• We are now starting to see some things in the economy that we have never seen before:

    Last week, I mentioned some potentially widespread examples of wage declines in particular industries. I think in the past […]

  • Gundlach and Dalio were out last week saying that rates have more to climb.  I agree in the longer term (I think ten year yields are more likely to make new highs than new lows), but I’m not sure about di […]

  • I haven’t been very active the past few weeks – mostly because I have been trying to make sense of how the markets could possibly be flattening when all things have been pointing to a massive steepening: (1) The […]

  • One of the by-products of having so many economists (and central bankers) in ivory towers is that they operate under the implicit assumption that if it’s not measurable, it doesn’t exist.  The nice thing abou […]

  • The next few weeks should be very interesting in fixed income.  On one side, we have the seemingly unstoppable force of the flattening yield curve.  On the other side, we have what looks like a Fed that wants to t […]

  • “Know Your Enemy”
    – Sun Tzu & Green Day

    On Friday, we got a 2bp flattening in EDH8-H0.  As mentioned in a previous CA, there is a tendency for the curve to flatten a few days going into the Fed meeti […]

  • I think of value on the curve in two ways: (1) bottom-up, and (2) top-down.  Bottom-up would be looking at a small piece of the curve and thinking about the value there, whether it’s a particular Fed meeting, or […]

  • As I was watching equities make yet new highs last week despite lower stimulus prospects, increased Presidential turmoil, and weaker data (albeit still constructive), I thought about the ETF phenomenon.  I had […]

  • Tens are back near the recent low yields, and Z8-Z0 spread is back near the recent lows.  This is a little surprising, but I suppose the bulls got an assist from Trumpidity.  All other things being equal ( […]

  • [From time to time, I will post trade-related commentary from the web site.  The EDM7-FF spread collapsed the following week and this trade thought has resulted in one profitable trade and the second order effect […]

  • I thought it was interesting that the June meeting was about 80% priced with over 5 weeks to go.  I think the Fed is hiking in June as much as the next guy.  But that’s a lot of time to go – we could get unfav […]

  • The big story on the curve last week was the collapse of the ED-FF spread.  I had been saying for a while now (as recently as the last CA) that EDM7-FF seemed strangely high to the rest of the ED-FF curve.  That f […]

  • * We don’t want to get too crazy with the front libor, since we have no competitive advantage trying to predict where libor is going to fix.

    * Before you leg, think about: (1) what fits your view, (2) what fits your book, (3) have alternatives in case the leg moves, and (4) consider if you whiff. Depending on the strength of the above, you need…[Read more]

  • * We don’t want to get too crazy with the front libor, since we have no competitive advantage trying to predict where libor is going to fix.

    * It’s not advisable to hold a [rangebound] trade until it gets to the top of the range (unless you have a strong view), since presumably you would want to sell if it got to the top. You are generally l…[Read more]

  • I am beta testing a limited client chat as an additional service for Premium subscribers. We discuss everything from positioning, to analytics, to set-up, to risk management, to trades that look leggable, to some “finer points” of futures trading, to general trading concepts. I thought I would start by posting some of the more general commentary…[Read more]

  • I am beta testing a limited client chat as an additional service for Premium subscribers. We discuss everything from positioning, to risk management, to trades that look leggable, to some “finer points” of futures trading, to general trading concepts. I thought I would start by posting some of the more general commentary in this thread. As the…[Read more]

  • I am beta testing a limited client chat as an additional service for Premium subscribers. We discuss everything from positioning, to risk management, to trades that look leggable, to some “finer points” of ED trading, to general trading concepts. I thought I would start by posting some of the more general commentary in this thread. As the weeks…[Read more]

  • I think what you meant to say was, “I read an article awhile back saying how the 2 Year Carry spread (2 Year Yield Vs Target FF Rate) represents feds hiking expectations BEFORE the third meeting.” They are basically saying the 2yr “current” yield = expected funds rate at third meeting.

  • I sent out an email a week or two ago that showed Z8-Z0 locally peaking a few days before the FOMC meeting, and sure enough, we flattened strong on Friday afternoon.  Part of it may have been month-end.  The q […]

  • Please see attached for document.

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