ber 26Sun d a y, Oc tober 27ay, October 26 Sunday, October 27
ber 26Sun d Date and Time 10/01/2013 16:00 10/02/2013 06:00 10/02/2013 07:15 10/03/2013 07:30 10/04/2013 07:30 10/04/2013 07:30 10/04/2013 07:30
a y, Oc
Event Total Vehicle Sales MBA Mortgage Applications ADP Employment Change Initial Jobless Claims Change in Nonfarm Payrolls Unemployment Rate Bank of Japan Target Rate
Period Sep 27-Sep Sep 28-Sep Sep Sep 4-Sep
•
Prior 16.02M 5.50% 176K 305K 169K 7.30% 0.10%
Milliseconds: The Fed is conducting an investigation to see if news organizations leaked its 9/18 decision to traders ahead of the announcement. Why? Nanex and ZeroHedge reported that asset prices exploded exactly at 2pm in NY and Chicago as nearly $1BN in stocks, futures, and options trades were placed. However, unless leaked, they say this would have been physically impossible. Due to the Theory of Relativity in which light (or anything else) can travel no faster than 186 miles per millisecond, it would have taken at least 5 – 7 milliseconds for the trades to be placed legitimately, thereby proving malfeasance. High Frequency Traders beware!
tober 27ay, October 26 Sunday, October 27
Libor Last Price Five day change Libor 1M 0.17965 0.00015 Libor 2M 0.2165 -0.00175 Libor 3M 0.24835 -0.00125 Cash Markets Fed Funds 0.09 0 TSY Repo O/N 0.03 -0.01 Money Markets USD Swap 2 YR 0.47 -0.0175 USD Swap 5 YR 1.546 -0.1155 USD Swap 10 YR 2.7665 -0.1245 Volatility Vix Index 14.98 1.74 Commodities Copper Futures 332.75 -0.4 Gold Futures 1337.2 5.7 WTI Crude Futures 102.65 -1.06 Natural Gas Futures 3.55 -0.139 CRB Index 470.57 -0.57 Equity Indices SPX Futures 1723.89 -0.41 Dow Jones Futures 15639 -5 Rig Counts Baker Hughes Gas Count 386 -15 Baker Hughes Crude Count 1369 8 Baker Hughes Oil & Gas 1744 -7 Swap Spread Rates USD Swap Spread 2 YR 13.94 -1.56 USD Swap Spread 5 YR 14.88 -3.25 US Treasuries US 10 YR Treasury 2.6154 -0.1192 US 30 YR Treasury 3.6838 -0.0723
Ken Hogan SVP, Head of FX
Nader Adeeb VP, FX Trading
Bloomberg FXET: CADB SWIFT: CDBKUS44 [email protected] + 713-871-4061 www.cadencebank.com
•
Lex Arcanorum: To hold individuals and banks liable for the financial crisis when there is insufficient evidence to press criminal charges, Preet Bharara, the US Attorney in Manhattan, will pursue these cases under civil charges by resurrecting laws used in the US Civil War and the S&L Crisis. Under the 1980s FIRREA law, which carries a 10-year statute of limitations, the government can sue individuals and groups for fraud that affects a federally insured financial institution. Bharara is also invoking the False Claims Act (FCA) of 1863, originally enacted to combat fraud perpetrated against the Union Army, as a way to sue for defrauding the government.
•
The Big Short: Demand for US corn has fallen to the lowest levels since 1975, creating the perfect storm as reports of larger than anticipated stockpiles in silos coincide with a 28% projected increase in this year’s harvest. After corn reached record highs of $8.29 in 2012, futures are heading for the biggest annual drop in at least five decades as global production has surged. Adding to these woes is that fact that the world is less dependent on the US for corn production, which accounted for more than 67% of exports in 2006, as Brazil, Argentina, and the Ukraine have eaten into market share. Analysts at GS think corn will drop to $4.25/bushel in 3 months.
•
↑QE = ↓Volatility: As we approach the 5-year anniversary of quantitative easing, the Fed’s persistence is in question. However, the 90% returns of the S&P, and more importantly, the 60% decrease in volatility are indisputable. Known as the “fear gauge,” the CBOE VIX Index is the preferred method of gauging anticipated market risk. In general, the higher the VIX trades above 20, the greater the fear; vice versa. Before the financial crisis, the VIX traded around 14, but then surged to 44. Since QE’s inception, however, the VIX has declined steadily and now trades at 14 again. This trend is also evident in FX as currency volatility is almost perfectly correlated.
a y, Oc
Event Total Vehicle Sales MBA Mortgage Applications ADP Employment Change Initial Jobless Claims Change in Nonfarm Payrolls Unemployment Rate Bank of Japan Target Rate
Period Sep 27-Sep Sep 28-Sep Sep Sep 4-Sep
•
Prior 16.02M 5.50% 176K 305K 169K 7.30% 0.10%
Milliseconds: The Fed is conducting an investigation to see if news organizations leaked its 9/18 decision to traders ahead of the announcement. Why? Nanex and ZeroHedge reported that asset prices exploded exactly at 2pm in NY and Chicago as nearly $1BN in stocks, futures, and options trades were placed. However, unless leaked, they say this would have been physically impossible. Due to the Theory of Relativity in which light (or anything else) can travel no faster than 186 miles per millisecond, it would have taken at least 5 – 7 milliseconds for the trades to be placed legitimately, thereby proving malfeasance. High Frequency Traders beware!
tober 27ay, October 26 Sunday, October 27
Libor Last Price Five day change Libor 1M 0.17965 0.00015 Libor 2M 0.2165 -0.00175 Libor 3M 0.24835 -0.00125 Cash Markets Fed Funds 0.09 0 TSY Repo O/N 0.03 -0.01 Money Markets USD Swap 2 YR 0.47 -0.0175 USD Swap 5 YR 1.546 -0.1155 USD Swap 10 YR 2.7665 -0.1245 Volatility Vix Index 14.98 1.74 Commodities Copper Futures 332.75 -0.4 Gold Futures 1337.2 5.7 WTI Crude Futures 102.65 -1.06 Natural Gas Futures 3.55 -0.139 CRB Index 470.57 -0.57 Equity Indices SPX Futures 1723.89 -0.41 Dow Jones Futures 15639 -5 Rig Counts Baker Hughes Gas Count 386 -15 Baker Hughes Crude Count 1369 8 Baker Hughes Oil & Gas 1744 -7 Swap Spread Rates USD Swap Spread 2 YR 13.94 -1.56 USD Swap Spread 5 YR 14.88 -3.25 US Treasuries US 10 YR Treasury 2.6154 -0.1192 US 30 YR Treasury 3.6838 -0.0723
Ken Hogan SVP, Head of FX
Nader Adeeb VP, FX Trading
Bloomberg FXET: CADB SWIFT: CDBKUS44 [email protected] + 713-871-4061 www.cadencebank.com
•
Lex Arcanorum: To hold individuals and banks liable for the financial crisis when there is insufficient evidence to press criminal charges, Preet Bharara, the US Attorney in Manhattan, will pursue these cases under civil charges by resurrecting laws used in the US Civil War and the S&L Crisis. Under the 1980s FIRREA law, which carries a 10-year statute of limitations, the government can sue individuals and groups for fraud that affects a federally insured financial institution. Bharara is also invoking the False Claims Act (FCA) of 1863, originally enacted to combat fraud perpetrated against the Union Army, as a way to sue for defrauding the government.
•
The Big Short: Demand for US corn has fallen to the lowest levels since 1975, creating the perfect storm as reports of larger than anticipated stockpiles in silos coincide with a 28% projected increase in this year’s harvest. After corn reached record highs of $8.29 in 2012, futures are heading for the biggest annual drop in at least five decades as global production has surged. Adding to these woes is that fact that the world is less dependent on the US for corn production, which accounted for more than 67% of exports in 2006, as Brazil, Argentina, and the Ukraine have eaten into market share. Analysts at GS think corn will drop to $4.25/bushel in 3 months.
•
↑QE = ↓Volatility: As we approach the 5-year anniversary of quantitative easing, the Fed’s persistence is in question. However, the 90% returns of the S&P, and more importantly, the 60% decrease in volatility are indisputable. Known as the “fear gauge,” the CBOE VIX Index is the preferred method of gauging anticipated market risk. In general, the higher the VIX trades above 20, the greater the fear; vice versa. Before the financial crisis, the VIX traded around 14, but then surged to 44. Since QE’s inception, however, the VIX has declined steadily and now trades at 14 again. This trend is also evident in FX as currency volatility is almost perfectly correlated.
