you still short vega?

Cable Update (GBPUSD)

TL;DR if you're serious, ignoring interest rates is possibly the most dangerous thing possible... look at these charts and tell me rates dont matter? in each case purple = interest rate, yellow = currency. in each case, yes. there are times when ...

EURUSD

the 2yr rate spread is not a golden tool... but interest rates are the key for any currency move. its just which interest rate... that chart you post is poorly scaled... and disguises the relationship a lot (my chart is better, and shows that while ...

EURUSD

Now up to 20 people on the mailing list! The more the better guys, just msg me

Cross Market Analysis

the modelling is not complicated, just need both time series then regress them... maybe adding a few filter variables too. but yeh, the idea is that they will always tend to each other.

EURUSD

its the implied annual deposit rate as calculated from a 2Y GBPUSD forward swap. And its not been modelled to a fair value, so you can only use as a directional indicator. i.e. are they going the same way?

EURUSD

Nothing else really matters for the AUD today... wherever the US 10 year yield goes, so does the AUD (inverted) check out my thread if you havent already - url

AUD/USD

US 10 year yield broke firmly through 2.60 earlier, dragging the USD down with it... Goldman and Morgan stanley both saying huge bids down at 101.50 getting more interesting...

Cross Market Analysis

G10 FX 1 month implied volatility is picking up, now off the lows by about 0.5 vol points In reality, one would expect to see the USD supported, but remember this is just "implied" or expected vol. For the USD to pick up, we need to see "actual" vol ...

Cross Market Analysis

yes, if the ECB were to hike rates then I'd be completely wrong. But I don't think it is very likely. Chart shows the 1y interest rates 1y forward from now... EUR rates (green) heading lower each day as the ECB eases. GBP higher as economy ...

EURUSD

GBP dip has been bought as expected, just an odd number, don't read too much into it... The longs aren't going to shake that easy. 2yr rate spreads (implied depos) stand at 64bps from 67bps, implying a GBPUSD closer to 1.70. However I think peeps ...

Cross Market Analysis

A) the -2.8% is real gdp, so its not -4.8% because the way its calculated is chain weighted. B) I don't want to appear rude in anyway, but that is plain wrong. Those relative GDPs mean nothing with regard to the 1.7x ratio between $ and £ What those ...

EURUSD

having read over that... I feel you have misinterpreted UBS' report. A) GDP is chain weighted (so whenever we see a GDP print it is a real GDP print...), the US has had real growth over the past 20 years. B) common misconception regarding QE / USD ...

EURUSD

Care to explain?

EURUSD

perfectly true, getting long risk here is akin to getting short volatility right now. For sure it might work for a bit (plus you get a yield for being short vol) but frankly, there will be a blowout eventually (as there always is) so it is just not ...

NZD/USD

I dont get what you mean? lower inflation boosts real yields, and combined with stronger growth, there would likely be upward pressures on domestic nominal interest rates. These are clearly bullish factors for a currency... Do you not think that ...

EURUSD

I wouldn't say the Fed is the most dovish, probably one of the most hawkish... Also, US labour market is very strong, we are fast approaching the NAIRU and we're likely going to see some wage pressures filter through as we push sub 6% unr. I think ...

NZD/USD

Interesting EURUSD piece from UBS yesterday, worth a read I would say regardless of your opinions of banks. (anyone want access to this stuff, just msg me and I'll put you on my mailing list)

EURUSD

Morning guys - UK IP number awful people I've spoken too are unsure how to react, market clearly lower on the shock. But most people think its an anomaly for UK data. Still quite high to buy the GBP, but on the rates side, a dip like this is quite ...

Cable Update (GBPUSD)

Bank of America spot desk notes Unicredit notes RBS sterling weekly note

Cross Market Analysis