Derivati USA: CME-CBOT-NYMEX-ICE T-Bronx5Y-10Y-Bund .. il ritorno del figliol prodigo (vm18)

[gipa69]

Ciao gipa 69,leggo sempre con interesse le tue analisi e volevo chiedere se per valute dallo yeld basso intendi parlare dello yen contro euro-dollaro (yeld alto)
Grazie per la eventuale risposta e buonanotte a tutti.

Sicuramente Yen contro euro/dollaro è il cross più importante nel carry per le dimensioni delle valute e per il differenziale dei tassi ma non è l'unico in quanto anche il franco Svizzero contro euro o sterlina o ancore Yen contro valute quali dollaro neozenlandese oppure ancora corona svedese contro dollaro australiano seppure le dimensioni delle valute siano inferiori e quindi le posizioni messe in piedi meno importanti.
Per osservare queste posizioni occorre conoscere il differenziale dei rendimenti dei bond dei singoli paesi e da lì se ne traggono le conclusioni.
Tieni presente che queste posizioni sono state sviluppate in maniera molto specialistica e molto complessa con possibili variazioni di posizione legate non solo ai tassi attuali
ma anche sullle aspettative sui tassi dei singoli paesi in qunato spesso sono le aspettative che muovono i prezzi ed in questo caso la posizione della curva dei tassi sulle posizioni future con scadenza più lontana oppure ancora il differenziale tra i titoli obbligazionari a tasso fisso ed i titoli Tips cioè quelli legati all'inflazione possono aiutare a costruire posizioni.

 

[gipa69]

Ciao Gipa, al solito molto interessanti le tue considerazioni; una domanda: la liquidità sintetica che si crea con i carry trade va, a tuo avviso, a finanziare solo l'acquisto di equity o può essere "liberata" anche per altre risorse (es. commodities, derivati, etc.)?
Una considerazione: al solito, con tutto il mercato pericolosamente spostato su un lato (i carry trade), il pericolo è che, se capita qualcosa di impensato e straordinario, la corsa per la chiusura di posizioni sarà drammatica Mi spiego meglio: con tensioni geopolitiche il chf rappresenta un bene rifugio.

La liquidità sistemica ha in questi anni contribuiti a diversi macrotrend che si sono sviluppati in questi ultimi anni basta ricordare il forte trend dei titoli azionari ad alto dividendo nel periodo 2003/2004, la contrazione dei rendimenti delle obbligazioni dei paesi emergenti, la forza delle commodity, ed anche la forza dell'azionario susseguente alla liquidazione del settore energy.
Naturalmente vi sono insieme al carry altre concause che hanno contribuito a questi trend ma certo è che la strutturalità della liquidità sintetica ha contribuito ad evitare importanti scossoni sui mercati e questa incredibile rotazione intermarket, settoriale e di mercati che ha pochi precedenti nel passato.
Il motivo per cui il carry è continuato anche in contrasto con diverse indicazioni dei banchieri centrali è secondo me dovuto proprio al tentativo di convincere dei riluttanti investitori individuali a entrare con decisione in questo mercato e permettere di sostituire la liquidità sintetica con liquidità reale come avvenuto almeno parzialmente in queste ultime sedute. Resta il fatto che la forte diffidenza degli investitori individuali è al momento la speranza degli investitori speculativi per chiudere il cerchio ma anche la possibile spada di damocle sui mercati attuali che in caso di violenta inversione dovute a crisi sistemiche interne alle strategie sviluppate vedrebbero non solo la chiusura delle posizioni speculative ma anche la veloce fuoriuscita degli investitori individuali più orientate a strategie di corto respiro a causa del forte mood pessimistico distribuito anche a proposito nel periodo 2003/2005.

per quanto riguarda le tensioni geopolitiche ed il Franco Svizzero condivido il fatto che eventuali posizioni carry su quella valuta possano andare in difficoltà anche se ritengo che il carry con maggiore valenza sia quello sullo yen (ed infatti i mercati rispondono maggiormente ai movimenti di quella valuta) seppure quello sullo svizzero sia importante
Ritengo poi importante considerare ulteriori due aspetti:
1) fino al momento le tensioni geopolitiche anche importanti si sono manifestate come correzioni di breve e dopo il 2001 con tensione sempre inferiore come se i mercati fossero anestetizzati dalla liquidità che non risponde a logiche individuali e quindi emotive ma a logiche speculative e quindi più tecniche.
Solo un conflitto regionale di vasta scala potrebbe avere un impatto rilevante
2) Il Franco Svizzero ha perso almeno in parte le sue caratteristiche di valuta rifugio in quanto ha liquidato in questi anni molta parte delle proprie riserve aurifere.
I movimenti del Franco svizzero dovrebbero essere più legati alle eventuali ricoperture delle forti posizioni short presenti sulla sua valuta piuttosto che da considerazioni geopolitiche anche se anche queste possono essere una causa scatenante.

 

[gipa69]

A proposito di notizie geopolitiche....


AP
Oil Prices Creep Higher on Terror Fears
Friday October 27, 7:27 pm ET
By Brad Foss, AP Business Writer
Oil Prices Creep Higher After Report of al-Qaida Terror Alert in Gulf Aimed at Oil Terminals


WASHINGTON (AP) -- Oil prices rose Friday following reports of a terror alert in the petroleum-rich Persian Gulf region, though the incident didn't rattle the market like it might have a few months ago.
A British navy official, speaking on condition of anonymity because he was not authorized to speak to the press, said Friday that a threat from al-Qaida last month to target Gulf oil terminals had resulted in stepped-up security and vigilance at Saudi Arabia's Ras Tanura terminal, as well as a refinery in Bahrain. Oil exports in the region were proceeding as normal, he said.

Light, sweet crude for December rose 39 cents to settle at $60.75 a barrel on the New York Mercantile Exchange. Brent crude futures gained 31 cents to settle at $61.08 a barrel at London's ICE Futures exchange.

"Only six months ago the market would have rallied at least $1.50 on this kind of news," said Michael Guido, Societe Generale's director of commodity strategy. "It is a profound example of how the market is not trading on event risk, or 'what if' scenarios any more."

The main reason for this shift in psychology, according to Guido and other analysts, is that the world's oil inventories and spare production capacity are rising, providing the market with a much-needed cushion for any unplanned disruptions.

Last week's decision by the Organization of Petroleum Exporting Countries to cut output by 1.2 million barrels day -- an effort to prevent a global supply glut -- means there is that much more spare production capacity for an emergency.

Still, some analysts believe the reduction in immediate supplies will help put a floor underneath prices. Citigroup's Tim Evans said that the OPEC move will lead to "falling inventories" and ultimately that will influence the cost of crude oil around the world.

Norway's state-controlled oil company Statoil ASA announced Friday that the 200,000 barrel per day Snorre A and Vigdis offshore oil platforms have been restarted after defective lifeboats were upgraded to meet Norwegian safety standards.

Statoil had been forced to shut down the platforms on Oct. 13 because an industry study found defects in lifeboats essential to evacuating crew in a crisis.

Traders said speculation in the market was that prices would climb in the months ahead, with winter demand for heating oil and natural gas leading the way.

Peter Beutel, president of energy consultancy Cameron Hanover Inc., expects prices to rise some and remain high through the end of the year, but he said "there is a very good chance" that prices will decline as winter ends.

In other Nymex trading, heating oil futures fell less than a penny to settle at $1.6944 a gallon, while unleaded gasoline fell less than a penny to settle at $1.5599 per gallon.

Natural gas futures declined 34.4 cents to settle at $7.153 per 1,000 cubic feet.

Associated Press Writer Jim Krane in Dubai contributed to this report.

 

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Reuters
Sector rotation may resume; jobs data ahead
Friday October 27, 6:29 pm ET
By Jennifer Coogan


NEW YORK (Reuters) - Next week may determine the sustainability of a recent shift from U.S. energy stocks to non-cyclical sectors when payroll data and several other key economic growth indicators are released amid a heavy stream of earnings reports.

The trend toward bigger-cap technology, health-care and consumer stocks that helped the Dow break through its all-time record and the 12,000 mark was briefly interrupted this week as energy and material stocks hopped back into the lead. But Friday's weaker-than-expected data on gross domestic product suggests stocks that are less sensitive to growth will be the ones poised to lead.

Besides all the data, 94 of the 500 components of the Standard & Poor's 500 Index (^SPX - News) will give quarterly profit updates next week.

"We're still in the thick of earnings," said Todd Clark, director of stock trading at Nollenberger Capital Partners in San Francisco. "We also get the Chicago Purchasing Managers' number and the ISM manufacturing survey. Both of those are pretty important data points so we're going to see some meaningful macro numbers coincide with what we've got as far as corporate earnings."

The Labor Department's nonfarm payrolls report on Friday will wrap up a data-packed week, when investors will watch for signs that the economy is still growing at a healthy pace while inflation remains moderate. Economists polled by Reuters believe that payrolls grew by 125,000 jobs in October, compared with a gain of just 51,000 in September. Average hourly earnings are forecast to rise 0.3 percent in October, after an increase of 0.2 percent the previous month.

Investors will start the week with the latest read on inflation data on Monday, with the release of September personal income and consumption data, and the accompanying price index.

Three other key gauges of economic growth are set for release in the week ahead: The National Association of Purchasing Management-Chicago's index of Midwest business activity on Tuesday; the Institute for Supply Management's manufacturing survey on Wednesday, and the ISM's survey on the services, or non-manufacturing, sector on Friday.

The Conference Board will issue its consumer confidence index on Tuesday, with economists expecting an October reading of 108.0, up from 104.5 in September. Domestic car and truck sales for October are due on Wednesday, with the Reuters poll forecasting a slower pace.

TRACKING BIG OIL

Of the 10 Standard & Poor's major industry groups, energy and materials were the top two performers, while industrials, technology and health care lagged at the bottom, all netting negative returns for the week.

"The groups that have led the market are oil and oil services. These areas since have corrected around over 10 percent and in some cases 20 percent, but they've come back very quickly," said Carl Birkelbach, founder and chief executive of Birkelbach Investment Securities in Chicago.

"We're at the point where these need to correct some more," he added. "For the market to make its next move, for the Dow to aim for 14,000, those will have to take a little rest."

Signs of a further slowdown in the economy could force energy and other commodity stocks to take that rest, as decreased business activity would slacken demand for their products. But economic figures won't be the only factor determining prices of commodity-related equities.

The slew of energy and oil-services companies set to report earnings next week include Marathon Oil Corp. (NYSE:MRO - News), Devon Energy Crop. (NYSEVN - News), Dominion Resources Inc. (NYSE - News) and Valero Energy Corp. (NYSELO - News).

U.S. crude oil prices are down about 23 percent from a record set in mid-July. On Friday, December crude (CLZ6) settled at $60.75 on the New York Mercantile Exchange.

POWER PLAY

Power utility companies, another safe bet in a slowing economy, are featured prominently on next week's earnings calendar. Those scheduled to give quarterly reports include Entergy Corp. (NYSE:ETR - News) on Tuesday, DTE Energy Co. (NYSETE - News) on Wednesday and Consolidated Edison Inc. (NYSE:ED - News) on Thursday.

The Dow components set to report results next week are telecommunication services provider Verizon Communications Inc. (NYSEZ - News) on Monday, while on Tuesday, earnings are due from consumer goods maker Procter & Gamble Co. (NYSEG - News) .

PITY THE SMALL FRY

On Friday, stocks finished the session lower. The blue-chip Dow Jones industrial average (^DJI - News) fell 73.40 points, or 0.60 percent, to end at 12,090.26. The Standard & Poor's 500 Index (^SPX - News) dropped 11.74 points, or 0.85 percent, to finish at 1,377.34. The Nasdaq Composite Index (NASDAQ:^IXIC - News) declined 28.48 points, or 1.20 percent, to close at 2,350.62.

For the week, though, stocks rose. The Dow gained 0.7 percent, while the S&P 500 added 0.6 percent, and the Nasdaq advanced 0.4 percent.

Data on Friday showed third-quarter U.S. economic growth was the weakest in more than three years, which sent all three major U.S. stock indexes lower.

But it was the smaller-capitalization indexes that suffered the most. The Russell 2000 index (CBOE:^RUT - News) fell 1.4 percent and the Midcap 400 Index (AMEX:^MID - News) fell 1.2 percent.

Smaller-cap U.S. stocks, which tend to be less geographically diversified, usually fare worse when U.S. economic conditions weaken.

"With the GDP number in mind, investors will be looking for what type of growth there will be in the economy," said Richard Sichel, who oversees $1.5 billion as chief investment officer of Philadelphia Trust Co. in Philadelphia.

"The global economy is a very big positive, so the types of U.S. companies investors need to key into are the industrials and other big ones that can continue to participate in strong global growth."

(Wall St Week Ahead runs weekly. Questions or comments on this column may be e-mailed to: jennifer.coogan(at)reuters.com)

(Additional reporting by Caroline Valetkevitch)

 

[gipa69]

Articolo interessante che affronta i temi di cui parlo ormai da molto tempo e cioè dell'influenza del carry sui mercati....

Facendo un sunto si parla dell'avvenuta liquidazione delle posizioni long sul settore energy e anche sui preziosi e della conseguente sottoperformance degli hard asset e dei mercati emergenti rispetto ai mercati azionari USA ed Europei.
In questo scenario gli investimenti più rischiosi continuano a sovraperformare quelli meno rischiosi per cui le azioni sovraperformano i bond e le obbligazioni ad alto rischio quelle investment-grade.
Questa stessa situazione si è verificata in Aprile cioè il mese precedente alla correzione di maggio.
In maggio il colpevole era il leverage e la decisione della Boj di porre fine alla politica dell'espansione monetaria anti deflazione portò alla veloce liquidazione su molti mercati degli investimenti più rischiosi.
Dopo questa breve liquidazione però le posizioni sono state ricostituite e se i COT hanno un senso le posizioni short sullo yen sono quasi il doppio di quelle che erano a maggio!
Anche un lieve shift nei fondamentali che soggiaciono al cross Usd/Yen potrebbero causare un forte movimento sui mercati.
Mentre nella mente degli investitori il problema fondamentale è l'inflazione (ma di questo parleremo...) occorre porre attenzione anche ai cross dello yen.
E se il settore immobiliare avrà un certo impatto sui mercati è possibile che la FED si troverà a dover operare sui tassi prima e più aggressivamente del previsto.
Nel frattempo cerchiamo dei segnali che indichino un picco nel carry trade su yen.
E non ci riferiamo tanto alla dichiarazione della banca centrale Russa di aver diversificato sullo yen (notizia postata anche su questo thread..) ma al fatto che l'Islanda, un paese con lo yield molto alto ha emesso il primo bond in Yen giapponesi segnalando una sempre più ampia partecipazione al carry (e aggiungo io l'emissione dell'Etf di cui parlavo ieri è un ulteriore segnale) e quindi un sempre maggior rischio a mantenere la posizione.


Stephanie Pomboy Presents: A Yen for Risk

Break out the paper hats and start gettin’ jiggy with it cuz’ (in case you hadn’t noticed), the fourth quarter party is underway. In what has become a seasonal spectacle, investors are cutting themselves a big fat slice of risk from the global market cake and shoveling it in without the least regard for how piggish they look. Even in these early days, the roundup of market performance for the quarter has the sugar-stained fingerprints of risk-seeking investors smeared all over it.

Hard asset protection has been dutifully dispensed in favor of paper with commodities lagging behind their Emerging Market cousins, precious metals underperforming base metals and spec bets being slashed (see addenda). Indeed, according to the CFTC, gold longs have been cut in half and oil longs have been completely unwound. Meanwhile, on the paper front, the rapacious appetite for risk has found stocks outperforming bonds and high-yield bonds trouncing high-quality. In fact, since the quarter began, Junk yields have actually declined -30bp while Investment grade bond yields have risen +13bp!!

The last time investors went on a risk binge of this magnitude was back in April. That’s right, the month right before May. And we all remember what it felt like coming off that sugar-high!! Watching the current feeding frenzy, it’s hard not to worry about a repeat of that unpleasant circumstance today. The question is whether the indigestion that will inevitably follow will arise as a reaction to the cake itself (the ‘risk’ assets being purchased) or the icing (the leverage).

In May, leverage was the culprit. Rumblings from the Bank of Japan that it was ready to end its Quantitative Easing campaign and, in time, move to tighten, were sufficient to shake specs from their carry-trade roosts. With their cheap yen financing now threatened, they rushed to unwind their various positions, sucking money from all corners of the globe.

After a brief but ferocious liquidation, these positions were rebuilt…and then some. In the months since, short positions in the Yen have pushed deeper and deeper into record territory. Glancing at the increased wagers in the last two weeks, depicted in the chart below, one can almost envision the drool welling up in the corner of investors’ mouths in Pavlovian response to the 4th quarter alarm bell. After all, what better way to add a little oomph to your year-end performance than lever-up --- borrowing at 25bp in a currency that is all but guaranteed to remain weak??

If these trader commitments are any indication, the yen-carry trade is now more than twice as large as it was in May!Thus any modest shift in the fundamentals underlying the dollar/yen could cause a Liquidity Event that makes May’s dyspepsia seem like a muffled burp. (Check out yen and the VIX).

Of course, with the Fed busy huffing and puffing about inflation, such a shift in dollar/yen dynamics is the last thing on investors’ minds. But that’s precisely the point. Everyone is lined-up on one side of this bet. And if the housing bubble’s deflation has half the impact we suspect it will (on consumer spending…and financial institutions), the Fed will be shifting gears sooner and more aggressively than the markets presently expect. Tomorrow’s Existing Home Sales report will be interesting in this regard. Should it fail to endorse the popular view that ‘the worst is behind us’… this big trade might begin to unravel.

In the meantime, those looking for anecdotal signs of a ‘peak’ in the yen carry trade last week. No, I don’t mean Russia’s announcement that it would apportion more of its reserves to Yen (although that is important). I am referring to Iceland’s first-ever Samurai (yen-denominated) bond issue.

Talk about the ultimate expression of the yen carry trade! Iceland, one of the world's highest-yielding currencies, is borrowing in yen to finance investment at home. It took a while, but apparently the guys at Iceland’s largest bank, Kaupthing, finally figured out that there was substantial Krona to be saved by borrowing at 0.25% in Japan instead of 14% at home!!

Could this be the ‘icing’ on the leverage layer-cake? With Iceland elbowing its way in for a slice of the carry-trade cake, this speculative bash is starting to lose its elite feel. Pretty soon, the other party-goers will be nudging each other: Hey, who invited those guys??? And, as they put their forks down and grab their coats, the long-delayed liquidity exodus will begin.

 

[gipa69]

A completamento del post precedente posto anche grafico relativo alla situazione dei COT su Franco Svizzero.....

 

[gipa69]

Roba varia trovata in rete...

http://www.financialsense.com/fsu/editorials/tanashian/2006/1027.html

 

[gipa69]

Importante commento sul dato del GDP...

U.S. Statistical Fluke Exaggerated Growth, Will Be Reversed

By Carlos Torres

Oct. 27 (Bloomberg) -- An unexpected increase in auto production last quarter was a statistical fluke that will be reversed, making current U.S. economic growth even weaker, according to a former Commerce Department economist.

Last quarter's annualized 26 percent increase in auto production shocked Joe Carson, now director of economic research at AllianceBernstein LP in New York. Without the gain, the economy would have grown at an annual rate of 0.9 percent, not the 1.6 percent the Commerce Department reported today.

The increase in output came despite cutbacks announced by General Motors Corp., Ford Motor Co. and others. A drop in the wholesale price of SUVs and light trucks as the automakers cleared leftover 2006 models made production look stronger than it actually was, said Carson. The economic fallout from the auto-industry cutbacks will instead come this quarter, he said.

``Last quarter was weak even with the benefit of this mismatch and the fourth quarter will now also be weak because it's going the other way,'' Carson said. ``Whatever output you have this quarter, which will probably be down, will be discounted by a likely rebound in prices.''

The mismatch can be explained by looking at how the government adjusts the figures for price changes.

Commerce Department economists use wholesale light truck prices, from the Labor Department's producer price report, to eliminate the influence of inflation on investment and inventories for that category. A 5.5 percent drop in price of SUVs and other light trucks last quarter made output look stronger when adjusted for inflation.

Growth Pessimism

``Whatever output you have this quarter, which will probably be down, will be discounted by a likely rebound in prices,'' Carson said. He currently forecasts the U.S. economy will grow at an annual rate of 1.4 percent this quarter and said he wouldn't be surprised if growth came in at half that pace. AllianceBernstein is an asset management firm.

The median forecast of economists surveyed by Bloomberg News earlier this month was for fourth-quarter growth of 2.5 percent.

``We are looking into it to see if we can better understand the reasons for the large decline'' in prices, said Brent Moulton, associate director for national economic accounts at the Bureau of Economic Analysis, part of the Commerce Department, which produces the report on gross domestic product.

Carson wasn't the only economist shocked by the auto- production figures.

`Unbelievable Detail'

Stephen Stanley, chief economist at RBS Greenwich Capital in Greenwich, Connecticut, called the output numbers ``the most unbelievable detail'' in the GDP report.

The composition of growth last quarter, which included an unexpectedly large accumulation of inventories, also prompted other economists to reduce estimates for fourth-quarter growth. An increase in inventories overall suggests manufacturers may need to trim production this quarter.

The economy will probably grow at an annual pace of 1 percent from October through December, down almost a full percentage point from his earlier estimate, according to Joseph LaVorgna, chief U.S. fixed income economist at Deutsche Bank Securities Inc. in New York.

``A relatively large inventory build last quarter will need to be worked off and that will produce a negative hit to production, employment and income,'' LaVorgna added.

To contact the reporter on this story: Carlos Torres in Washington at [email protected]

Last Updated: October 27, 2006 14:41 EDT

 

[solospread]

chiedo gentilmente un vostro parere
E un azzardo uno short eur-jpy sotto 149?
Grazie

 

[gipa69]

chiedo gentilmente un vostro parere
E un azzardo uno short eur-jpy sotto 149?
Grazie

Personalmente seguo i cross in ottica intermarket e non ci opero comunque cercherò di rispondere alla tua domanda.
Per prima cosa occorre considerare che attualmente il cross Eur/yen è un cross riflessivo, cioè vive di riflesso rispetto all'Usd/Yen che è quello che attualmente detta i ritmi e quindi in caso di chiusura posizioni speculative (e di conseguenza anche il solito movimento di momentum) potrebbe essere quello più reattivo.
Detto questo occorre considerare che l'area di massimo segnata a fine agosto e ritestata venerdi (150,70 circa) con la realizzazione di un doppio massimo è un area che è stata delineata dalle considerazioni di autorità monetaria si un eccessivo aprrezzamento dell'Euro contro yen e quindi hanno una valenza psicologica importante e su quella rottura decisa occorrerebbe chiudere le posizioni short.
Al ribasso al momento a parte il doppio massimo non vedo configurazioni significative al ribasso e anche la candela ribassista al momento non è stata esplosiva (meno che sul cross Usd/yen).
Livello importante su cui aprire uno short è secondo me l'area 148,60 in quanto confluisce un area di resistenza statica ed una possibile trendline ascendente ed inoltre sarebbe il punto di negazione dei minimi ascedenti che si stanno costruendo nelle ultime settimane.
Qualche cartuccia la terrei per l'area 147,90/147,80 in quanto si romperebbe in trading range in essere da agosto.
Ciao