Pro Macro: In Focus – Survey Results & More

Published on: February 14th, 2023

The optimism over Fed pivots has receded materially since peak euphoria post FOMC. Payrolls put paid to that. Our survey coincided with some of that turbulence but is nevertheless a valuable point of reference for those of us who like to track survey and flow metrics. Snapshots, interpretation, and trading review below.

Comments

  • RP
    Raoul P. | Founder
    14 February 2023 @ 23:29
    4 0
    Love this idea. I think there might be a way to do it more often and in a formalized way.
  • JL
    John L.
    15 February 2023 @ 01:47
    1 0
    Has silver trade not stopped out? Guidance was sub 22 - its been there for a few days now
    • HM
      Harry M. | Real Vision
      15 February 2023 @ 13:53
      0 0
      Yes, it stopped out.
    • JL
      John L.
      15 February 2023 @ 11:37
      0 0
      actually he said in the video that it stopped out
    • LL
      Ludovico L.
      15 February 2023 @ 09:53
      0 0
      I think JB uses a weekly close as a stop and technically silver closed the week at 22.13 or thereabouts
  • MK
    Muhannad K.
    15 February 2023 @ 11:09
    2 0
    I am not a very sophisticated investor, and I'm trying to follow the recommendation of Julian on buying SFZR3 and or 4 on interactive brokers, and I'm not really sure how you can buy that as well as EWP/SPY. Is there a way someone can explain how to do this trade
    • LH
      Luis H.
      16 February 2023 @ 22:27
      0 0
      Hi Harry, Peter’s instructions were very clear, although probably imply more work than is needed. I understood that there is a easier way around using spreads, but I could not follow your instructions. The closest I got was to quote a spread to sell SR3Z3 and buy SR3Z4 . Can you please be a little more detailed? I’m sure a lot of people will appreciate.
    • HM
      Harry M. | Real Vision
      16 February 2023 @ 12:47
      0 0
      Wow. I struggle to use IB on my phone. Far too complicated for me. But otherwise exactly. You can find spreads quoted on IB for this is you click on the "more spreads". Best to do this as a spread and not as two independent legs unless you fancy trying to leg into it. I hate legging things. Im just not very good at it.
    • PC
      Peter C.
      15 February 2023 @ 19:36
      5 0
      Hi Muhannad, I spent a while figuring this out. What you need to put in on Interacative Brokers is the letters SOFR after selecting Buy on your phone for example, and you should see in the choices SOFR3 CME, click on this, and you will see 47 different contracts for SOFR3, you will want to scroll down to the second December on the list and that should be the December 2023 contract, that is the one to buy. Similarly repeat and choose the third December, that will be the December 2024 contract that is the one to short or sell, in a separate transaction. The stops and the goals are simply from subtracting the price of one from the other. With buying EWP and shorting SPY those are simply ETFs, one you buy, and sell or short an equal amount of SPY in dollars (not shares as one is ten times more expensive than the other). I hope this helps. By the way in future contacts each month has an abbreviation and Z is the abbreviation for December. You can educate yourself about this by going to the CME website. They have some video tutorials you can take, but I was able to find out what I needed by just clicking around for a few hours. Peter C.
  • B
    Brandon .
    15 February 2023 @ 17:20
    0 0
    Do you have the correlation to 2s/5s steeps ?
  • JL
    J L.
    15 February 2023 @ 19:31
    0 0
    Does anybody know why the Z contracts of SOFR trade until March and the U contracts trade until DEC? Feels very strange
    • LH
      Luis H.
      16 February 2023 @ 20:02
      0 0
      See Peter’s answer bellow
    • JL
      J L.
      16 February 2023 @ 12:03
      0 0
      Thanks John, I wonder if Harry can clarify that this has been taken into account as the report says the trade would benefit of going into autumn and in this case the U contract might also do it?
    • JM
      John M.
      15 February 2023 @ 22:59
      1 0
      believe it is an average of rates between December and March
  • JM
    John M.
    15 February 2023 @ 22:55
    2 0
    Just to be clear, is 'SFRZ3' referring to the 3 month average contract (SOFR3) that would end in March 24, i.e. SOFR3 Mar20'24?
    • JM
      John M.
      23 February 2023 @ 18:46
      0 0
      Any thoughts on why the SFR contracts seem to be deviating from the ZQZ contracts here?
    • HM
      Harry M. | Real Vision
      17 February 2023 @ 19:28
      1 0
      So, sorry. Last one was an error. Was staring at the Sept Contract. So what I wrote was in error! The valuation date for the Dec contract is March 20th 2024. The last trade is March 19th 2024. Cash settled.
    • HM
      Harry M. | Real Vision
      17 February 2023 @ 19:26
      1 0
      So to be clear, I think of it as a three month interest rate as quoted on the valuation date which is Wednesday 12th Dec 2023. Thats the 3 month SOFR rate on which this contract will be evaluated for settlement. It is cash settled.
    • HM
      Harry M. | Real Vision
      17 February 2023 @ 19:17
      1 0
      Yes. The December 2023 SOFR contract. This webpage provides most of the necessary detail. https://www.cmegroup.com/markets/interest-rates/stirs/three-month-sofr.html
  • YL
    Yves L.
    16 February 2023 @ 14:52
    0 0
    Is the contingent trade for TLT at 101 still valid given the recent inflation prints?
    • JL
      J L.
      16 February 2023 @ 23:18
      1 0
      TLT stopped out on a raised stop, forget the contingent entry
  • JM
    Jake M.
    16 February 2023 @ 17:18
    1 0
    should we be getting out of TLT trade? https://twitter.com/JulianMI2/status/1626238913236062208
    • HM
      Harry M. | Real Vision
      18 February 2023 @ 20:21
      0 0
      If you are trading on JB advice, then you should be out because it hit the stop.
  • YC
    Yi C.
    13 March 2023 @ 19:03
    0 0
    Who else got stopped out of the SOFR spread trade before it hitting the target and beyond 2 days later?? This is a classic liquidity hunt at the stop loss.