masgui
- Data di Inizio
anticipato in che senso?
feliceanima
Forumer attivo
anticipato rispetto al tempo che tu pensavi 
quicksilver
Forumer storico
anticipato rispetto al tempo che tu pensavi
potrebbe essere anche rispetto al livello
gipa69
collegio dei patafisici
potrebbe essere anche rispetto al livello
Parlo di tempo. Se si muovono adesso potrebbero finire prima dei target indicati nel blog. Comunque ribadisco due concetti importanti: siamo ad agosto ed i movimenti non sono significativi, salvo crash improvvisi solitamente settembre riversa agosto.
Aggiungerei che un recupero dovrebbe svilupparsi da adesso(inizio prox settimana al labor day) e poi nuova correzione per svolgere il compitino istituzionale che combacerebbe anche con la media delle correzioni di mezzo ciclo presidenziale.
Ma direi che azzeccata la direzione ora la strada è in discesa
quicksilver
Forumer storico
grazie
si quindi non ora cioè oggi
io oltre ai grafici e al mercato in generale stavo pensando che credo Regolo sia un formidabile indicatore e siccome per ora l'uscita dallo short è lontana e sarebbe strano che Regolo si prendesse in faccia un rialzo io credo che si possa per lo meno fare una base o un piccolo laterale, anche tipo doppio minimo per cui ci vuole tempo come tu dici
gipa69
collegio dei patafisici
Personalmente sullo spoore un rimbalzo che porti intorno alla media mobile a 50 giorni ci sta se non anche sopra dopo veloce correzione.. un paio di settimane di lateral rialzista prima dell'affondo ci sta. Questo farebbe per me girare di nuovo molte persone long e quindi ricaricare le pile per gli short. Senno fra una due sedute son tutti short.... double dip deflazione e quant'altro.
Fleursdumal
फूल की बुराई
gna fanno proprio a rimbarzare gli indici
parlando dei bond lunghi il Buxl crukko è quello assolutamente più a fuoco, salito 10 figure da inizio agosto
parlando dei bond lunghi il Buxl crukko è quello assolutamente più a fuoco, salito 10 figure da inizio agosto
Fleursdumal
फूल की बुराई
Bunds are the new treasuries, when they want to be
Posted by Izabella Kaminska on Aug 20 16:07. FT Alphaville wondered earlier why German bunds would be affected by convexity hedging dynamics in the US, one of the factors that is supposedly driving 10-year US bond yields to fresh lows.
Could it all be down to that old devil, correlation?
The following chart shows the potential arbitrage opportunity from synthetically replicating a US treasury by buying a bund instead.
The process involves (bear with us) paying for a bund, then a fixed rate to swap to a floating euro, then a basis swap to a floating USD to receive a fixed rate in dollars.
The below compares the difference between that return and a US Treasury yield:
(H/T Sean Corrigan at Diapason Commodities for the chart.)
As can be seen everywhere except in the 30-year option — where the trade has underperformed the US Treasury most of the time since November 2008 — the arbitrage opportunity has been almost completely closed in.
Of course, it’s worth pointing out that the US 30-year Treasury swap has been negative since exactly November 2008 too.
Furthermore, you’ll notice that the 10-year option (yellow line) dipped below zero most prominently in March/April and then again July/August — which happens to be the exact time the US 10-year Treasury swap went negative too.
So does that explain the mystery of the negative US swap rate?
We’ll be interested to hear your views.
Related links:
Unravelling the mystery of the negative US swap rate – FT Alphaville
Swooning canaries, exploding debt - FT Alphaville
The negative swap time-warp- FT Alphaville
Posted by Izabella Kaminska on Aug 20 16:07. FT Alphaville wondered earlier why German bunds would be affected by convexity hedging dynamics in the US, one of the factors that is supposedly driving 10-year US bond yields to fresh lows.
Could it all be down to that old devil, correlation?
The following chart shows the potential arbitrage opportunity from synthetically replicating a US treasury by buying a bund instead.
The process involves (bear with us) paying for a bund, then a fixed rate to swap to a floating euro, then a basis swap to a floating USD to receive a fixed rate in dollars.
The below compares the difference between that return and a US Treasury yield:
(H/T Sean Corrigan at Diapason Commodities for the chart.)
As can be seen everywhere except in the 30-year option — where the trade has underperformed the US Treasury most of the time since November 2008 — the arbitrage opportunity has been almost completely closed in.
Of course, it’s worth pointing out that the US 30-year Treasury swap has been negative since exactly November 2008 too.
Furthermore, you’ll notice that the 10-year option (yellow line) dipped below zero most prominently in March/April and then again July/August — which happens to be the exact time the US 10-year Treasury swap went negative too.
So does that explain the mystery of the negative US swap rate?
We’ll be interested to hear your views.
Related links:
Unravelling the mystery of the negative US swap rate – FT Alphaville
Swooning canaries, exploding debt - FT Alphaville
The negative swap time-warp- FT Alphaville
gipa69
collegio dei patafisici
Bunds are the new treasuries, when they want to be
Posted by Izabella Kaminska on Aug 20 16:07. FT Alphaville wondered earlier why German bunds would be affected by convexity hedging dynamics in the US, one of the factors that is supposedly driving 10-year US bond yields to fresh lows.
Could it all be down to that old devil, correlation?
The following chart shows the potential arbitrage opportunity from synthetically replicating a US treasury by buying a bund instead.
The process involves (bear with us) paying for a bund, then a fixed rate to swap to a floating euro, then a basis swap to a floating USD to receive a fixed rate in dollars.
The below compares the difference between that return and a US Treasury yield:
(H/T Sean Corrigan at Diapason Commodities for the chart.)
As can be seen everywhere except in the 30-year option — where the trade has underperformed the US Treasury most of the time since November 2008 — the arbitrage opportunity has been almost completely closed in.
Of course, it’s worth pointing out that the US 30-year Treasury swap has been negative since exactly November 2008 too.
Furthermore, you’ll notice that the 10-year option (yellow line) dipped below zero most prominently in March/April and then again July/August — which happens to be the exact time the US 10-year Treasury swap went negative too.
So does that explain the mystery of the negative US swap rate?
We’ll be interested to hear your views.
Related links:
Unravelling the mystery of the negative US swap rate – FT Alphaville
Swooning canaries, exploding debt - FT Alphaville
The negative swap time-warp- FT Alphaville
Gran bell'articolo.
