Derivati USA: CME-CBOT-NYMEX-ICE T-Bond-10y-Bund : la maledizione di f4f (vm18)

[ditropan]

NATURAL GAS, un poca di casistica e qualche commento :

Il comportamento del gas naturale statisticamente prevede un movimento a salire partendo da agosto-settembre fino a metà ottobre, la motivazione risiede nel fatto che, passata oramai l'estate, ci si concentra sugli approvigionamenti per l'inverno e si è in piena stagione di uragani; questo pone nella condizione che il comportamento dei contratti sul natural gas NGU__, NGV__ per solito sia a salire ... purtroppo non ogni anno fila liscia, anche se ...

Dal 1990 ad oggi (2006) si sono avute solo 3 occasioni in cui il contratto scadenza ottobre sia soltanto sceso ovvero il 1993, 1994 e 2001.
Inoltre, solo in 2 occasioni il contratto è solo sceso senza rimbalzo, ovvero il 1994 ed il 2001, bisogna però tenere anche conto del fatto che il 2001 fù un anno particolare in ci fù il crollo delle torri gemelle e si generò la psicosi che il consumo di carburante sarebbe drasticamente sceso per via del blocco degli aerei e della psicosi di altri attentati ... in quel periodo soffrì un po tutto insomma.
Quindi escludendo il 2001 dal 1990 ad oggi sul contratto ottobre si scese fino a scadenza senza rimbalzo solo nel 1994 ... e quest'anno idem, un bel primato ... non c'è che dire !!!

Sebbene manchino ancora tre sedute alla scadenza del contratto ottobre mi sa tanto che quest'anno si dovrà aggiungere alla casistica dell'anno nero stile 1994 ...

... il pretesto sono le scorte abbondanti (che però sono andato a vedere e sono abbastanza in linea con quelle degli altri anni), la realtà e che quest'anno quel trader americano 32-enne del fondo Amaranth si è messo a 90° con lo spread marzo aprile 2007 e come tutti i grossi speculatori sono venuti a sapere che questi era in difficoltà, a turno se lo sono spolverato per benino nel di dietro !
Vista questa particolare situazione io credo quindi che difficilmente il contratto ottobre rimbalzerà prima della sua scadenza.

tornando a noi e alla casistica, dai grafici sotto riportati notiamo che ... a parte gli anni fortemente direzionali come il 1995, 1996, 2000 ...
(non credo che quest'anno rientri in questa categoria, visto l'andazzo delle scorte, l'assenza di uragani e per come si sono comportate le quotazioni fin'ora)

.... in tutti gli atri casi il comportamento delle quotazioni passata la metà di ottobre successivamente tende sempre a scendere fino al nuovo anno.
Ciò accade in quanto tutto il controvalore assegnato alle quotazioni sotto forma di premium-risk tende via via a scremarsi con l'avvicinarsi della primavera; in pratica le scadenze (consegne) del nuovo anno perdono di valore mano a mano che svaniscono i timori su un'inverno freddo e sulla carenza delle scorte.

... naluralmente un simile comportamento non è detto sia la regola, esistono anche anni anomali come il 2002 e 2003 ... altrimenti sarebbe troppo facile !!!

Nel 2003 ci fù lo spike di una settimana sul contratto gennaio 2004 (gli altri a seguire) a causa di un'interruzione delle forniture, nel 2002 non saprei.

 

[gipa69]

Interessante...
anche Marc Faber è diventato rialzista!
Questa è una capitolazione....



Dr. Doom turns bullish on U.S. large-cap stocks

By Chris Oliver, MarketWatch
Last Update: 10:24 AM ET Sep 22, 2006


HONG KONG (MarketWatch) -- Famed contrarian investor Marc Faber, better known by his self-appointed nickname "Dr Doom," has temporarily shed his preference for emerging-market stocks for two out-of-favor asset classes: large-cap U.S. industrial and technology shares.
The main reason for his upbeat view: the U.S. consumer may be more resilient in the face of a slowing U.S. housing market than widely thought.
While housing prices may be easing around the country, Faber says there's little evidence a catastrophic drop in home values is imminent. Abundant liquidity and a Bernanke-led Federal Reserve that appears inclined to cut interest rates if the housing market were to dip more than 10% bodes for "a slowing and not a collapse" in the housing market, says Faber.
Faber, author of the Gloom, Boom & Doom Report who gained notoriety for his market insight after he turned bearish on Asian assets before the Asian financial crisis in 1997, said there are plenty reason consumers can ramp up their discretionary spending, considering homeowners haven't slowed their pace of borrowing against home equity, employment is high, wage inflation is picking up and falling commodity prices are taking the heat off retail prices.
"If the price of oil and other commodities declines for a while, it leads to something like a tax cut for the consumer," Faber said, speaking at a recent Hong Kong conference.
"Whereas I am very negative in the long run, and I believe that the U.S. economic imbalances are not sustainable, for the next few months the investment community is too negative on the U.S. economy which is more likely to surprise to the upside than the downside."
Faber says the outlook for U.S. blue chips contrasts with what he sees as a rough ride in high-risk markets in the months ahead just as many emerging market indexes are nudging all-time highs.
Global liquidity conditions, albeit still accommodative, are slowing at the margins, he says. The economic cycle is also beginning to look a little long in the tooth. Faber pegs the start of the global bull almost five years ago, after the Dow Industrials set a low in Nov. 2001. "By any yardstick, that's a lengthy economic expansion," he says.
As the headwinds mount, the two big beneficiaries of speculative fund flows - industrial commodity and emerging-market equities - could be in for a hard landing. A shakeout could see foreign fund managers pull up stakes and head for the relative safety of U.S. blue chips which have been relative laggards.
"If the market breaks to the upside you could have quite a violent rise in stock prices because the hedge fund community and the investors by and large are underweight equities compared to where they were in May," Faber says.
Among U.S. asset universe, Faber says he prefers large-cap industrial shares as well as technology bellwether shares that make up the Nasdaq 100.
"Technology has underperformed for a very long time," Faber said. "Near-term money could shift out of oil and resource stocks and into tech stocks significantly."
Prefers Asia long term
Faber cautions his outlook on the U.S. economy is a short-term bet; longer term he believes economic leadership will shift to Asia.
One reason for his bearish stance: multinational companies have been cutting their capital investment in the U.S. while ramping up new capacity in emerging markets likes China, India, and Vietnam.
"The shift in capital spending leads to a loss of competitiveness in the U.S. and a gain in competitiveness overseas," Faber says, adding multinationals will spend about $1 trillion in new capacity overseas.

While the deteriorating trade and current account deficits have been well documented in the financial press, Faber says what's lesser known is the extent to which emerging Asian markets have benefited.
Since the Federal Reserve slashed interest rates in aftermath of the TMT bubble, China's growth has exploded. Apart from accumulating more than $1 trillion in foreign reserves, China's economy has overtaken the U.S. as a key consumer in cement, steel, copper and other industrial metals.
On the consumer front, China's also rising fast, with 84% of new car sales going to first-time buyers, versus 1% in the U.S. Throughout the emerging markets, the story in much the same: oil demand now outpaces that of industrialized countries for the first time. In terms of tech spending more than $110 billion in semiconductor sales is forecast in Asia excluding Japan this year versus $40 billion in the U.S.
U.S. trade deficit to widen if economy slows
Faber says there is so much economic momentum in the emerging Asian economies, it's unlikely a U.S. slowdown will dampen inter-regional trade. In fact, he says, the U.S. trade deficit with Asian may balloon out if the U.S. economy slows as companies accelerate outsourcing of manufacturing and services in a bid to cut costs.
"If you look at capital spending patterns and industrial production, the trade and current account deficits, I believe that we are in the midst of a huge shift in wealth from the U.S. mostly to Asia and the emerging economies," he says.
There are also increasing signs Asian affluence is becoming self sustaining.
According to UBS estimates, private wealth creation is forecast to grow at 10% annually, versus 6% in the U.S. "These funds will continue to reinvest in Asia, leading to continuing high capital spending growth," Faber said.
From an investment standpoint, Faber says he's upbeat on Asian equities after a pullback. Another good bet is to buy regional real estate. China's urban population as percentage of the total has rise to 37%, up from 29% a decade ago. China's urbanization rate is forecast to at 45% by 2010.
Faber estimates India's need for urban housing and infrastructure could support 6% GDP growth annually for the next 20 years.
"Asian real estate compared to real estate in Anglo Saxon countries page is still reasonably priced, and I would rather buy properties in Thailand, India, Vietnam, Indonesia, and parts of China - but not necessarily where you have a huge oversupply building up," Faber said.
Longer term, Faber says he's not optimistic the U.S. housing market can escape trouble. Eventually a serious fallback in home prices will arrest home equity extraction, undermine consumer spending, and precipitate a wider slowdown in the economy.
Once the U.S. economy begins to deteriorate, monetary officials will have few choices.
"I don't think there is an option but to print money in the long run. If debt growth doesn't continue to accelerate then the whole system collapses; my view is that we are going to see inflation rates in future that are beyond your imagination and in this environment," he said.
He estimates the U.S. dollar, which fell 92% in purchasing power since the introduction of the Federal Reserve, may fall a further 92% in the next 10 years owing to growing inflationary pressures.
Among Asian inflation hedges, Faber says he like Singapore-listed real estate investment trusts, and shares of large property conglomerates such as Hong Kong-listed Sun Hung Kai Properties (HK:86: news, chart, profile) (SUHJYsun hung kai pptys ltd sponsored adr
He also likes the broader Japanese share index which should benefit from money shifting out of government bonds and into real estate and shares.
"It would be most unusual that if you have a bear market for 14 years, that the bull market would only last three years; I think that any set back in Japan would be a buying opportunity, Faber said.
Chris Oliver is MarketWatch's Asia bureau chief, based in Hong Kong.

 

[gipa69]

Interessante analisi intermarket..

How a Drop in Natural Gas May Lead to a Rally in Yen
Wednesday, 20 September 2006 13:26:32 GMT
Written by Boris Schlossberg, Senior Currency Strategist
The Hidden Dangers of High Returns

News this week that a 32 year old Canadian energy trader by the name of Brian Hunter recently lost approximately $5 Billion dollars in a period of only one week in the natural gas market caused an uproar on Wall Street.
Investors in Amaranth Advisors – the Connecticut based multi billion dollar hedge fund for which Mr. Hunter continues to trade, saw the value of their investment decline by 35% after being up as much as 20% this year -- an overall drawdown of 50% all in a remarkably short period of time Some institutional clients such as the San Diego County Employees Retirement Association were badly hurt. SDCERA which oversees more than $7 billion on behalf of retirees and employees of the county, invested $175 million in Amaranth last year, according to hedge fund industry publication Alpha magazine. But with Amaranth down about 35% so far in 2006, SDCERA may have lost more than $50 million on its investment this year alone.

While Amaranth’s fate underscores the volatile nature of the hedge fund business (in a great example of understatement, SEC Chairman Christopher Cox stated., “Big losses at Amaranth Advisors LLC demonstrate that investing in hedge funds can be risky”) it may also contain wider ramifications, impacting other seemingly unrelated markets such as foreign exchange.

Amongst financial instruments the natural gas market is not very large. Average daily volume is approximately 10,000 contracts with notional value of little more than $50,000 per contract translating into about $500 Million of daily turnover. Open interest at present is nearly 79,000 contracts with total notional value of just $4 Billion. At first glance this data only confirms the extreme concentration of Mr. Hunter’s positions and highlights the massive amount of risk implied in his bets. However, the illiquidity of the natural gas market and the sheer size of Mr. Hunter’s losses also demonstrates Amaranth’s central problem – how to unwind these positions in an orderly fashion?

Forced Liquidation – A nightmare for some and opportunity for others

In a letter to his investors, Mr. Nicholas Maounis, Amaranth’s founder stated, "We are in discussions with our prime brokers and ... are working to protect our investors while meeting the obligations of our creditors," While his words attempt to reassure his clients, in reality Mr. Maounis is trapped. The Amaranth fund now finds itself in the worst possible situation for any trader to be - it must meet its margin obligations or face forced and wholesale liquidation of its positions. Forced liquidation is a nightmare for those traders caught on the wrong side of the market because it demands immediate disbursement of positions regardless of price.

On the flip side however, forced liquidation offers the closest possibility of a risk free trade for other traders in the marketplace. These traders understand that the financial instrument in question will face unrelenting one way pressure until all margin obligations are met. In fact not only will savvy market players try to take advantage of the order flow created by the margin call, but they will often attempt to exacerbate the situation by selling ahead of the vulnerable trader in order to precipitate even greater selling. Witness the problems of Long Term Capital Management which found itself in a very similar situation in 1997 but in the fixed income rather than the energy market. The fund fell victim not only to its own bad trades but to the ever deteriorating prices of its positions as bond spreads continued to widen despite the seeming positive fundamental backdrop as competitors continually pushed prices lower creating even bigger losses for LTCM.

Seeking Liquidity in FX

Because of these predatory tactics, hedge funds, especially large, diversified ones such as Amaranth look to other markets to raise necessary capital to meet margin calls. With nearly $2 trillion dollars in average daily turnover the currency market is the most liquid financial market in the world. As such it offers hedge funds trapped in losing, illiquid positions in other markets an easy and efficient way to quickly raise funds and satisfy immediate credit claims. Although it is not completely clear if Amaranth trades FX directly – the fund utilizes a variety of strategies without disclosing the exact nature of which instruments it employs - its recent troubles are unlikely to be an isolated event in financial markets. With more than 8,000 hedge funds trading every conceivable financial product in the world often on an extremely leveraged basis, blows ups such as Amaranth’s will likely become more a rule rather than an exception. As a result these wounded players will continue to head for the currency market in attempt reliquefy quickly.

FX – which trades are vulnerable to margin call liquidation from other markets?

Typically, when multi-strategy hedge funds head to the currency markets to raise funds they will liquidate their most profitable positions first. Over the past six months this has inevitable meant carry trades. For example since its short term bottom on May 17th, USD/JPY with its 500 basis point positive interest rate spread, has appreciated more than 8% rising from 109 to 118. GBP/CHF – another large carry trade pair with a 300 basis point positive spread - has risen more than 1000 points or better than 4% over the past 3 months. Finally GBP/JPY which has climbed more than 1800 points since May of 2006 has also been one of the biggest gainers of the year. With so much capital gains as well as carry interest profits booked in these pairs they have become the easiest targets for profit taking by hedge funds in trouble. Little wonder then that in the past week all of these pairs appeared to have hit resistance with USD/JPY trading down from 118.30 to 117.00, GBP/CHF unable to pierce the 236.00 level and GBP/JPY making a lower double top at 221.00 after reaching a yearly high of 223.72 at the end of August.



While Amaranth’s troubles may yet abate, it is important to understand that typically forced liquidations are not one day affairs. LTCM tried to stem the tide of red ink for months before finally succumbing to a takeover of their positions by a consortium of Wall Street banks. Therefore, traders looking at opportunities in the FX market will be well advised to follow the Amaranth saga closely. With Connecticut Attorney General Richard Blumenthal vowing to investigate the losses and with Amaranth now raising its loss estimate to $6 Billion from $5 Billion its need to liquefy will likely continue and its actions may impact the trade flow not only in the energy markets but in the currency markets as well.

 

[gipa69]

Questo un commento vicino alle mie considerazioni...



The rally since the summer lows has been driven by several factors:

1) Fast money rotation away from energy and materials, and into high beta names like tech and in particular semiconductors;

2) An excess of cash sloshing around chasing performance;

3) A dearth of new issues and decreasing share count, fostered in part by record-setting stock buybacks.

A rally can progress over the short term, with increasingly poor internals, due to these other factors. Eventually, however, the market's internal health catches up with it, and the inevitable correction occurs.

John Hussman has reviewed some of the recent internals, and he gets this precisely correct: The slowing economy will eventually pressure corporate revs and profits, and the enthusiasm for the present race towards the May highs will be replaced with something, well, less enthusiastic:

"Wall Street analysts and business reporters remain enthusiastic about the idea that a slowing economy will slow inflation, that profit margins will remain high (despite evidence of rising wage pressures) and that a Federal Reserve “on hold” will translate to higher valuations. Last week's inflation data was clearly hostile on import prices (+0.8%) and export prices (+0.4%), but “in-line” for the CPI (+0.2%). No positive surprises, but the benign CPI number did buy some time for the “Goldilocks” crowd. Until the data counter the “inflation has turned” thesis (which I expect, but our investment stance does not require), we have to allow for the possibility that investors might speculate on hopes of a “soft landing.”

No tmuch to disagree with there.


http://www.hussman.net/wmc/wmc060918.htm

 

[gipa69]

Wall St Week Ahead: Slowdown fears cloud stocks' horizon
Fri Sep 22, 2006 9:53pm ET

Wall St Week Ahead: Slowdown fears cloud stocks' horizon

NEW YORK, Sept 22 (Reuters) - Wall Street may find itself on the defensive next week if reports on housing and growth suggest that the United States economy is headed for an acute slowdown despite the Federal Reserve's pause in its two-year cycle of interest-rate increases.

While the recent pullback in crude oil prices and the Fed's decision to keep rates steady at its last two policy meetings have underpinned the stock market's gains so far in September, signs that the economic slowdown could prove severe have stirred anxiety on Wall Street and Main Street.

Strategists said the surprisingly steep drop in the Philadelphia Federal Reserve Bank's business activity index this month brought growth concerns into sharper focus.


They say the biggest fear is that fallout from a slowing housing market could stymie economic growth and hurt the outlook for corporate profits.

"We know housing is a problem," said Paul Mendelsohn, chief investment strategist at Windham Financial Services in Charlotte, Vermont.

"So what happens is you need other parts of the economy to offset it and if those other parts of the economy, particularly manufacturing and service industries, are not going to hold up, then you have a much larger potential problem developing."

As a result, the three major U.S. stock indexes are likely to struggle to extend their recent climb. On Wednesday, the combination of strong earnings and the Fed's decision to keep interest rates unchanged for the second month in a row sent the Standard & Poor's 500 Index <SPX> up briefly to a 5-year intraday high at 1,328.53.

With more than a handful of Fed officials scheduled to speak next week, investors could become more cautious, the strategists said.

HOME ON THE RANGE

The coming week's economic data could help investors assess the likely magnitude of the economic slowdown, with August figures on existing and new home sales and the final reading on second-quarter gross domestic product on tap.

"Existing home sales and new home sales will be big ones," said Paul Nolte, director of investments at Hinsdale Associates, in Hinsdale, Illinois. "How much off of expectations those two numbers are will go a long way in determining the market."

Economists polled by Reuters expect that existing home sales slowed in August to an annualized rate of 6.18 million units from 6.33 million in July. That report is due on Monday at 10 a.m. (1400 GMT).


New home sales in August are forecast at a pace of 1.04 million units, below July's rate of 1.072 million, the Reuters poll showed. The new homes report is set for Wednesday at 10 a.m. (1400 GMT).

The Reuters poll calls for the final estimate of second-quarter GDP to show the U.S. economy grew at an annual rate of 2.9 percent, matching the previous reading.

A key measure of inflation, the August core personal consumption expenditures, or PCE, price index, will be released on Friday. Often called the Fed's favorite inflation gauge, the core PCE excludes volatile food and energy prices. Economists polled by Reuters see a 0.2 percent increase in the August core PCE index, compared with July's 0.1 percent gain.

Personal income in August is forecast to rise 0.3 percent, while personal consumption is seen up 0.2 percent.

Although a statement from the Fed's policy-setting meeting this past week said "inflation pressures seem likely to moderate over time," the Fed has left the door open to future interest-rate increases if inflation were to prove menacing.
Rounding out next week's menu of economic indicators will be the September consumer confidence index on Tuesday from the Conference Board, August durable goods orders on Wednesday, and the University of Michigan's final reading on September consumer sentiment on Friday.

The Chicago Purchasing Managers' Index, a gauge of Midwestern manufacturing activity known as the Chicago PMI, also will be released on Friday. Its prices-paid component will be watched for any pickup in the pace of inflation.

STOCKS UP FOR SEPTEMBER

Stocks had risen sharply since the start of the month, with the S&P 500 and the Dow Jones industrial average <DJI> attempting to mount their biggest September advance in eight years as crude prices slid.


On Friday, growth concerns rattled stocks, pushing the blue-chip Dow average down 0.46 percent for the week, while the broad S&P 500 declined 0.39 percent and the Nasdaq Composite Index <IXIC> lost 0.75 percent.

But for September so far, stocks are still in the winner's circle: The Dow is up 1.12 percent, the S&P 500 is up 0.84 percent, and the Nasdaq is up 1.61 percent.

The strong showing in a traditionally turbulent month for stocks, however, has prompted some investors to lock in profits. This has increased volatility as the market awaits more data to determine if near-term growth trends will help sustain corporate earnings.

On Friday, U.S. crude oil for November delivery <CLX6> fell $1.04 to settle at $60.55 a barrel on the New York Mercantile Exchange. That's down about 14 percent from Aug. 31, when the then-leading NYMEX October crude contract closed at $70.26. The price of oil has fallen about 23 percent from the NYMEX crude record of $78.40 a barrel set on July 14.

A NUMBERS GAME

The numbers so far have been quite clear, whether you are talking about a hard landing or a soft landing, that basically the economy is moderating," said Subodh Kumar, chief investment strategist at CIBC World Markets, in Toronto.

"People should think in terms of the leadership that took place in stocks during the third quarter continuing. The real leadership is in sectors that have lagged, like health care, staples and telecoms, with less focus on cyclical companies."

The third-quarter earnings reporting season doesn't kick off until Alcoa Inc. (AA.N: Quote, Profile, Research) reports on Oct. 10. But a handful of companies will deliver their quarterly results next week, including drugstore chain Walgreen Co. (WAG.N: Quote, Profile, Research)

Other companies set to report earnings include Jabil Circuit Inc. (JBL.N: Quote, Profile, Research) , maker of electronic components for cell phones and computers; home builder Lennar Corp. (LEN.N: Quote, Profile, Research); Paychex Inc. (PAYX.O: Quote, Profile, Research), one of the largest U.S. payroll processors, and spice producer McCormick & Co Inc. (MKC.N: Quote, Profile, Research).


AND NOW, A WORD FROM THE FED

The Fed's roster of speakers next week includes Richard Fisher, president of the Federal Reserve Bank of Dallas. On Monday, he is scheduled to address a forum in Mexico about the current state of the U.S. and Mexican economies.

On Tuesday, Federal Reserve Board Governor Susan Schmidt Bies will testify on Tuesday at a Senate Banking Committee hearing in Washington.

Federal Reserve Bank of Kansas City President Thomas Hoenig will speak on Wednesday about monetary policy and the economic outlook at a forum in Nebraska.

On Friday, Federal Reserve Bank of St. Louis President William Poole will speak on "Data Dependence" at a conference in Tennessee. (Additional reporting by Emily Chasan and Jennifer Coogan) (Wall St Week Ahead runs weekly. Questions or comments on this column may be e-mailed to: ellis.mnyandu(at)reuters.com

 

[gipa69]

IMM specs cut positions against the dollar - CFTC
Fri Sep 22, 2006 4:38pm ET
By Steven C. Johnson

NEW YORK, Sept 22 (Reuters) - International Monetary Market speculators nearly wiped out positions against the dollar in the week to Sept. 19 and sharply cut bets in favor of the Canadian currency, data on Friday showed.

The total value of the net short dollar position plummeted to $1.7 billion from $4.2 billion in the prior week, according to Reuters calculations using net positions from the Commodity Futures Trading Commission using the net positions from the Commodity Futures Trading Commission in the euro, yen, sterling, Swiss franc, Canadian dollar and Australian dollar.

But some analysts said the positioning does not mean market sentiment is turning in the U.S. dollar's favor.


David Powell, currency analyst at IDEAglobal in New York, said the shift was tied to a sharp pullback in bets favoring the Canadian dollar amid sharply falling oil prices.

The total value of net long Canadian dollar positions, which bet on the currency to rise, fell to $75 million from around $1.3 billion the prior week.

"That's more a Canadian dollar story. It's not really reflective of a change in U.S. dollar sentiment," he said.

Being "long" a currency is effectively a bet it will strengthen, while being "short" is a bet it will weaken.

Indeed, soft U.S. economic data this week that bolstered the case for the Federal Reserve to keep interest rates on hold this year have since pushed the dollar broadly lower.
Speculators also trimmed slightly bets against the yen but increased bets against the Swiss franc, suggesting that many began favoring the latter as a funding currency for "carry trades."

The carry trade is when investors borrow in a low-yielding currency to buy higher yielding ones.

Powell said the shift likely reflects a move before last week's Group of Seven richest countries meeting, which some investors feared would result in new calls for Asian currency appreciation.

"Investors were worried they would be burned if they were too short yen, so as a result, we've shifted to the Swiss franc," Powell said.


The G7 has urged Asian countries to let their currencies appreciate, and in April a call for more flexible exchange rates pushed the yen up sharply against the dollar.

The CFTC data on speculative positioning are often used by analysts as an indicator of future market direction.

For example, extreme net short or long positions in a currency often suggest a reversal in price action is imminent because dealers might be uneasy about keeping such a large position open.

JAPANESE YEN (Contracts of 12,500,000 yen)

9/19/06 week 9/12/06 week
Long 34,955 34,942

Short 125,759 134,394

Net -90,804 -99,452

EURO (Contracts of 125,000 euros)


9/19/06 week 9/12/06 week

Long 69,197 79,626

Short 18,083 12,909

Net 51,114 66,717

POUND STERLING (Contracts of 62,000 pounds sterling)

9/19/06 week 9/12/06 week

Long 60,218 50,259

Short 17,265 12,678

Net 42,953 37,581


SWISS FRANC (Contracts of 125,000 Swiss francs)

9/19/06 week 9/12/06 week

Long 10,111 12,013

Short 54,145 45,254

Net -44,034 -33,241
CANADIAN DOLLAR (Contracts of 100,000 Canadian dollars)

9/19/06 week week

Long 41,043 37,739

Short 40,188 22,957


Net 855 14,782

AUSTRALIAN DOLLAR (Contracts of 100,000 Aussie dollars)

9/19/06 week 9/12/06 week

Long 39,055 25,739

Short 5,423 1,205
Net 33,632 24,534

MEXICAN PESO (Contracts of 500,000 pesos)

9/19/06 week 9/12/06 week

Long 21,065 21,116


Short 18,603 13,042

Net 2,462 8,074

NEW ZEALAND DOLLAR (Contracts of 100,000 New Zealand dollars)

9/19/06 week 9/12/06 week

Long 13,350 9,750
Net 33,632 24,534

MEXICAN PESO (Contracts of 500,000 pesos)

9/19/06 week 9/12/06 week

Long 21,065 21,116


Short 18,603 13,042

Net 2,462 8,074

NEW ZEALAND DOLLAR (Contracts of 100,000 New Zealand dollars)

9/19/06 week 9/12/06 week

Long 13,350 9,750

 

[ditropan]

Così ... tanto per fare 4 chiacchiere e per ricollegarsi al discorso ...

... link ---->

... che cosa notate dalla semplice osservazione di questi grafici sui rendimenti ?

... tutti con rendimenti su supporti chiave con rsi super scarico !

Inoltre ... curva dei rendimenti ...

... rendimenti oramai da roba da recessione ... va bene che sui futures si scontano le aspettative future, ma con i tassi al 5,25% ed un 5Y che rende praticamente un 4,5% già si sconta un taglio da 0,75% !!! ... insomma ... non mi pare di vedere l'economia così a terra !

l'ultimo report sul finanziamento del debito è risultato che nell'ultimo mese gli acquisti sui bond non sono riusciti a coprire il deficit ... e chi azzo se li compera dei bond con rendimento negativo ?

.... inoltre ... grafici sui prezzi dei bonds ...

... esplosione della volatilità nelle ultime 4 sedute con aumento dei prezzi in verticale ... ergo psicosi di recessione o rallentamento dell'economia superiore alle aspettative ... ergo operatori spiazzati ed incasinati sul da farsi !!!



... forse forse è giunto il momento di andare short sui bond americani.

Nessun commento o punto di vista alternativo ?

 

[masgui]

... tutti con rendimenti su supporti chiave con rsi super scarico !

Inoltre ... curva dei rendimenti ...


... rendimenti oramai da roba da recessione ... va bene che sui futures si scontano le aspettative future, ma con i tassi al 5,25% ed un 5Y che rende praticamente un 4,5% già si sconta un taglio da 0,75% !!! ... insomma ... non mi pare di vedere l'economia così a terra !

l'ultimo report sul finanziamento del debito è risultato che nell'ultimo mese gli acquisti sui bond non sono riusciti a coprire il deficit ... e chi azzo se li compera dei bond con rendimento negativo ?

.... inoltre ... grafici sui prezzi dei bonds ...


... esplosione della volatilità nelle ultime 4 sedute con aumento dei prezzi in verticale ... ergo psicosi di recessione o rallentamento dell'economia superiore alle aspettative ... ergo operatori spiazzati ed incasinati sul da farsi !!!



... forse forse è giunto il momento di andare short sui bond americani.

Nessun commento o punto di vista alternativo ?

Sicuramente si nel brevissimo, tipo aprire lo short lunedi in apertura e chiuderlo a metà o fine setttimana ma non credo assolutamente ad operatori spiazzati ne ad un mercato che non prezzi correttamente le informazioni disponibili in particolare in un mercato liquido come quello dei bond. Non credo sinceramente nemmeno ad un fenomeno di fly to quality, se si intende equity e bond, forse si, nel caso in cui si considerino anche le materie prime, almeno per ora, e sulla base delle ultime due sedute. Certo forse cè troppa divergenza fra spot e future sullo yeld ma non credo ci siano possibilità di arbitraggio. In generale, in un trading di posizione, non mi metterei short sui bond.

 

[gipa69]

Così ... tanto per fare 4 chiacchiere e per ricollegarsi al discorso ...

... link ---->

... che cosa notate dalla semplice osservazione di questi grafici sui rendimenti ?


... tutti con rendimenti su supporti chiave con rsi super scarico !

Inoltre ... curva dei rendimenti ...


... rendimenti oramai da roba da recessione ... va bene che sui futures si scontano le aspettative future, ma con i tassi al 5,25% ed un 5Y che rende praticamente un 4,5% già si sconta un taglio da 0,75% !!! ... insomma ... non mi pare di vedere l'economia così a terra !

l'ultimo report sul finanziamento del debito è risultato che nell'ultimo mese gli acquisti sui bond non sono riusciti a coprire il deficit ... e chi azzo se li compera dei bond con rendimento negativo ?

.... inoltre ... grafici sui prezzi dei bonds ...

... esplosione della volatilità nelle ultime 4 sedute con aumento dei prezzi in verticale ... ergo psicosi di recessione o rallentamento dell'economia superiore alle aspettative ... ergo operatori spiazzati ed incasinati sul da farsi !!!


... forse forse è giunto il momento di andare short sui bond americani.

Nessun commento o punto di vista alternativo ?

Per quanto riguarda le aspettative future dei mercati ti quoto un commento di Soros:

Market prices are always wrong in the sense that they present a biased view of the future. But distortion works in both directions: not only do market participants operate with a bias, but their bias can also influence the course of events. This may create the impression that markets anticipate future developments accurately, but in fact it is not present expectations that correspond to future events but future events that are shaped by present expectations.

Il mercato comincia ad avere una crisi di astinenza di liquidità e gli operatori che maggiormente sfruttano questo tipo di liquidità cercano di far evidenziare gli aspetti negativi dell'economia (calo del mercato immobiliare, possibile difficoltà dei consumatori) per reclamare un prossimo taglio dei tassi ed una ricostruzione della liquidità prima che quesa mancanza porti a qualche problema più serio di quello del fondo amaranth.
In realtà la situazione non è così negativa ma se questa percezione si espandesse troppo nella fase attuale il rischio che le banche Centrali non ricostruiscano la liquidità è troppo alta per chi lavora con il leverage.
Per cui il trend attuale dei bond sembra più sostenuto di un semplice recupero di breve e quindi le operazioni short devono essere considerate di controtrend fino a prova contraria.
Sul breve un rimbalzo dovrebbe concretizzarsi visto la posizione del futures scadenza dicembre che sta testando la parte alta del canale ascedente costruito da inizio luglio, vista la lettura dei cot e la situazione degli oscillatori ma il superamento di certi livelli deve far riflettere su posizioni eccessivamente aggressive al ribasso.

 

[gipa69]

Sicuramente si nel brevissimo, tipo aprire lo short lunedi in apertura e chiuderlo a metà o fine setttimana ma non credo assolutamente ad operatori spiazzati ne ad un mercato che non prezzi correttamente le informazioni disponibili in particolare in un mercato liquido come quello dei bond. Non credo sinceramente nemmeno ad un fenomeno di fly to quality, se si intende equity e bond, forse si, nel caso in cui si considerino anche le materie prime, almeno per ora, e sulla base delle ultime due sedute. Certo forse cè troppa divergenza fra spot e future sullo yeld ma non credo ci siano possibilità di arbitraggio. In generale, in un trading di posizione, non mi metterei short sui bond.

Il fenomeno di fly to quality si è sicuramente verificato nelle sedute precedenti con la liquidazione delle commodity energetiche ed il rientro su altri mercati tra i quali i bond ma nelle ultime sedute il fly to quality ha sicuramente interessato altre realtà.

Infatti lo spread tra le obbligazioni high yield e quelle governative si è allargato sicuramente perchè le obbligazioni statali sono state investite da acquisti anomali.
Vi è stato un aumento dei rendimenti delle obbligazioni high yield sebbene di piccole dimensioni e questo mentre le obbligazioni statali hanno compresso i prorpi rendimenti.
I CDS dei titoli non investment grade sono saliti significativamente
Il rapporto dello Yield tra il decennale ed il trentennale sembrerebbe in una fase di compressione fenomeno che succede spesso nella fasi di debolezza dell'azionario in quanto il fligh to quality viene dirottato maggiormente sul decennale probabilmente perchè è un mercato più liquido.

Ad esso si unisce una certa debolezza relativa dei mercati azionari dei paesi emergenti sudamericani ed anche una certa debolezza delle valute dell'area.