• Curve Advisor wrote a new post, Scenarios 4 weeks ago

    Whenever I have a hard time with macro views because of news uncertainty, I like thinking about scenarios.  Most people think only about the current yield curve, but you can also look at the conditional yield […]

  • Some of the FOMC members have been saying they don’t want to invert the yield curve, but sections of the ED yield curve have already inverted.  For the past few weeks, EDH0-H1 spread through EDZ0-Z1 has been ne […]

  • After a number of snoozer central bank meetings, we had several surprises from the Fed and ECB.  These surprises have caused a number of minor regime changes on how some local parts of the ED and ER curves should […]

  • Next week’s Fed meeting could be important to gauge their thinking in the midst of various uncertainties – trade (tariffs) and the effect of the recent tax stimulus.  Here are some things I’ll be looking for fr […]

  • Every now and then, we’ll have Game Night with some good friends of ours.  One friend works at one of the largest companies in the US, and the other works in a small multinational firm.  Usually we’ll have an ho […]

  • I was amazed that FFV8 sold off as much as it did, but I am equally amazed that it rallied 8bps last week off of the Fed minutes.  I had been telling clients for weeks that the Fed Funds were too cheap – both fr […]

  • You’ve heard me talk about Kong (the EDZ8-Z9 buyer) for most of the year.  I’m not sure if I’ve seen too many of the Planet of the Apes movies, but I seem to be seeing signs of large market participants all over t […]

  • Have you ever seen that online ad, where they show you a bunch of fruit in a series of math problems, and you have to figure out what the value of each fruit is?  That’s exactly what I thought of when I looked at […]

  • The outlook for the economy and Fed policy had been a little murky the past few weeks.  A number of things are starting to become clearer, from the Fed, data and news last week:

    The bar for the Fed being […]

  • I was talking to someone at a dinner party and they asked me what I thought of yields, now that we went over 3% in tens last week.  For someone who looks at the yield curve all day, I have no strong conviction on […]

  • 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 […]

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