gastronomo
Forumer storico
Quando ho visto che non voleva bucare 112.50 ho capito che sapevano già i dati delle 16, bandidos 
T-Bond,T-Note,Bund&others-Quel gran pezzo del Bernakka(v
- Creatore Discussione Fleursdumal
- Data di Inizio
gastronomo
Forumer storico
Treasuries Rise as Manufacturing, Confidence Indexes Decline
Feb. 28 (Bloomberg) -- U.S. Treasuries rose for the first day in four after indexes measuring manufacturing in the Chicago area and consumer confidence both fell.
The weaker-than-expected data came as yields traded near levels that have sparked rallies in the past. Even with the gains, Treasuries are off to their worst annual start since 1999.
``The market had gotten oversold,'' said Alan De Rose, a trader and Treasury market strategist in New York at CIBC World Markets Inc. Oversold is a term traders use when they think a market has declined too far.
The yield on the benchmark 10-year note fell 3 basis points, or 0.03 percentage point, to 4.56 percent as of 10:55 a.m. in New York, according to bond broker Cantor Fitzgerald LP. Yields move inversely to bond prices. The price of the 4 1/2 percent note due in February 2016 rose 1/4, or $2.50 per $1,000 face amount, to 99 17/32, the first increase since Feb. 22.
Treasuries are down 0.37 percent, including reinvested interest, since December, the worst start to a year for the $4.2 trillion market since they declined 2.08 percent in 1999, Merrill Lynch & Co. data show.
Today's reports gave bond buyers confidence as 10-year yields hover around 4.6 percent, a level that preceded the last three rallies in the government bond market.
Manufacturing, Confidence
The National Association of Purchasing Management-Chicago said its manufacturing index for February declined to 54.9 from 58.5 in January. No change was expected, based on the median estimate in a survey of economists by Bloomberg News. The Conference Board said its consumer sentiment index for this month tumbled to 101.7 from 106.8 in January. A reading of 104 was forecast.
Treasuries are still headed for their second straight monthly decline after a government report showed the economy expanded at a faster rate last quarter than previously estimated. The 10-year note's yield is up from 4.52 percent at the end of January and 4.39 percent at the end of December.
``Growth in 2006 is probably going to be stronger,'' said William Prophet, an interest-rate strategist at Stamford, Connecticut-based UBS, one of the 22 primary dealers of U.S. government securities that trade with the Fed. ``This means that the Fed is going to have to keep raising rates.''
The Commerce Department said earlier that the economy grew at a 1.6 percent rate in the fourth quarter, compared with a 1.1 percent estimate it reported last month and in line with the median forecast of 1.6 percent of the 62 economists surveyed by Bloomberg News.
Fed Forecasts
The central bank has lifted its target for the overnight lending rate between banks 14 consecutive times since June 2004 to 4.5 percent, the highest in more than four years.
Interest-rate futures show traders are pricing in a 98 percent chance the Fed will raise the rate to 4.75 percent when policy makers meet on March 28, up from about 56 percent a month ago. The odds of another quarter-point increase at the May 10 meeting are about 74 percent, compared with 76 percent before the reports and zero percent last month.
``The numbers are certainly a little bit weaker than expectations,'' said James Caron, an interest-rate strategist in New York at Merrill Lynch & Co., the world's biggest securities firm by market value. ``I view this as a selling opportunity'' as the Fed is likely to continue to boost rates, he said.
The 10-year note's yield may reach 4.75 percent in three months, Caron said.
Today's Commerce Department report showed that the core personal consumption expenditures price index, a measure of prices tied to consumer spending and excluding energy and food, rose at an annual rate of 2.1 percent last quarter. The index, which is used by the Fed in making its forecasts, compared with a 2.2 percent pace reported earlier and a 1.4 percent rate in the prior quarter.
`Overtighten'
The Fed is likely to ``overtighten'' its monetary policy, and the effects will show up in the second quarter in assets such as housing or stocks or in job cuts, Paul McCulley, a managing director at Pacific Investment Management Co. told the Money Marketeers of New York University yesterday.
New home sales in January fell to the lowest in a year and the number of properties on the market was the most ever, the Commerce Department said yesterday. Sales fell a greater-than- expected 5 percent to an annual rate of 1.233 million.
Bill Gross, manager of the world's biggest bond fund at Pimco, recommends increasing non-U.S. assets on a widening trade deficit. The trade deficit reached a record $726 billion in 2005, the Commerce Department said on Feb. 10.
``Investment markets in the U.S. will not ultimately prosper under such an increasingly odorous environment,'' Gross, chief investment officer of Pimco, said in his Investment Outlook for March published yesterday on the firm's Web site. ``It is only sensible, therefore, to diversify globally.''
Index Changes
Gross cut the Total Return Fund's holdings of U.S. Treasuries and agency debt in January to 16 percent from 18 percent in December while keeping emerging-market debt at 3 percent, according to the company's Web site.
Investors may purchase longer-maturity Treasuries to match month-end changes to benchmark indexes.
``It may be investors buying bonds to match their benchmarks or people buying bonds in anticipation of this,'' said Prophet of UBS.
Lehman Brothers Holdings Inc.'s U.S. Treasury Bond Index is adding 30-year securities for the first time since 2001. This month the government sold $27 billion of 10- and 30-year securities that will be added to the index.
Lehman said its index lengthen in duration by an estimated 0.20 year to 5.00 years on March 1, the most since November 2002. Duration is a function of maturity and interest-rate risk. closed at 4.66 percent before ending the year at 4.39 percent.
Feb. 28 (Bloomberg) -- U.S. Treasuries rose for the first day in four after indexes measuring manufacturing in the Chicago area and consumer confidence both fell.
The weaker-than-expected data came as yields traded near levels that have sparked rallies in the past. Even with the gains, Treasuries are off to their worst annual start since 1999.
``The market had gotten oversold,'' said Alan De Rose, a trader and Treasury market strategist in New York at CIBC World Markets Inc. Oversold is a term traders use when they think a market has declined too far.
The yield on the benchmark 10-year note fell 3 basis points, or 0.03 percentage point, to 4.56 percent as of 10:55 a.m. in New York, according to bond broker Cantor Fitzgerald LP. Yields move inversely to bond prices. The price of the 4 1/2 percent note due in February 2016 rose 1/4, or $2.50 per $1,000 face amount, to 99 17/32, the first increase since Feb. 22.
Treasuries are down 0.37 percent, including reinvested interest, since December, the worst start to a year for the $4.2 trillion market since they declined 2.08 percent in 1999, Merrill Lynch & Co. data show.
Today's reports gave bond buyers confidence as 10-year yields hover around 4.6 percent, a level that preceded the last three rallies in the government bond market.
Manufacturing, Confidence
The National Association of Purchasing Management-Chicago said its manufacturing index for February declined to 54.9 from 58.5 in January. No change was expected, based on the median estimate in a survey of economists by Bloomberg News. The Conference Board said its consumer sentiment index for this month tumbled to 101.7 from 106.8 in January. A reading of 104 was forecast.
Treasuries are still headed for their second straight monthly decline after a government report showed the economy expanded at a faster rate last quarter than previously estimated. The 10-year note's yield is up from 4.52 percent at the end of January and 4.39 percent at the end of December.
``Growth in 2006 is probably going to be stronger,'' said William Prophet, an interest-rate strategist at Stamford, Connecticut-based UBS, one of the 22 primary dealers of U.S. government securities that trade with the Fed. ``This means that the Fed is going to have to keep raising rates.''
The Commerce Department said earlier that the economy grew at a 1.6 percent rate in the fourth quarter, compared with a 1.1 percent estimate it reported last month and in line with the median forecast of 1.6 percent of the 62 economists surveyed by Bloomberg News.
Fed Forecasts
The central bank has lifted its target for the overnight lending rate between banks 14 consecutive times since June 2004 to 4.5 percent, the highest in more than four years.
Interest-rate futures show traders are pricing in a 98 percent chance the Fed will raise the rate to 4.75 percent when policy makers meet on March 28, up from about 56 percent a month ago. The odds of another quarter-point increase at the May 10 meeting are about 74 percent, compared with 76 percent before the reports and zero percent last month.
``The numbers are certainly a little bit weaker than expectations,'' said James Caron, an interest-rate strategist in New York at Merrill Lynch & Co., the world's biggest securities firm by market value. ``I view this as a selling opportunity'' as the Fed is likely to continue to boost rates, he said.
The 10-year note's yield may reach 4.75 percent in three months, Caron said.
Today's Commerce Department report showed that the core personal consumption expenditures price index, a measure of prices tied to consumer spending and excluding energy and food, rose at an annual rate of 2.1 percent last quarter. The index, which is used by the Fed in making its forecasts, compared with a 2.2 percent pace reported earlier and a 1.4 percent rate in the prior quarter.
`Overtighten'
The Fed is likely to ``overtighten'' its monetary policy, and the effects will show up in the second quarter in assets such as housing or stocks or in job cuts, Paul McCulley, a managing director at Pacific Investment Management Co. told the Money Marketeers of New York University yesterday.
New home sales in January fell to the lowest in a year and the number of properties on the market was the most ever, the Commerce Department said yesterday. Sales fell a greater-than- expected 5 percent to an annual rate of 1.233 million.
Bill Gross, manager of the world's biggest bond fund at Pimco, recommends increasing non-U.S. assets on a widening trade deficit. The trade deficit reached a record $726 billion in 2005, the Commerce Department said on Feb. 10.
``Investment markets in the U.S. will not ultimately prosper under such an increasingly odorous environment,'' Gross, chief investment officer of Pimco, said in his Investment Outlook for March published yesterday on the firm's Web site. ``It is only sensible, therefore, to diversify globally.''
Index Changes
Gross cut the Total Return Fund's holdings of U.S. Treasuries and agency debt in January to 16 percent from 18 percent in December while keeping emerging-market debt at 3 percent, according to the company's Web site.
Investors may purchase longer-maturity Treasuries to match month-end changes to benchmark indexes.
``It may be investors buying bonds to match their benchmarks or people buying bonds in anticipation of this,'' said Prophet of UBS.
Lehman Brothers Holdings Inc.'s U.S. Treasury Bond Index is adding 30-year securities for the first time since 2001. This month the government sold $27 billion of 10- and 30-year securities that will be added to the index.
Lehman said its index lengthen in duration by an estimated 0.20 year to 5.00 years on March 1, the most since November 2002. Duration is a function of maturity and interest-rate risk. closed at 4.66 percent before ending the year at 4.39 percent.
f4f
翠鸟科
Fleursdumal ha scritto:Bonjour a tout les bondaroles
cè non fare il fifone la vaselina la offre lo zio silvio
te non scherzare che lo zio è andato dal cespugl a prendere la vaselina per te, per me e per tuuuutti gli altri
giusto ieri stavo per comprare un pò di call, ma il mio amico TS mi ha detto nooooooooooooo
che kiulo a dergli ragione 
a domani cari
ditropan
Forumer storico
... approfitto per riportare pure quà una valutazione sul gas fatta in Finanzaonline. 
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ditropan ha scritto:Robby15 ha scritto:
... haa bè, la speculazione non si manifesta mica sempre al rialzo
In merito alla sopravalutazione e sottovalutazione o quale possa essere un prezzo equo non esiste un valore assoluto fissabile a priori, tutto dipende in modo relativo.
Mi spiego meglio e prendo l'esempio riportato da xanadus in un post precedente.
Il gas come noto oltre che servire al riscaldamento per uso residenziale viene anche impiegato per la produzione di energia elettrica.
Andando verso i mesi estivi e considerando l'anticipazione sui prezzi caratteristica dei contratti fututre è risaputo che a partire dalla primavera le quotazioni di questa MP guardano più ad un possibile incremento di consumi dell'energia elettrica per far funzionare condizionatori e quant'altro.
Quindi ... sapendo che in questi mesi (stagionalità) i prezzi sul gas si muovono in base alle stime dei consumi di energia andiamo a vedere i prezzi di altre materie prime correlate per un uso analogo (produzione di energia elettrica) ... quella più vicina è proprio l'heating oil.
Infatti se uno ci pensa un'attimo le centrali a gas moderne possono funzionare pure a gasolio.
La correlazione in questo modo è subito fatta ....
... se io voglio cercare di fare una stima grossolana di quanto possa essere sottovalutato il prezzo del gas, (considerando anche il periodo in cui faccio questo paragone) mi prendo un bel graficuzzo di confronto dei prezzi tra Heating oil e Natural Gas e ci faccio le mie valutazioni :
Grafico alla mano ci si rende subito conto di come si è aperta la forchetta dei prezzi tra Heating Oil e Natural Gas ...
... infatti ...
... se nel febbraio 2005, senza andare troppo distanti nel tempo e volendo confrontare lo stesso periodo temporale, il gasolio stava a 1,3$ - 1,25$ al gallone con il gas a 6$ - 6,5$. Oggi invece il gas stà allo stesso prezzo di un'anno fà ma con l'Heating Oil a 1,7$ al gallone, ovvero un 30% in più.
Da questo posso dedurre una stima che, o il gasolio è sopravvalutato di un 30% oppure il gas è sottovalutato di un 30% dai prezzi attuali.
O ancora meglio che la verità stà in mezzo e quindi il gasolio è sopravalutato di un 15% ed il gas è sottovalutato del 15% pure lui.
Spero di essere stato abbastanza chiaro nell'esposizione .. ovviamente questa è solo una mia considerazione personale, quindi del tutto opinabile.
ditropan
Forumer storico
... aggiorno le operazioni di oggi :
- chiusi un poki di contratti long sul 5Y note con un discreto gain 2001 € netti
- aperti a mò di coperta 4 short sul t-bronx a 113 e 113.125
... in totale sempre sbilanciato long di 20 contratti sul 5Y note con piccola coperta di 4 contratti short sul t-bronx.
sera a tutti.
- chiusi un poki di contratti long sul 5Y note con un discreto gain 2001 € netti
- aperti a mò di coperta 4 short sul t-bronx a 113 e 113.125
... in totale sempre sbilanciato long di 20 contratti sul 5Y note con piccola coperta di 4 contratti short sul t-bronx.
sera a tutti.
ditropan
Forumer storico
f4f ha scritto:goood morning
ottima analisi Ditro
per pura curiosità, poi fabbricare e postare il grafico dello spread oil/gas?
grazie
... come nò, ecchilo quà ....
Nel considerare lo spread tra i due ho messo il grafico HO/NG in quanto preferisco calcolare il rapporto tra i due piuttosto che la differenza pura dei prezzi.
Weekly
Come puoi notare ... a parte l'anomalia del 2001 nei mesi che si avvicinano all'estate il raporto (quindi il grafico) tende sempre a calare poichè l'Heating Oil (al numeratore) tende a calare sui prezzi in favore del maggiore uso di benzina nei mesi estivi, mentre il gas (al denominatore) tende ad aumentare per via della maggiore richiesta di corrente elettrica per soddisfare la domanda dei condizionatori nella stagione calda.
Montly
... certo che se lo vediamo nel lunghissimo periodo lo spread non è ancora arrivato a valori estremi.
.... anche se però a livello di puro differenziale prezzi la situazione sembra più critica di quella che si può intravvedere dal rapporto ...
f4f
翠鸟科
si impara sempre qualcosa da te Ditro
anzitutto la cortesia , sei sempre gentilissimo
perchè preferisci il rapporto anzichè la differenza tra i due indici?
forse perchè così, nel lungo periodo, elimini l'effetto del livello dei prezzi?
grazie
nota redazionale per Fleu
1 non mi hai ancora commentato il mio modellino di zero a pagina 3
2 incomincia la pagggina maledetta ... fino a pg 14 non posto più
anzitutto la cortesia , sei sempre gentilissimo
perchè preferisci il rapporto anzichè la differenza tra i due indici?
forse perchè così, nel lungo periodo, elimini l'effetto del livello dei prezzi?
grazie
nota redazionale per Fleu
1 non mi hai ancora commentato il mio modellino di zero a pagina 3
2 incomincia la pagggina maledetta ... fino a pg 14 non posto più
ditropan
Forumer storico
Aioo ha scritto:Andrea ma come si fa' a vedere i grafici dei vari spread??.....
semplicissimo Stè ... non fai altro che fare la differenza (o il rapporto) dei 2 contratti che ti interessano all'interno della stessa casella dati ....
X xanadus :
Dai che le "scosse elettriche"
dovrebbero trovare un supporto importante a 55 ... oramai ci siamo 
Mazza quanto carry tra i contratti maggio giugno e luglio !!!
... hemmm ... certo che la caratteristica del contratto indicata dalla freccia non mi piace proprio nà seg..
... pericolosetto questo dettaglio sulle "scosse elettriche". 
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