This page has been archived and commenting is disabled.
Market Decoupling: World Cup Edition, Or Here Comes 6/6/6
As nobody, and we mean nobody, is trading today, it is surprising to see the risk-FX decoupling so early in the day. Usually these free money "gifts" don't happen until 3pm. But we'll take them at any time during the day: it just means that the corr algos are broken far earlier than usual. After 5 out of 5 such spread divergences closed momentarily in the last 5 days, will today be lucky 666? If the last week is any indication, the EURJPY-ES spread will close within the hour.
»
- 6698 reads
- Printer-friendly version
- Send to friend
- advertisements -
For the newcomer, why is there a virtually perfect correlation between ES and JPYEUR?
I can see general correlation, but why must they move in perfect lockstep?
Thanks for any insight anyone can shed on this mystery!
Because this is how the only market participants are programmed........computers.
It's a consequence of the carry trade. Speculators are selling Yen and buying Euro or USD denominated assets. The trading algo are programmed to follow the fluctuations in the carry currency. If the Yen appreciates, the algo sells Euro and USD holdings; if the Yen depreciates, the algo buys Euro USD holdings. Somebody else could probably explain it better than that.
so is this a temporary correlation that could end abruptly?
if it ends its gonna blow up so many prop trading shops it would save the planet from idiocracy.
Carry trade correlation will always be there in the general sense, in the current system. A lot of the correlation stems from the fact that the borrowed yen is used to buy equities once converted to eur or usd. When it does blow out it's spectacular.
Anyone know what the ratios are to trade this?
Sorry to be dense...what is the expectation, which one will close on the other ES down or EURJPY up?
you don't care, you would short the one and go long the other and play the reversion.
es down more likely ... there is confirmation in eurusd
obama learned his lesson talking the nonfarm book. Big pump into the close yest'd for the retail miss. Hall of mirrors
Shirley, pay the man!
We're all watching David Faber's new show. It's actually pretty good. They just have to get rid of the little sweaty guy.
+ Ms Drury into the mix for Key demo's......
I don't know if that would work. She's a star and would take all the attention off Faber.
Brian and Beauty could mix for "mute" viewing ;-) ?
Did that Kaminsky guy just get off a treadmill? It's not that hot outside.
are you serious ?! that show is a typical cnbc rubbish and squarepants just completes them
I will feed the guy, who acted as a counterparty on the bet that we would see 666 today, to the pigs; Bricktop style, if I dont see the moolah on my account by 4 pm EST. Thats 6 660 000 by 4 pm EST. If someone sees him, let him know.
A fellow Snatch lover, as it were...
Algos are defo proping the market today. Spreads are kind of whacky.
"today" ????
+ gross notional amount of derivatives
Does anyone remember the day of the flash crash the move in equities was telegraphed by USDJPY and EURJPY?
Tyler or anyone else more sophisticated in actual employment in the financial sector let me pose a question for you all:
If I am a manager of large wealth or hedge fund and I am aware that the large banks make a large portion or majority of their income on the "market making" liquidity rebates that are attributed to low volatility or little risk. And I am aware that a large portion of banks supposed market cap is derived from their assets in equities. And I am not subject to the same public scrutiny, regulation or capital requirements that accompany being a holding company could I not wreak havoc on banks income supply by simply throwing large blocks of shares on the market causing the algos to go into hibernation and disrupting this income stream further decreases their ability to leverage to save their own skin?
What percentage of their income is derived from rebates? For this reason I consider hedge funds to be incredibly important for free markets and price discovery but it feels as if they have left the building..well up until now.
I believe you are on to something big TD.
666 it is, this on the eleventh, for jachin and boaz, oh $$ my $$!
CollapseNet is up. You may just want to take a moment and add yourself to the Lifeboat Docks or find the closest dock to you.
http://www.collapsenet.com
I knew it. Last week was the Beta version of the new and improved stock market pump machine. Don't worry kids, there were just a few kinks that had to be fixed. I beleive Bernanke had the Dynaflo adjusted. The machine is now up and running. Dig in and buy some Apple. The machine will make sure it hits $ 40,000 a share.
It's a consequence of the carry trade. Speculators are selling Yen and buying Euro or USD denominated assets. The trading algo are programmed to follow the fluctuations in the carry currency. If the Yen appreciates, the algo sells Euro and USD holdings; if the Yen depreciates, the algo buys Euro USD holdings. Somebody else could probably explain it better than that.
The carry trade from a miniscule interest rate? Doesn;t make sense.
AUDJPY is the better carry trade.
This doesn't look like much of a spread trade given it is on the 1min chart.What if the link up was at the peaks instead of the trough, ie it has already synced?
When the spread can be viewed on a 10min chart then it's 40pips worth of profit. I took one such trade this morning (0400 to 0600 on the chart above). Overnight Asian session put the spreads wildly out and then they synced round about 0900 when some gimp at GS probably turned his computer on.
"...will today be lucky 666? If the last week is any indication, the EURJPY-ES spread will close within the hour." - most definitely, 'cause by 1pm everyone needs to be on the way to the helicopter to the Hamptons. that is the reason why the ''free money "gifts"''tiem was sgifted from 3pm to 11am
What does "ES" mean!?!? I'm sorry but I see it all the time here and I have no idea what it means. Laugh away, but then please fill me in!
S&P future
Sweet. Thank you!
E-mini futures for the S&P
--Whoops, hit reply and was reading something else for a while before coming back to type, didnt realize it had been answered.
Oh no its okay. I'm still trying to find way to chart it. The subscription I pay for doesnt even do currencies (stockcharts.com) and Free stock charts dosent seem to want to work. Any suggestions where I can chart this and watch the movements?
http://www.futurespros.com/futures-indexes/mini-s-p-500-index?smlID=1090...
Thanks but I'm still not able to get it to track both on the same chart. Do you or does anyone know the software Tyler Durden uses for chart analysis?
He uses Bloomberg, and it can be yours for the low, low, low, low price of $1500/month.
$1500/month.
Jesus and I thought I was a big spender going with the stock charts extra subscription. Obviously he's smart, makes good calls and can afford something like this but what about the little guy? Like myself... Stock Charts just isn't cutting it anymore. And you 4 lows in a row I was expecting to read the word free. You got me!
I've used Yahoo, Google, Free Stock Charts (suprising good), barchart, marketclub, and I've been considering Finviz.
I know we have a lot of traders/investors on here. I'd really like to know if I'm missing anything more powerful?
Yup you pay for the terminal. Typically schools and work places have a bunch, thats where i used to use mine.
As for the best (free) charting software with tons of features, id download the thinkorswim desktop platform.
You don't even have to trade with them (signup, but have your account at $0) and you can still get their realtime L2s and all relevant charts for fx, futures etc.
Nice! I was considering moving some money into think or swim so I could use their software but I didn't want to go through the hassle. Thanks!
I use eSignal, which charges a base cost of (if I recall correctly) $125/month plus an additional fee for each market you want to see. The stock markets and currencies are relatively cheap ($10-$20 a month each), but the futures markets are tripple that and there are several (e.g. CBOT, NYBOT, etc.)
I think I am paying around $600/month all in.
Thanks man but I'm only 8 years old. I just don't have that kinda cash! I'm a small time player.
Not working yet. Computers busy doing bookmaking for the World Cup matches?
Just before the South Africa/Mexico match ended I decided to make a "random" trade with a triple ETF, with modest size. That spooked the ETF and caused it to jump in my favour. I quickly took my profits and headed for the exits. No one is trading today, scary.
+1 Interesting
Talking about the World Cup...
At the time of the last FIFA World Cup, in mid-2006, in France, almost nobody could imagine the situation in which the world economy would be during the 2010 World Cup.
How will the world economy be in 2014, during the next World Cup, which, coincidentally, will be here in Brazil?
A world economy will still exist?
It won't be nice to organize a World Cup here in the midst of a nuclear winter, and with no electricity for lighting up the stadiums
It's gonna take a sell off or PPT to sort this decoupling out, if it is in fact decoupled depending on where you take the reference point from trough or peak.
Looks like a holding it over the weekend decoupling...
It looks like EUR/JPY is about to break out of a narrow trading range. I bought EUR/JPY.
I love it...Tyler tweeting world cup scores in between financial news...I'd love to see what the news desk looks like at ZH HQ.
Probably 5 32" LCD monitors and a 50" LCD in the center. Basically something like a terminal a high level hacker would have. Like in the movie swordfish.
I used to like you Eric, up until the moment you referenced that trifling piece of crap movie.
:p
Which movie? War with Canada? If so, that was all Kyle.
That crappy movie with Hal Berry when she was smokin' hot.
Dude, Hal Berry was real fucking hot! Dammit now I can't get that bikini scene out of my head! What I wouldn't do for just 30 seconds alone with that woman!
The 32s:
Immediate left has the main indice's charts (futures only as thats how the ZH team rolls)
2nd to left has the newswires open
Middle has ZH open up to a blank page ready to post, and second to last on right is keeping track of the comments sections on trending posts.
One on the immediate left bookmarked on the newswires
And, finally, immediate right, has freeones.com opened up. Word.
Recouple bitches...
Short squeeze into the end of the day or PPT, typical.
Yeah! I caught this using a combination of 3 different charting software to piece together all the pieces and make a guess. I'm still not sure if I was lucky or good. Probably lucky, either way, lets build on this threat and suggest charting software and charting sites that replicate Tyler Durden's!
My charting analysis is WEAK! Let's all bring out brilliant together and explore all the opportunities for technical analysis out there. This isn't for me, this is for all of us. I just want us all to do well =)
As the trade hasn't recoupled yet, not sure what you were looking at :)
No but ES didn't move much and EUR/JPY keep having large 1 minute run ups, then smaller run downs. Like I said, I think I just got lucky. I gotta get this stuff on a real chart before I can honestly know wtf I'm doing.
38000 direct crew/engineer jobs lost in LA due to the decision to idle 33 previously permited deepwater rigs (equivalent to 12 auto assembly plants) per www.rigzone.com. Number of jobs lost will rise exponentially in coming weeks. BP announced, they will not pay for jobs lost due to Obama's decision to stop drilling. Next weeks meeting will be a hot! Political pressure will grow to restart drilling as many more jobs are cut/lost in coming weeks. Its going to be a long hot summer.
ouch. looks like your covergence trade got it's ass whooped today.
+2 bps yesterday, -75 today.
you should find some Nobel laureates and start a hedge fund for this trade.