Thread: Cross Market Analysis

Hello!

Intro to myself, I'm a egist (Macro, rates FX) in a bank in London and now I Must operate under a pseudonym. Additionally, I can not mention exactly what bank it's for lawful reason (unless someone is really keen on knowing )

I can comment and discuss anything worth talking about (compliance has loosened a little concerning anonymous activities related to work, which is nice).

Launched as a rates trader for EUR and GBP swaps, now am a egist. (pic is away from my desk as a trader... s have far fewer gadgets and screens )

A few things first, This thread will be an interesting discussion from a macro perspective on largely FX (therefore thread region ) but additionally Rates/Volatility (thus the name )

Something I can provide is being added to my mailing list for Bank study, entirely free of course. I visit websites charging for accessibility and I hate it, so if you would like bank research only ask me and msg me your email

I am hoping this thread can become something worth while, but lets see.

Anybody is welcome to comment, simply no hate or anything!

*few edits in here to clear up some question I've had

So a few charts that I'm seeing at the moment

1st is EURUSD vs 1Y implied yield. Recent movements have caused the market (not just 1Y, but fwd starters and x-ccy bs to expand from the USD's favour as revealed )

This is nominal yield, and doesn't show the entire picture as USD inflation swaps are bid last few weeks. But worthy of notice.

Not at all suggesting EUR$ down trades to 1.27, just that the price action divergence is rather something...

A bullish go-to chart to your AUDUSD is that of considering it as a EM proxy or a risk proxy (that are substantial assumptions)

Chart indicates the AUDUSD versus the CDX emerging market - IG 5 year CDS spread. (any people exchange credit here?)

Quite simply, the risk premia of the emerging markets over safety

Generally connected nicely with the AUDUSD, however so far this season has pushed quite a bit higher (well tighter, but scale is inverted) its own 180 versus 260.

I could produce 10, both bearish AUD charts, to even it out, but its interesting nonetheless

And as mentioned in the intro bit, anybody wanting sell-side comment and notes, only ask...

I will try and upload a sample here - BAML econ, Credit suisse techs, BNPP per week Fx, Goldman Sachs technicals

I have a mailing list so no problem if anyone wishes to join

The stuff I ship out is Interest rates / Equity / FX / Commodities and economic bits. As well as desk opinion.
https://www.forexforum.co.za/attachm...1267184547.pdf
https://www.forexforum.co.za/attachm...1860808324.pdf
https://www.forexforum.co.za/attachm...9406081707.pdf

EURUSD pin risk this week, 5.5bn or so DTCC listed alternatives going off in 1.36 this week

selling 1W strangles could be good (not delta hedged) even though provide vol is sub 4

NZD valuing can be challenging... but I like this chart a lot!

Its 1Y carry/vol

Currently at decade highs, largely because the denominator (volatility) is extremely low, but likewise the numerator (carry) is rising.

Hence meteoric rise YTD

no doubt has led to the 8.9% increase as well YTD

Nice.

Goldman and Citi FX desks traders notes to the day

edit* along with morgan stanley's and commerzbank
https://www.forexforum.co.za/attachm...2241926665.pdf
https://www.forexforum.co.za/attachm...1918702265.pdf
https://www.forexforum.co.za/attachm...7690801995.pdf
https://www.forexforum.co.za/attachm...1799414997.pdf

Evaluation

From BNP Paribas GBP trading desk:

While long GBP is the right commerce, there is a considerable vulnerability at any weak information .Or if the trimming program comes into question

I'm inclined to agree... GBP vs 3 month 25D RRs, placement quite lengthy (on a Z-score basis) and any weakness could visit GBP fall quite hard (in these days thats like 2% lol)