Stresses and Strains

Published on: September 21st, 2019

Raoul updates us on his views after the bond market sell-off, and shares his thoughts on the mess that is the funding markets…

Comments

  • AM
    Artur M.
    25 September 2019 @ 11:11
    8000 is a good place to start scale into bitcoin. If we hold 8000 the bull is intact. Below 6000 it gets questionable on medium term.
    • KG
      Kevin G.
      25 September 2019 @ 11:36
      If you treat your position size like an option, then you only have upside with no expiry date...
    • GP
      Geoff P.
      25 September 2019 @ 14:18
      Agree. 6K has huge support. Anyone looking at the new bakkt futures? Seems like a pretty good cross platform product.
    • KG
      Kevin G.
      25 September 2019 @ 14:49
      Personally, I haven't, and probably wont for the foreseeable. I'm holding some in a wallet for now, which i'll just keep there and forget about.
    • AM
      Artur M.
      25 September 2019 @ 20:37
      Thinking about same. Buy few and forget. Came back to read this update from Raoul. My confidence in ED trade is some what low. Didn't think that edz9 could be so low after 2 cuts. We need almost a 50 cut to score on this trade.
    • KG
      Kevin G.
      26 September 2019 @ 07:22
      Why? The fundamentals haven't changed? Depends at what level you bought at...
    • GP
      Geoff P.
      26 September 2019 @ 11:15
      I understand about the ED trade if you're referring to a high R/R payout. The market is pretty much inline with rates moving lower over the next year. There isn't much leverage from here in the 2020s (unless you think rates might go negative). If you're of the opinion that rates are going to move (a lot) soon (edz19 at >98 is fair for 3 mo LIBOR still >2% and EFFR at ~1.9%) the Dec 19 is where the leverage is, but also where the pain is (e.g. you can do a 15/20 to 1 butterfly). There are some decent 5 to 1 call spreads in the 2020 contracts that don't require LIBOR to be <75BPs, but yeah, it's almost as if the leverage is in the good news trades at this point.
    • KG
      Kevin G.
      26 September 2019 @ 11:56
      I'm not sure I 100% follow. Looking at current Eurodollar future quotes, https://www.cmegroup.com/trading/interest-rates/stir/eurodollar.html and target rate probabilities https://www.cmegroup.com/trading/interest-rates/countdown-to-fomc.html I only see a 25bp cut priced in over the next 6-12 months. My time horizon is probably longer than most, but i'm long Dec 2020, Dec 2021 & Dec 2022 futures at 98.45, 98.55 & 98.45 respectively - I see huge upside.
    • GP
      Geoff P.
      26 September 2019 @ 14:12
      Using Dec 2020 as an example. They're currently at 98.53 (implying ~1.47% LIBOR). This would equate to around 1.25% FFR or 50BPs of cuts if you assume LIBOR/OIS stays at 20ish. So let's say they cut 100 or 150, that puts FF at 25 to 50BPs and LIBOR at 50-75BPs again, assuming a normalish spread (the spread could contract but I'm not sure that's a good base case risk forecast). That puts the Dec 2020 ED contract at 99.25-9.5. If you look at the options on that contract that's pretty much the baseline assumption IMHO. So you have $1 upside (yes Fed can go to zero and your payout gets slightly better) and what's your downside? I'm not arguing against Raoul's hypothesis. I agree with it (except perhaps negative rates; not sure our banks will be on board with that and they have too much influence I think). I'm just saying, there isn't a lot of meat there from here for a high conviction high payout trade. This has been an amazing ride to be sure, but what's the game from here? So I sympathize with Artur's confidence somewhat. I will still trade and hold some options contracts till this cycle completes, it just won't be at high conviction size for me as the asymmetry isn't there IMO.
    • AM
      Artur M.
      26 September 2019 @ 20:04
      Guys, finally we got the dollar going higher, DXY. Really hope for Raoul's scenario to play out with forcing the fed to cut very soon. What do you think the boiling point is on DXY? Probably have to pass 100
    • GP
      Geoff P.
      26 September 2019 @ 20:28
      I agree. A clean break of 100 might work. We have this gentle upward sloping fairly tight channel. 100 appears to be right above the top of that channel. Plus 100 is around the twin peaks from 2015 that got taken out on that spike in early 2017 to ~103. These dollar issues are shaping up just like Raoul said. I wonder if Fed cuts alone will alleviate the strength or if this is more a function of negative rates abroad. I think Germany in particular needs a weaker euro. If they open up fiscal spending before the US does and before the Fed gets to zero, they just might get it.
    • KG
      Kevin G.
      27 September 2019 @ 09:38
      Thanks Geoff, understood - I'm less concerned about the spreads than you, so I see the numbers slightly different in my favour. However for the purpose of this discussion lets assume a conservative 1.00-1.25% upside. The probability of this playing out is pretty high. So, lets assume 75-85%, I'm struggling to see other opportunities which present the same opportunity (without the risk of increasing volatility). At these odds i'll take that bet all day, with downside risk being ~0.20% of nominal value. Good discussion!
    • KG
      Kevin G.
      27 September 2019 @ 09:48
      With regards to the Dollar, I'm more interested in the move vs EM FX and how this squeeze plays out, particularly as EM FX continues to make new lows, what this means for EM consumption, and how this spills over into commodity prices. I don't think the DXY tells the full story of the USD if you're using this as your proxy, (obviously considering the EUR weighting). Nevertheless, DXY has been grinding sideways for quite sometime, and this will undoubtedly be another straw which will contribute to breaking the camels back...
    • GP
      Geoff P.
      27 September 2019 @ 11:44
      Thanks for your point of view Kevin. Very reasonable assumptions.
  • TC
    Thomas C.
    22 September 2019 @ 22:32
    Hi Raoul, from a chart perspective I can't see the upside on eurodollar. I can see downside to 97.7 and then more retraces lower. This, in my opinion is best seen from the monthly chart.
    • KG
      Kevin G.
      25 September 2019 @ 11:45
      Fundamentally, the upside is huge on this trade. Technically the same applies - Once it breaks out of the wedge, it's going to 100+ with clear skies above it!
    • CS
      C S.
      25 September 2019 @ 13:58
      There was an intriging comment from Alex Gurevich about Eurodollars being the right part of the curve but wrong asset to own. Can you decipher it? Why would Treasuries be the right asset and Eurodollars be the wrong (or suboptimal) asset, in his opinion? https://twitter.com/agurevich23/status/1176604966716198912
    • GP
      Geoff P.
      25 September 2019 @ 14:12
      It appears most of the angst around the ED trade is a spread blowout like 2008. Adding to that is the uncertainty surrounding the removal of LIBOR in a couple years and the impact on all the LIBOR based rate instruments. If they price on SOFR or a spread to SOFR, recent events make people nervous.
    • KG
      Kevin G.
      25 September 2019 @ 15:04
      I don't know. Only he would be able to answer that. I think all the curve is attractive, but the short end works for me right now. If you think rates are going down, buy Eurodollars! It's as simple as that. The unpredictability surrounding LIBOR shouldn't worry you for this trade - You'll be in and out before any transition to a SOFR rate.
    • AM
      Artur M.
      25 September 2019 @ 20:46
      Sofr is not working well for now. The spread is the problem also FED that won't acknowledge it should cut 12 mth ago. Looks to me like a political play to get rid of Tramp
  • AM
    Artur M.
    22 September 2019 @ 16:41
    2) Continuation. Funding issues and EDZ. EDZ contracts usually suffer form funding issues. This is something I didn't know about ED contracts and understood it first after the fact from some old STIR traders. Let me give you example form 2000. Before the turn of the century and Y2K, trading the “turn” was a pretty big deal. Funding issues could arise going into year end, and money desks actively hedged this risk. In futures markets, this pressure was manifested by relative weakness in December euro$ contracts, as they cover the three month period from mid-December to mid-March. When Y2K occurred, the fear was that code that had only used the last two digits of the century would foul banking, transportation, and all sorts of other services, with no distinction between 1901 and 2001. In any case, the Fed stepped in and guaranteed year-end liquidity to quell impending signs of panic. Since then, the kink with December contracts abated. Until the last couple of years. In the old days, a standard trade was to sell Dec/March three month spreads or sell the Dec LED, which was selling the one-month Dec ‘libor’ contract (no longer in existence) and buy the Dec 3-month contract, because the turn was more concentrated in the one-month period. Now these pressures are apparent again. The thing is this. If FED would fail to add the needed liquidity we could go much, much lower than 98.00 as ED contracts are not 1:1 with UST. In the same way Sovereign debt crisis like Italy defaulting on it's bonds would probably mean higher yields globally and lower value of ED contracts but it's different story. If you invested in futures ZN (UST10Y) in June, you still have about 50% of your profits. I don't see any reason this should go away just don't put all eggs in one basket. I added to EDH contracts instead which are the March contracts. Will probably take some ZN or ZT positions but it's maybe to late now. It could be wise to take some OTM insurance put positons in EDZ9 on Oct run in case FED fails to contain funding crises or take the profits. Paul seams to think 25 is ok while we need 50 to un invert curves. Just my observations. To see the EDZ9 gap to Jan EFF on tradingveiw you can use ZQF2020-GEZ2019 Artur @Ar2go2
    • GP
      Geoff P.
      22 September 2019 @ 19:17
      Thanks for the observations Artur. I'm curious to see if any interbank funding stress (LIBOR) arises from this REPO thing as well. The only time I've seen LIBOR drastically deviate (to the upside) from a precipitously dropping fed funds rate is during 08. I think as long as the Fed provides the liquidity ED/FF ratio will be fine. This doesn't appear to be a credit event like 08, but rather a liquidity event. The big question to me is whether or not the market prices more cuts. LIBOR is about 25bp over EFFR at this point (EFFR jumped over the top range recently but has since settled). If the market believes the Fed and the Fed holds rates here thru 2019, ED will likely suffer. If the Fed is forced to cut for the reasons Raoul outlines above, ED should be a huge winner.
    • AM
      Artur M.
      22 September 2019 @ 20:51
      Here is GS prediction. They see even with one extra cut EDZ9 at 97.85 and the spread 56 pts. https://twitter.com/parrmenidies/status/1175850938629795842 However there will be things happening and I'm in Raoul camp that FED will find its religion. But because of the DEC contract is shorted by STIR traders we have headwinds.
    • GP
      Geoff P.
      23 September 2019 @ 13:03
      Thanks for the GS forecast. The ZQz19 EDz19 spread is 29.5BPs right now. In 2018 this spread ranged from 30-40BPs. It has been in decline the first half of 2019 and dropped to as low as 16BPs in June of this year and has been trending up since. A 50BP cut before year end could see the 98/98.5 spread fully realized even at a 25BP ED premium on the lower bound (not a lot of margin for error as you point out). Interesting call spread appears to be going on right now in ED March contracts (98.5/98.875 for 6 ticks).
  • AB
    Avik B.
    22 September 2019 @ 05:03
    Hey Raoul, how does the FRA-OIS spread factor into Dec ED futures price? Eg. If the Fed cuts 50bps more into year end but FRA-OIS is at 50, does that mean Dec ED futures stay at 98.0?
    • RP
      Raoul P. | Founder
      23 September 2019 @ 12:57
      FRA is not Libor.
  • HK
    Hendrik K.
    22 September 2019 @ 17:35
    Thanks for the Update - quick one: if have not done so far is this a point to entry an ED position now and secondly can you give specifics where you would do as in the past? Many thanks Hendrik
    • RP
      Raoul P. | Founder
      23 September 2019 @ 12:56
      Im already in the trade. For you, you need to choose your own entry and stop loss but I'd look to accumulate a position over the next couple of weeks.
  • MS
    Michael S.
    22 September 2019 @ 17:59
    I wondering about euro dollars and Libor. Are there any knock-on effects from the repo situation that might spill into these in a negative way ? I'm lock step in the recommendation, I just wonder if the surest safest way to play this is long duration (tBonds) and gold, adding back silver. Thanks in advance.
    • RP
      Raoul P. | Founder
      23 September 2019 @ 12:55
      If you are concerned, then just buy 2 year bond futures or options. Im not concerned by ED spreads so much. You can mitigate it by moving out three months to march.
  • DS
    David S.
    22 September 2019 @ 20:51
    Raoul, As pointed out by Andreas Steno Larsen's EU conundrum RV TV dated 9/19/19, Fed's or ECB's QEs or equivalent POMO will result in a higher yield due to inflation expectation. MMT or incumbent policy makers seem to prefer not to US rate going into negative territory as USD is still only Reserve currency, and too lower interest rate will worsen the US fiscal situation. Them there might be limited upside of EDZ0 or lower bound of bond yield. That's what happened during the past two weeks' price fall of ED futures, and fully reflected without no upward movement potential in sight.. What do you think? Looking forward to your reply...
    • RP
      Raoul P. | Founder
      23 September 2019 @ 12:54
      Im not sure I understand. You might be over thinking it. ED's will rally if rates go lower and that is based on growth. QE is not here and should not be a major concern for a while.
  • JW
    Joel W.
    21 September 2019 @ 22:45
    Raoul, thanks very much for the update. I’m happy to have added some to this trade the other day. The Interactive Brokers code is ‘GE’; can anyone explain why everyone doesn’t use the same codes?
    • TC
      Thomas C.
      22 September 2019 @ 22:31
      Gu Raoul, from a chart perspective I can't see the upside on eurodollar. I can see downside to 97.7 and then more retraces lower. This, in my opinion is best seen from the monthly chart.
  • AM
    Artur M.
    22 September 2019 @ 15:31
    1) Thanks Raoul that you took time off from your wedding preparations and gave us an update. Indeed it was very painful correction. I planed to sell some calls for EDZ9 on the high but I was on vacation and just forgot to do it and all the profit was gone on my arrival back to Malta. Anyway I have some important staff to share. First let me add to the importance of October month and specially Oct 31. A lot of stress in Funding of Mkts is due to China. We know from Mr Bass some of the reasons / tricks China was doing. Here is the thing. China to support it's currency is lending USD in forward mkts. October 31 is the tick for the 3 months clock where Big Mamma (CB of China) will have to extend the loan or take a hit on exchange rate, but most probably both as it is expensive to roll it forward. So we could get a jump in the exchange rate at that time as we got it in May and August. Additionally Oct 31 is as well the date for hard brexit. It may or may not happen, I'm not following this topic that extensively but if some of this stuff happens at the same time it will have amplifying effects. And when is the FOMC meeting? Oct 29-30 So together with what Raoul mentioned October will be a focal point in time. Also cyclically the funding use to ease after October which is good for EDZ contracts. Let me continue about funding and ED contracts in next post so not to make this post too long. Artur @Ar2go2
  • GP
    Geoff P.
    22 September 2019 @ 11:58
    Any thoughts on the F downgrade and how the market reaction either confirms or shifts your doom loop hypothesis? Was the market able to absorb that rotation out of IG funds (pensions, etfs, etc.) into HY funds or has the shift not really started yet?
  • am
    alexander m.
    22 September 2019 @ 05:20
    It seems like the TVIX ETN is very cheap considering how much vol could potetntially spike, what do you think about the risks to this ETN. IT seems that the upside downside is very assymetrical? Am i missing any risks, thanks!
  • RM
    Rakesh M.
    22 September 2019 @ 00:01
    for those who can't trade Eurodollar futures (or options) what would be a good alternative/ second best. Any ETF's? or look to express through shorter dated Treasury ETF's (eg. SHY??)
    • RM
      Rakesh M.
      22 September 2019 @ 00:29
      sorry i mean SHV

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