FED FUND CONDOR AUG 20-OCT 20 VS NOV 20 - JAN 21
LIBOR OIS SPREAD ED SEP 2020 - FF OCT 2020
When SP500 dividend yield greater than 10 Year US bond yield, stocks, in general, look cheap on a relative basis ... So as the chart suggests, in this current cycle only, when this happed lead to a long period of a recycle bull market for stocks...
Spread b/w variable and fixed rates. As the spread widens, it expresses the propensity for banks to hold excess reserves over lending. During an expansion, the spread generally hovers between +/- 6 bps. During the credit crisis of 2008, the spread expanded wider than 360 bps. Moving into the back half of 2019, it will be critical to keep a close eye on this metric.
August Fed Fund Futures are currently pricing a 27% chance that the Fed will cut by 50 basis points or 0.5% at the end of July. ( The July 31st meeting to be exact). Historically the Fed has only cut interest rates by 0.5% twice before in its entire history. Once in 1999 (we know what was happening then) and once in 2007 (we know what was happening then). ...
FED FUNDS CONDOR AUG19-OCT19 vs NOV19-JAN19 (FFQ2019-FFV2019)*100-(FFX2019-FFF2020)*100
LIBOR-OIS Spread between March19 - December19 ((FFN2019-QEDM2019)-(FFF2020-QEDZ2019))*100
short usd above level 97.2950 long usd below 97.2350
Fed funds flopped back under 20% implied probability for a september hike following Fed Kaplans comments. In reality the spike higher in early US trading was largely uncalled for with Rosengrens comments not much of a real impetus for long term stability. As previously mentioned USD trading is likely to remain choppy, im opting to buy yen and short SPX and keep...
Fed Funds Rallied up from 18% to 33% on the day with Fed rosengrens hawkish comments the only likely impetus. Imo DXY here at 95 mid has an easy 50bps of topside left in it if rates can hold here at 33%, UST also seen higher across the board with the bench mark 10y yield breaking pre-brexit levels. Long DXY, and shorting $yen on rallies is the way I intend on...
The Fed's statement was simply 'in-line', but that is in-line with a distinctive hawkish view (calling for 2 rate hikes in 2015) from its previous meeting. For most intents and purposes, that is hawkish and thereby Dollar bullish (risk/SPX bearish). Yet, the market remains purposefully aloof. Fed Funds futures are showing liftoff is not 100% expected until the...
Despite Yellen's remarks Friday reinforcing the views that were offered up at the policy meeting in June - that notably maintained a forecast for 50 bps worth of hikes before the year is out - the market is still very doubtful. Here we have Fed Fund futures which project rate expectations. Subtract the contract value from 100 to come to the rate forecast....