• Nick replied to the topic Interpreting STIR prices in the forum Main Forum 1 month, 3 weeks ago

    OK Thanks for the explanation. I’ll re-read the constant maturity threads for a refresher 🙂

  • Apologies for the delay in replying. When I referred to the “rate implied by ED12”, I just meant
    rate = 100 – ED12
    But the “ED12” I used was a constant maturity generic 12th quarterly ED contract. Constant maturity contracts ensure that you are comparing apples to apples in terms of the maturity that each ED contract is expressing. For…[Read more]

  • I ran across this chart yesterday (a retweeet from 13D Research and Bloomberg), and I thought it was interesting because we had some unusual price action Friday.  Normally, when equities drop almost 1%, you would […]

  • For many years post-recession, the Fed Funds curve was dead.  Then as whispers of Fed policy normalization came around, the Fed Funds within 6 months started to come alive.  Then the Fed Funds within one year w […]

  • The markets are difficult to trade directionally with the markets whipping around on trade tariff headlines.  We have no significant competitive advantage in trying to guess the outcome.  There are a lot of p […]

  • Hi Joseph,

    I assume this is the best thread for this question – although different from the previous…

    Re-reading the first CME paper you wrote, in the section Example of Nonlinearity, Note 5 you state you implied the rate from ED12. How do you do this? I assume you mean (forward) LIBOR, otherwise you would just look at Fed Funds futures and…[Read more]

  • We could see extremely interesting price action this quarter.  There are a number of catalysts we had been anticipating in Q2.  Let’s look for opportunities in the next week or two in the following areas:

    Eq […]

  • One of my former colleagues at JPM was a rocket scientist – literally.  We once discussed how for some corrective system models, you can have a situation where you overshoot before eventually settling to the eq […]

  • There are so many wacky things going on with Eurodollar futures, from libor blowing out to Kong buying EDZ8-Z9 in unprecedented sizes, that it’s hard to get a good handle on what is going on with short end i […]

  • The two big stories this year are: (1) Libor increasing and (2) Kong buying EDZ8-Z9.  These two factors have had a negative impact on the back of the whites.  Kong has also had a negative impact on the steepness o […]

  • How things can change in a week!  A number of the things I mentioned last week are starting to normalize.  Apparently, I don’t live in Bizzaro World after all!

    The libor fixing stabilized. It’s only been […]

  • There are a bunch of strange things going on in the front of the curve (next 12 months).  It’s been a really long time since I’ve seen so many unusual cross-currents go through at the same time:

    The libo […]

  • It has been many years since I’ve seen flows this aggressive and wacky on the US rates curve.  It appears King Kong (the EDZ8-Z9 buyer) likes to try and pound square pegs into round holes.  The curve has wan […]

  • I’m not one of those people constantly calling for an equity correction.  Last year, when everyone was on the “October crash” bandwagon, I said while this was possible, that seemed liked a crowded trade and that t […]

  • Long time readers will know this story, but when I went through the (JPM) Chase two-week trading simulation, I just crushed it.  I had been playing strategy games and video games all my life.  So making markets a […]

  • I’m not claiming to be any kind of Bitcoin expert.  I don’t know much… after all, I’ve been trapped in a block of ice all these years[1].  In particular, I have no idea how Bitcoin (or equivalent) can be considere […]

  • I generally don’t like writing about the same topic on consecutive weeks, but in this case, I have to make an exception.  Consider how much the Open Interest has increased in the Z contracts since the end of 20 […]

  • I’m a big believer in adjusting to what the markets give you.  One of the ways we may get some relative value trading opportunities is when we see large flows that distort the curve.  The premise would be that the […]

  • bambam replied to the topic Oh Canada (BAX) in the forum Main Forum 5 months, 1 week ago

    So we rolled,

    H8 is now BAX1 and last we spoke what now is F1 was F2.
    BoC didn’t raise rates in December waiting for the fed to move forward, the fed remained steady with a hike that was 98% priced into the meeting.

    Since then we had an amazing jobs number, and today we read confidence across the headlines.

    Results of the Winter 2017–18 S…[Read more]

  • For the New Year, let’s go back to the basics and see what the markets are pricing in for the FOMC in 2018.  The most common refrain I hear is “three hikes in 2018.”  I can see that.  There appears to be more “sm […]

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