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MM is a London based trader (mostly FX) and details just how out of control the FX situation was today:
Macro Man isn't mentally or physically capable of writing a considered thought piece this morning, because a) the market is too busy b) he is mentally drained and c) his only strong view is a desire to play golf rather than watch this crap.
8.26 am Suffice to say that the authorities are moving in the right direction- the Fed's CP purchase, the UK package- yet the obvious gesture to tip short-term sentiment is still lacking- e.g. rate cuts. And given that this is a sentiment-driven market, the authorities should realize that a little gesture can go a long way. Rate cuts need not be taken back, in the fullness of time, in a "measured" fashion over a "considerable period".
Macro Man's experience this morning has probably been echoed throughout the market- losing trades are decimated, while winners barely budge (the offer price reflects the market call, but the bid price doesn't budge)...so it's been a reaaaaaalllllll fun morning so far. It's tempting to just turn the screens off and play Urban Golf instead. For now, however, it's head down and manage things as best as possible. At this point, it's hard to know if today will be Armageddon, Ragnarok (particularly in Iceland), or even Nirvana should a coordinated response emerge.
Stay tuned, and feel free to chime in with views and war stories.
8.58 am It's the end of the world as we know it. Does anyone feel fine?
9.14 am South Africa's ANC party splits. The first campaign in the worldwide revolution?
9.34 am Something's rotten in Denmark. Lost in the world ending was last night's shocking news that Danmarksbank hiked rates, in a rather emerging-marketesque strategy of introducing a yield premium to defend the currency. This a currency, by the way, that is very closely pegged to the euro and had generated fringe interest from macro punters as a blow-up trade. By focusing attention on their concern over the currency , they may be inviting a more robust speculative attack. Certainly there are now rumours that the ERM peg will be abandoned. Could be a rather spectacular own goal....
Meanwhile, EUR/ISK is quoted 212/285 on the Reuters dealing platform....
10.02 am So now that things are settling down, do we start buying equities in expectation of the coordinated rate cut at 1.15 London time today? Dunno, but having paid up in futures to to hedge some of his equity puts, Macro Man is confident that things can now shank again. Certaibnly new lows in USD/JPY are sending that message.
10.26 am With winter around the corner, Macro Man is growing out his summer "#3 all over" haircut. This prompted Mrs. Macro to observe recently "Man, you're gray". Hardly a surprise, given this market! Fortunately, Sonny Rollins' Live at the Village Vanguard arrived from Amazon last night and went straight onto the iPod this morning. Macro Man can particularly recommend disc 2 of the re-mastered 2 CD set....
10.38 am Carry carnage continues. AUD/JPY is down 6% in the last 45 minutes.
Meanwhile, rumours swirl that the BOE has cut 100 bps and not bothered to tell anyone.
11.24 am No gym today as Macro Man doesn't feel like he can leave th desk. Still, his heart rate is getting a good workout. He bought USD/JPY twice today below current rates (99.40) and yet has lost money both times, such is his unwillingness to warehouse directional FX spot risk for any but the shortest of time frames.
There is a stiff drink somewhere out there that has his name on it this evening....
11.58 am So the Fed and the UK come up with great plans to shore up the banks.....and 3m $ LIBOR fixes 20 bps higher and 3m £ LIBOR fixes unched. Thanks for playing.....
12.02 pm BOOM! Coordinated cuts! Macro Man now has a long equity delta.
12.45 pm Well, 45 minutes into the brave new world, risk assets have firmed....but I have to say, it's a slightly disappointing reaction. Macro Man is up on the day, but has probably cost himself 15-20 bps of portfolio P/L with his misadventures in foreign exchange day-trading.
Still...he would have expected a somewhat better return on his equity book from trading his long gamma position; it probably would have helped if he hadn't have sold out some of his futures hedge at 11.57 this morning after the fixings hit the tape.
Still, it could be worse. Quote of the day from the chap next to me: "I've spent the last four days chained to my desk from 7 am to 10 pm because I'm short stocks....and the f***ing cut rates when I'm off the desk making a cup of coffee."
1.05 Someone forgot to tell the Brazilians that it's party time for risk assets. USD/BRL trades up to 2.44 (+5.75%) 5 minutes after the BMF opening. OUCH!
1.27 pm USD/MXN up 6.5% today to an all-time high of 13.15. Last week, Macro Man closed a small long at 11.00. This market ain't fixed by a long shot.
1.41 USD/MXN now 13.85. This isn't a black swan so much as a flock, or whatever a group on swans is called.
What's the f***ing point of Brazil, Mexico, Korea et al accruing all these reserves if they aren't there to stabilize things when it all goes tits up? This isn't about bailing out carry traders- they deserve what they get in this, and Macro Man hasn't got any horse in this race. But for the Latams in particular, why piss away a decade's worth of inflation-fighting credibility in the span of about a week by not at least trying to aggressively stem the market?
Equities are now careening back towards their lows of the day.
This is scary.
2.19 Do the Latam CBs read MM? Stories now circulating of onshore spot market intervention in Brazil, while Banxico also reported to be selling $/MXN. The latter is down roughly 1 peso from its highs.
2.45 13.00 offered USD/MXN. Holy shit.
15.00 Lunch at last. Here's everything you need to know about today: September 2009 eurodollar 100.00 calls traded at 1 tick today. For that trade to make money at expiry, LIBOR needs to go negative.
USD/MXN 12.65 offered. That's down 12% from the highs. In about ninety minutes. Three months ago, USD/MXN 1 month implied vol was 6%. Ay caramba!
15.21 I think we can officially retire the phrase "easy money", because nothing...I mean nothing...about this market is easy.
15.52 Is it beer o'clock yet?
16.10 And with 20 minutes to go til closing, Eurostoxx plummet down towards the lows of the day.
Nas-T.
16.57 Equities and bonds getting mullahed, the latter thanks to the Treasury re-opening some off-the-run issues and labeling the Street with auctions. Barbrous relic crowd, now is your time to shine.....
17.18 Let's end on a lighter note. Apparently the Nigerian govt has warned its citizens that if they get any e-mails from Irish banks, promising govt-backed deposit security and seeking bank account details, that its a scam...
18.52 Home, and about to crack open a nice bottle of red. Who knows where the last two hours of equity trading will hold; nothing between 970 and 1050 as a cash close on the SPX would surprise me, and nothing inside of 900 and 1100 would come as a total shock.
Nice to see Banxico announce a new dollar auction mechanism. You gotta say that they called the bottom in USD/MXN bang on...I think spot was 10.03 when they ceased their prior dollar auction mechanism.
So do Ben and co. do another 50 bp at the end of the month? If they follow TIPS breakevens religiously, it would be close to a dead cert....
21.17 With 10 minutes to go, I thought we might actually finish unched on the day. No such luck, however. USD/MXN traded on 4 different handles today: 11, 12,13, and 14. As of this writing, its nine centavos from yesterday's NY close. Forget Satan's finger or Satan's fist; that candlestick is called "Satan's Can Of Whup-Ass", or "Scowa" for short.
Unfortunately, there's been more than a few on the receiving end of that particular treatment today in any asset class or strategy you care to name. Methinks it's early to bed this evening; Macro Man wishes all readers a good night's sleep and good luck on the morrow.
Macro Man isn't mentally or physically capable of writing a considered thought piece this morning, because a) the market is too busy b) he is mentally drained and c) his only strong view is a desire to play golf rather than watch this crap.
8.26 am Suffice to say that the authorities are moving in the right direction- the Fed's CP purchase, the UK package- yet the obvious gesture to tip short-term sentiment is still lacking- e.g. rate cuts. And given that this is a sentiment-driven market, the authorities should realize that a little gesture can go a long way. Rate cuts need not be taken back, in the fullness of time, in a "measured" fashion over a "considerable period".
Macro Man's experience this morning has probably been echoed throughout the market- losing trades are decimated, while winners barely budge (the offer price reflects the market call, but the bid price doesn't budge)...so it's been a reaaaaaalllllll fun morning so far. It's tempting to just turn the screens off and play Urban Golf instead. For now, however, it's head down and manage things as best as possible. At this point, it's hard to know if today will be Armageddon, Ragnarok (particularly in Iceland), or even Nirvana should a coordinated response emerge.
Stay tuned, and feel free to chime in with views and war stories.
8.58 am It's the end of the world as we know it. Does anyone feel fine?
9.14 am South Africa's ANC party splits. The first campaign in the worldwide revolution?
9.34 am Something's rotten in Denmark. Lost in the world ending was last night's shocking news that Danmarksbank hiked rates, in a rather emerging-marketesque strategy of introducing a yield premium to defend the currency. This a currency, by the way, that is very closely pegged to the euro and had generated fringe interest from macro punters as a blow-up trade. By focusing attention on their concern over the currency , they may be inviting a more robust speculative attack. Certainly there are now rumours that the ERM peg will be abandoned. Could be a rather spectacular own goal....
Meanwhile, EUR/ISK is quoted 212/285 on the Reuters dealing platform....
10.02 am So now that things are settling down, do we start buying equities in expectation of the coordinated rate cut at 1.15 London time today? Dunno, but having paid up in futures to to hedge some of his equity puts, Macro Man is confident that things can now shank again. Certaibnly new lows in USD/JPY are sending that message.
10.26 am With winter around the corner, Macro Man is growing out his summer "#3 all over" haircut. This prompted Mrs. Macro to observe recently "Man, you're gray". Hardly a surprise, given this market! Fortunately, Sonny Rollins'
10.38 am Carry carnage continues. AUD/JPY is down 6% in the last 45 minutes.
Meanwhile, rumours swirl that the BOE has cut 100 bps and not bothered to tell anyone.
11.24 am No gym today as Macro Man doesn't feel like he can leave th desk. Still, his heart rate is getting a good workout. He bought USD/JPY twice today below current rates (99.40) and yet has lost money both times, such is his unwillingness to warehouse directional FX spot risk for any but the shortest of time frames.
There is a stiff drink somewhere out there that has his name on it this evening....
11.58 am So the Fed and the UK come up with great plans to shore up the banks.....and 3m $ LIBOR fixes 20 bps higher and 3m £ LIBOR fixes unched. Thanks for playing.....
12.02 pm BOOM! Coordinated cuts! Macro Man now has a long equity delta.
12.45 pm Well, 45 minutes into the brave new world, risk assets have firmed....but I have to say, it's a slightly disappointing reaction. Macro Man is up on the day, but has probably cost himself 15-20 bps of portfolio P/L with his misadventures in foreign exchange day-trading.
Still...he would have expected a somewhat better return on his equity book from trading his long gamma position; it probably would have helped if he hadn't have sold out some of his futures hedge at 11.57 this morning after the fixings hit the tape.
Still, it could be worse. Quote of the day from the chap next to me: "I've spent the last four days chained to my desk from 7 am to 10 pm because I'm short stocks....and the f***ing cut rates when I'm off the desk making a cup of coffee."
1.05 Someone forgot to tell the Brazilians that it's party time for risk assets. USD/BRL trades up to 2.44 (+5.75%) 5 minutes after the BMF opening. OUCH!
1.27 pm USD/MXN up 6.5% today to an all-time high of 13.15. Last week, Macro Man closed a small long at 11.00. This market ain't fixed by a long shot.
1.41 USD/MXN now 13.85. This isn't a black swan so much as a flock, or whatever a group on swans is called.
What's the f***ing point of Brazil, Mexico, Korea et al accruing all these reserves if they aren't there to stabilize things when it all goes tits up? This isn't about bailing out carry traders- they deserve what they get in this, and Macro Man hasn't got any horse in this race. But for the Latams in particular, why piss away a decade's worth of inflation-fighting credibility in the span of about a week by not at least trying to aggressively stem the market?
Equities are now careening back towards their lows of the day.
This is scary.
2.19 Do the Latam CBs read MM? Stories now circulating of onshore spot market intervention in Brazil, while Banxico also reported to be selling $/MXN. The latter is down roughly 1 peso from its highs.
2.45 13.00 offered USD/MXN. Holy shit.
15.00 Lunch at last. Here's everything you need to know about today: September 2009 eurodollar 100.00 calls traded at 1 tick today. For that trade to make money at expiry, LIBOR needs to go negative.
USD/MXN 12.65 offered. That's down 12% from the highs. In about ninety minutes. Three months ago, USD/MXN 1 month implied vol was 6%. Ay caramba!
15.21 I think we can officially retire the phrase "easy money", because nothing...I mean nothing...about this market is easy.
15.52 Is it beer o'clock yet?
16.10 And with 20 minutes to go til closing, Eurostoxx plummet down towards the lows of the day.
Nas-T.
16.57 Equities and bonds getting mullahed, the latter thanks to the Treasury re-opening some off-the-run issues and labeling the Street with auctions. Barbrous relic crowd, now is your time to shine.....
17.18 Let's end on a lighter note. Apparently the Nigerian govt has warned its citizens that if they get any e-mails from Irish banks, promising govt-backed deposit security and seeking bank account details, that its a scam...
18.52 Home, and about to crack open a nice bottle of red. Who knows where the last two hours of equity trading will hold; nothing between 970 and 1050 as a cash close on the SPX would surprise me, and nothing inside of 900 and 1100 would come as a total shock.
Nice to see Banxico announce a new dollar auction mechanism. You gotta say that they called the bottom in USD/MXN bang on...I think spot was 10.03 when they ceased their prior dollar auction mechanism.
So do Ben and co. do another 50 bp at the end of the month? If they follow TIPS breakevens religiously, it would be close to a dead cert....
21.17 With 10 minutes to go, I thought we might actually finish unched on the day. No such luck, however. USD/MXN traded on 4 different handles today: 11, 12,13, and 14. As of this writing, its nine centavos from yesterday's NY close. Forget Satan's finger or Satan's fist; that candlestick is called "Satan's Can Of Whup-Ass", or "Scowa" for short.
Unfortunately, there's been more than a few on the receiving end of that particular treatment today in any asset class or strategy you care to name. Methinks it's early to bed this evening; Macro Man wishes all readers a good night's sleep and good luck on the morrow.
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