asset class years hi and date made year low and date made
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dow jones 12419 (1/4) 11555 (16/3)
sp 1344 (18/2) 1248 (16/3)
nikkei 10857 (21/2) 8227 (15/3)
ftse 6091 (8/2) 5598 (16/3)
dax 7426 (18/2) 6483 (15/3)
shanghai 3002 (9/3) 2677 (25/1)
observations : there was a mini crash on 15 and 16 march on nuclear radiation panic ...but clearly the dow has fully recovered . ftse in narrow range as befits a country stumbling along with a fair amount of economic issues (pure commodity inflation ,unemployment , falling wages , fiscal austerity , weak housing etc ) ; the nikkei should lag all for a while . shanghai also narrow range as markets constantly anticipating chines RRR hikes and rate hikes and the 'pending' china slowdown or crash landing . less hot money is being drawn to chinese asset bubbles.
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vix 31.28 (16/3) 15.46 (14/1 ) [ note a few bounces around 15.5 on few occasions]
gold 1447 (24/3) 1308 (27/1)
WTI crude 108 (1/4) 84.22 (15/1)
observations : Gold and Brent are having a period of high correlation , with a 1% move in Brent driving about a 0.5% move in Gold as movements have been largely driven by Middle East events. the vix should not really go below 15 as there must be a form of fear premium in the market . vix close to 15/16 is an alarm bell for risk assets . nevertheless , the asset markets are rising on a mixture of vapour , decent economic news, qe2 and easy money , and all bad news gets shrugged aside . this could be a problem in spurts ....but overall there is optimism out there.
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june 2y tsy 109. 16 3/4 (16/3) 108.22 (8/2)
june 10y tsy 121.08 (16/3) 116.12 (8/2)
june 30y tsy 122.16 (16/3) 115.21 (8/2)
june gilt 119.46 (3/1) 114.13(9/2)
june schatz 108.82 (3/1) 107.03 (1/4)
june bund 124.85 (10/1) 120.73 (1/4)
2y tsy yield 0.893 (1/4) 0.54 (28/1 and 16/3)
10y tsy yield 3.766 (9/2) 3.145 (16/3)
30y tsy yield 4.787 (9/2) 4.32 (16/3)
gilt yield 3.912 (9/2) 3.42 (4/1)
schatz yield 1.856 (1/4) 0.817 (4/1)
bund yield 3.41 (1/4) 2.852 (7/1)
observations : clearly german fixed income the massive underperformer on mixture of hawkishness from ecb inflation paranoia ; good stock market performances ; higher long end global yields as BRIC countries are also raising rates and anticipation of end of QE2 and the rally thats underway in usa long yields. BUT ALSO PLEASE NOTE..the more the germans help bail out euro peripheries , then the more the bund etc become one of them!! ie the bund will be debt laden too...hence bund to underperform , anyway. also, note 16/3 mini stock crash and black swan event caused us yields to implode ....
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eurusd 1.4248 (22/3) 1.2863 (10/1)
cable 1.6400 (22/3) 1.5406 (6/1)
eurgbp 0.8852 (31/3) 0.8283 (7/1)
usdjpy 84.73 (1/4) 76.25(16/3)
eurjpy 119.78 (1/4) 106.81 (16/3)
aud 1.0395 (1/4) 0.9708 (16/3)
euraud 1.4337 (16/3) 1.2930 (7/1)
audjpy 87.59 (1/4) 74.57 (16/3)
usdchf 0.9785 (11/1) 0.8862 (16/3)
eurchf 1.3204 (11/2) 1.2414 (31/1 and 16/3)
usdcad 1.0030 (23/1) 0.9627 (1/4)
nzd 0.7816 (2/2) 0.7120 (16/3)
eursek 9.0321 (16/3) 8.6993 (16/2)
eurnok 7.9715 (28/1) 7.6825 (3/3)
observations....clearly the jpy intervention has been the driver form 16/3 lows to 1/4 highs seen above as the carry trade was given license to print as the speculators were completely flushed out after 16/3 flash crash.... its hard to ever imagine the 16/3 lows will be seen again ... but how haigh can the carry trade go before it buckles under its weight ? who is not long aud, nzd, cad , sek , nok etc??
it definitely feels that a carry bubble is being made as aud makes new highs every day , despite softer economic data . (aud pmi dropped 4 points this week).
-------------------------------------------hi's lows
euribors
jun11 98.92 (3/1) 98.345 (3 and 4 march)
sep 11 98.83 " 98.045 "
dec 11 98.705 " 97.785 "
mar12 98.57 " 97.575 "
jun12 98.40 " 97.375 (3 and 4 march and 1 april)
sep 12 98.175 " 97.19 (1/4)
observations ... there are enough hikes priced in here .... totally and i would go as far as saying we could be seeing the interim bottoming of the european fixed income curve , both short end and long end ...as one GS observer put it : 3 month Sharpe ratio’s above 4 are often indicative of a “micro bubble” in terms of market psychology. Currently European front-end has one of 4.4 for bearish positions indicating such positioning might be vulnerable to even modestly bullish catalysts in the near term.
i toltally concurr ... maybe trichet , after hiking on thursday , disspells market view of continuous hikes ??
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short sterling
jun11 99.13 (3/1) 98.77 (7/2)
sep11 99.00 " 98.49 "
dec11 98.79 " 98.20 "
mar 12 98.55 " 97.87 (15/2)
jun12 98.28 " 97.55 (15/2)
sep12 98.02 (16/3) 97.30 (15/2)
observations : in a holding pattern , awaiting for the 'to hike or not to hike' debate to unfold.... again , i believe a lot priced in , given the fragile economy . commodity inflation , with non rising wages , is demand destructive ... its a portend to a disaster ifrates are hiked aggressively .
a token 'regain our credibility hike' by the BOE has no place in this economy at moment.
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eurodollars
jun11 99.66 (1/4) 99.475 (6/1)
sep11 99.61 (15/3) 99.315 (6/1)
dec11 99.50 (16/3) 99.09 (6/1)
mar 12 99.35 (16/3) 98.825 (6/1)
jun12 99.11 (16/3) 98.45 (6/1)
sep12 98.82 (16/3 ) 98.09 (16/2)
observations : totally slave to feds QE2 and if it will end on or before june .. we see all the differing opinions between the hawks and the doves out recently. my view is it goes on till june , then end .... i think the us rate curve is massively underpriced , relative to europe and uk , so there is a call by me that we are close to big turn in the rate differentials between the us and all europe . close could mean a week or a couple of months....but not more. this ties in with my view of carry trade being in danger and european yield curve too high .
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1y eurusd -146 pips (1/4) -23 pips (3/1) .....
1y usdjpy -52 pips (5/1) -37 pips (3/1)
1y cable -124 pips (23/2) -67 pips (3/1)
observations .... from above , it is clear my view is that forward eurusd and forward cable go back to right eventually and hard .. and forward jpy to left ....