This is a reference to show the correct values for this spread.
I did not post a gamma update, because not much changed and that is pretty perplexing in itself. In general the markets do not want to stay in negative gamma territory and they typically do not get pinned at "put barriers". Or to think about it from another angle: Volatility does not like to move sideways on an elevated level. It's natural tendency is to shoot up...
Markets starting to price in a hike in April. Markets were not prepared for that.
The main story of the quarter was certainly the realization that inflation is not transitory as claimed for months by the Fed and other central banks, and the final acknowledgement of their own ignorance in recent weeks. The fed funds future markets now clearly price in a hike for May and I am wondering if the stock market is maybe similarly behind the curve...
The odds for a hike in May are now higher than at any other point since the FOMC statement. The attached graph is inverting the Federal Fund Rate Future for May to translate it to the implied federal funds rate five months ahead.
Normalcy bias? Despite inflation accelerating to multi-decade highs year over year Federal Fund Futures are pricing out early Fed hikes. In the case of this chart it is the May contract which is trending downward towards the upper ceiling of the Fed band (0-0,25%). Apparently markets are happy that the headline number missed the street whisper of 7% inflation year...
Even the May contract of the Federal Funds Futures is slowly starting to price in a hike now. Yes, we have a massive short squeeze going on, but this could become a headwind going into the FOMC meeting Dec 15th.
Rate hike odds for June (and across the board) explode again after Powell's comments. Wild swings.
We talk alot about rate hike expectations. While the fed funds future markets have aggressively priced in a rate hike scenario for June over the last days, those expectations have completely collapsed today. The new variant, no matter how game changing it really is, will give the Fed certainly much more wiggle room to delay any hikes. So despite the patellar...
Powell is the old and new king and markets now increasingly price in a rate hike for June (see Chart). Enjoy the year end rally, but brace for a potentially high vol environment next year.
Im reposting this chart because it still perplexes me. Unmich inflation expectations just posted minutes ago at 4.9%, and markets still refuse to play a clear yield hike scenario? The crazy thing is that the markets could be right, especially if Brainard takes over. Consider "Build Back Better" and infrastructure deal have not even hit supply chains.. Good times ahead!
US-Senator Manchin just said minutes ago that we can not longer ignore the economic pain of inflation and todays print was another reminder that "team transitory's" credibility is eroding fast. But well, what do the markets think the Fed will do? I took the Federal Funds Future for June (the date at which a majority of market participants see the first rate...
u.s FED fund futures pricing a negative rate by december 2020. and deepens lower at -0.020%
We will see what happens at the March 18 FOMC but it looks like we are racing back to 0-0.25% after the tightening that helped carve out the late '18 lows.
Interesting to see this move in advance of Fed and other central bank cuts.
I wonder what this means? It definitely correlates to the current state of the markets in the US. Are we due for a recession? Wide spread on the EMA ribbon suggests a reversal, as we may approach a ceiling at about 100...