Know Your Enemy

“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 [...]

By | June 11th, 2017|Categories: Economy|

Conditional Curve Shape

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 [...]

By | June 4th, 2017|Categories: Basics|

ETF WTF

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 mentioned ETFs casually [...]

By | May 28th, 2017|Categories: Economy|

Fed vs the Markets

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 [...]

By | May 21st, 2017|Categories: Economy|

The Collapse of EDM7-FF Spread

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 [...]

By | May 14th, 2017|Categories: Positioning|

ED-FF Spread

[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 [...]

By | May 8th, 2017|Categories: Featured, Positioning|