My monthly charts 28/09/2014

Context. All futures products only
As we move to the end of QE its quite useful to see the impact it has had on the big picture in order to get a feel what the future brings.


Dollar Index

S&P

Gold

Comex Copper

The Ice Arabica Coffee   

Soybean

Wheat 

WTI   

Brent Crude

Rbob

Ftse

Stoxx

14/09/2014

US 10yr

Geo politics taking a back seat, despite some poor data out last week (+nfp week before) US long end now starting reflect the slightly hawkish sentiment. 

10yr 240min

Long term momentum clearly down, after the recent big move last week I wont be surprised if we have a little sideways action for Monday.

10yr 30min

Bund 240min

Following the US lower.

Bund 30 min

€ Curve

Barring some escalation in Geopolitical tensions I'll be looking to fade any bond rallies and position for curves to continue steepening. We really are a t lowest rates now apparently so all there is to do is speculate on UK & US rate hikes.......Until a week before the next ECB meet. We'll be into cutting fractions of a basis point. Some consolidation and a drift in bunds back up to 148.20's would be useful to start getting steeps on.

€ teds

Trend is steady higher, so passive on shorting upticks whilst aggressive to get out. Look to run longs for a bit more. Along with the steeper curve narrative shorter dated bor longs v bonds might offer up good value but that doesn't mean I'm indiscriminate buyer. Still need value just in case of an event that encourages ted collapse. It does happen every now and then.

Plenty of data this week. 

Be Lucky

L

Transfer deadline day is over.

Despite a few minor attempts by the squawks to convince us WW3 was happening, the markets behaved like a lethargic teenager and tried to stay under the duvet all day.
Whilst all in the US shook off Labor day hangovers the markets moved sideways. Schatz and Bobl did creep a little higher versus the bund under growing weight of bank analysts suggestions that 10 Bp cut could be on the cards this week for the ECB.

Bund 30min

Bobl 30min

Schatz 30min

€curve
Despite the slight crawl higher over the past couple of days the momentum on the long term trend flattening is still intact.

 

 

Since Fridays Eurex close the US 10 year is off ~6 ticks,

10 year 30min

 

So with a wet finger in the air bunds could open anywhere between 44 to 50.

 

€teds

So with Schatz and Bobl showing minor strength yesterday we witnessed some pull back in teds from the mid august uptrend.

 

 

 

Todays data    http://www.fxstreet.com/economic-calendar/

 

Good luck

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Pinch punch first day of the month....Labor day so lets get the EU open over with and find something more constructive to do with our day!

 

Bund Daily

 

 

All eyes on Thursday ECB, 10 bp cut? QE or not QE? If QE WTF QE? All fun and games. Smart people at banks tell us that markets haven't fully priced in the rate cut idea just now...Maybe they are just peeved they paid 88/89 in the Schatz on stop last Monday. Anyway,German GDP and some EU manufacturing PMI's to watch for this morning.

 

Bund 30 min. Nothing escalated at the weekend so a bit of event risk could be taken off the table...Or the fact it maintained strong uptrend could mean we test higher in early end of summer thinness. Or with ECB on the horizon some flattening profit could be realised. Momentum clearly to the upside long term & intraday. A break of 151.26 area may see that change but whilst the Middle east RUS/UKR things simmer the likely hood big time selling remains very remote

 

€ curve Late Schatz buying Friday minor steep move against a back drop of significant flattening.

€ teds

Good luck
L

29/08/2014

For all intents and purposes Russia has invaded Ukraine. As if we needed any reason to buy Bunds already!
Overnight US 10s are unchanged as they look for bunds for directional lead just now. So 71ish open in bunds striking target for new hi's early doors.
Daily bund chart

I don't see any reason to go short until we see a parabolic panic buying spree. That's said the current Geopolitical drive has also meant that bunds are starting to outperform European peripheral bonds. So if the Russia/Ukraine issue doesn't intensify there could be value in fading this rally against BTP's or OAT's. Any ECB extra stimulus in the near future is likely to encourage tightening in those spreads.

BTP-Bund 30min

 

OAT-Bund 30min

 

€ curve

 

Schatz/Bobl spread appears uninterested and range bound as the Flight to quality long end grab continues. Maybe both of these have found satisfactory yield levels until tightening policy appears on the horizon.

 

€ ted

 

 

 

All eyes on EUR CPI this morning

 

Good luck

L

 

28/08/2014

Good morning,

Steady continuation of the theme going on all day yesterday. Bull flattening in the European curve as the market positions for new stimulus package from Draghi.
The afternoon did see minor respite when sources suggested that ECB action was unlikely to come next week, outcome depends on August inflation data. Roll on tomorrow CPI!
Before then we have an abundance of European data to contend with this morning.

€ curve

I think its still a case of trend is your friend (data dependant) coming into  month end extension and another long weekend upon us odds of a turn in the curve are slim.

Click here for a full list of the economic data
http://www.fxstreet.com/economic-calendar/

Bund 30min

 

Tya 30min

Up 3.5 since Eurex close so anticipate bunds opening around 151.38.

 

€teds

 

 

 

 

Good luck

L

 

 

 

27/08/2014

US tens have drifted off of lows overnight so I expect bunds to open around the 151.00 area, which means we wont be far from this weeks 151.09 hi.
Off the Eurex open is Gfk Consumer confidence and EUR import price index. Nothing too market impacting...Confidence is not high and there is growing sentiment that extra EUR stimulus is on the way.
After the bank holiday stop ups in European fixed income yesterday saw a minor consolidation. I expect we will see any downside brief and shallow this week as we prepare for the summer to end and get back to real volumes and activity for September.
Big question for us is - How will Draghi's asset purchase plan work???

EU curve. Only one direction(sorry)

Large stops in Schatz on Monday could have given you an opportunity to sell 2s5s...Its the one curve trade not on all time lows as Bobl appears to lack the upwards vigour of bunds and Schatz. In general tho I see these curves only continue to flatten. Although BTP's and OAT's
 may offer better value than bunds to buy.
 BTP-BUND spread

Teds
In keeping with strong stuimulus view the teds to continue to look strong. Look for stops in the bonds to give value in buying ted dips.....That said Euribor trading is drying up not much 2 way flow. So patience will be important.

Good luck
L