Most fixed income markets still have bullish conditions (anchors) so we can set up trades between leaders and laggards. Bunds took off last week as all stock markets pulled back but JGB’s have not kept up: Sell Bunds and...
Read MoreI mentioned a few days ago that the British Pound’s anchor trends had turned neutral and the BP was “cheap”. After only two days it turned rich: In the meantime the trend turned bullish on the C$ and it was...
Read MoreFor a long time the currencies have had double anchor declines. That condition has prevented outright buy signals so we have had to either create spread trades or stick to shorting markets when they get rich. The recent action...
Read MoreI use a model to study the Euro- Yen cross that is very similar to the one I have shown for the S&P 500. It accounts for both a trend component and its limited tendency to mean revert. Needless to say the Euro has been in a...
Read MoreJapanese government bonds are rich, Bunds and Gilts are neutral but the Dollar zone is cheap. CGB’s, US 5’s and 30’s were cheap as of Sunday night due to the punishment they received on Friday. Here’s the...
Read MoreYes I know I am really a “macro” analyst who seeks out “risk-arb” type trades but… I also have done my share of work on the S&P 500 contract. The system was finished a long time ago so...
Read MoreThe C$ has weakened against its primary anchor while the A$ has gotten rich. That sets up cross trade. Here are the 2 charts: and the A$: Both currencies have neutral anchor trends so this cross trade is driven entirely by...
Read MoreWith all this volatility I need to post a table of current conditions across all the “macro” contracts I track: The S&P is in a negative trend both in my long term asset mix model and my short term trend...
Read MoreUS 5’s opened up last night in a funk. They oscillate around Eurodollar futures and became cheap at the end of last week. Canadian 10 year futures on the other hand got rich and stayed that way – though they’re...
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