What’s it going to look like in 2025?
April 28. 2024 – Weekly Comment
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In the past week or so I saw two articles referencing potential moves by a new Trump administration that would impact financial markets.
This one’s from the Wall Street Journal a few days ago:
And this one is from Politico on April 15
There was also an interesting article on Politico about Susie Wiles. I had never heard of her, but she is apparently one of Trump’s closest advisors and a master at using her massive trove of press connections to keep campaigns on message and shape the narrative.
https://www.politico.com/news/magazine/2024/04/26/susie-wiles-trump-desantis-profile-00149654
It’s not that I believe press headlines; these days I don’t believe anything unless it hits the pnl. However, if you were charged with running a campaign to juice the price of gold, these would be valuable press insertions. Equally helpful if the goal was to cause bond yields to soar. Of course, Trump did say that he wouldn’t reappoint Powell. I would also add that the Biden administration is doing as much as it can for the ‘gold bid/bond offer’ equation, for example by allowing the seizure of Russian assets to aid Ukraine.
Despite these factors, gold fell 2.3% last week, and wheat rallied, so the wheat-priced-in-gold historic low that I flagged last week had a nice pop.
This should be an important week with the Quarterly Refunding Announcement, FOMC meeting on Wednesday and NFP Friday. I don’t have a strong opinion on QRA; I would only note that the November 1 announcement which shifted issuance to bills over coupons helped spark a dramatic fall in long-end yields. For example, the 30y fell from 4.93% on Oct 31 to 3.80% on Dec 27. I doubt that happens again. The FOMC will hold rates steady as other financial conditions tighten (long rates up, USD up. $/yen has rallied 12% this year to a new high 158.33). Payrolls expected 250k from 303k last.
Here’s a fun chart that shows our government at work (from page 13 of last quarter’s Treasury presentation on debt). OMB and CBO completely disregard market prices in their 10y ‘estimates’.
https://home.treasury.gov/system/files/221/TreasuryPresentationToTBACQ12024.pdf
Below is another somewhat interesting chart that shows the US savings rate. Even with t-bills north of 5% the current savings rate is just 3.2%. For historical perspective, in July 2005 it hit 1.4%. Since late 2008 the lowest level is June 2022 at 2.7%. Is a low savings rate a reflection of buy-now to beat further price increases? Or just a sign of stressed households?
One other interesting note from BofA’s Hartnett: The top ten stocks are a record 34% of S+P market cap.
A FEW NOTES ABOUT SOFR OPTIONS
Although short end contracts sold off this week, there is consistent buying of SFRU4 9600 calls and SFRZ4 9600/9700cs. SFRU4 settled 9484.5, down 4.5 on the week, and the 9600c settled 3.75 with 291k of open interest, the most of any Sept call. SFRZ4 settled 9500.0 and the 9600/9700cs settled 5.25 (8.75/3.50) with open interest 334k and 363k, easily the most open interest of any Dec calls. The only SOFR calls with more OI are M4 9500c 2.0s with 393k and 9550c 1.0s with 458k. On the put side, the bulk of positions are in M4 9487.5 to 9462.5 which all have over 300k, based on various spreads to peg final settlement.
Demand for insurance continues to be weighted toward lower rates ensuing from an economic or financial ‘accident’. With SFRZ4 settling exactly at 9500 or 5%, the 9450p, which is only 17 bps away from the current Fed Effective of 5.33% settled 8.0 (-0.22d). The equidistant 9550c settled 6.5 bps higher at 14.5 (+0.28d). 9600c which is twice as far away as the put settled 8.75 (+0.16d), 0.75 more than the put. Sure, there have been various plays made for a Fed hike, but that is definitely not the fear in the market.
| 4/19/2024 | 4/26/2024 | chg | ||
| UST 2Y | 495.0 | 499.8 | 4.8 | |
| UST 5Y | 464.8 | 469.1 | 4.3 | |
| UST 10Y | 461.2 | 466.9 | 5.7 | |
| UST 30Y | 470.9 | 478.1 | 7.2 | |
| GERM 2Y | 300.0 | 298.8 | -1.2 | |
| GERM 10Y | 250.0 | 257.5 | 7.5 | |
| JPN 20Y | 160.1 | 165.0 | 4.9 | |
| CHINA 10Y | 225.6 | 230.6 | 5.0 | |
| SOFR M4/M5 | -68.0 | -64.0 | 4.0 | |
| SOFR M5/M6 | -39.5 | -41.5 | -2.0 | |
| SOFR M6/M7 | -13.0 | -12.5 | 0.5 | |
| EUR | 106.55 | 106.93 | 0.38 | |
| CRUDE (CLM4) | 82.22 | 83.85 | 1.63 | |
| SPX | 4967.23 | 5099.96 | 132.73 | 2.7% |
| VIX | 18.71 | 15.03 | -3.68 | |
5% 2-year and SFRZ4
April 26, 2024
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–Bank of Japan sat on their hands and now $/yen is above 156
–US PCE prices out today, m/m headline and Core both expected 0.3 from 0.3 last. Yoy expected 2.6 from 2.5 last and Core 2.7 from 2.8. Yesterday’s higher than expected core price deflator in the GDP data, at 3.7%, sent yields higher, with tens +5.2 bps to 4.704% and thirties +3.6 to 4.818%. Twos ended at 4.995%.
–New highs in near SOFR calendars as the easing goalposts are moved further away. SFRM4/SFRU4 settled -13.5 (9471/9484.5). Last month this spread was below -30. SFRM4/SFRM5 settled -64, up 6.5 on the day (9471/9535). SFRH5, M5, U5 were weakest contracts on the strip, settling -9. Despite the sell-off, there is consistent accumulation of calls: SFRU4 9600c added about 20k, 4.0 paid, settled 3.75 vs 9484.5. SFRZ4 9600/9700 cs 5.5 to 5.75 paid for 25k, settled 5.25 vs 9500.5 (4.995%,same as 2y). In SFRZ4 calls, these two strikes have the most open interest at 320k and 348k. 100 bps out of the money with 232 days until expiry. SFRZ4 futures have the most open interest on the strip, at 1,187,636.
–Stocks surged on MSFT and GOOGL results, more than reversing the early tumble associated with inflation worries.
–CME introducing new credit products. Is the timing terrible (because there’s no such thing as a credit spread anymore) or is the timing perfect, like just before covid? In any case, it’s a welcome development given the lack of a credit component in SOFR as opposed to the discontinued euro$ contract.
It’ll NEVER happen
April 25, 2024
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–It used to be a regular question: “What’s the lowest strike call I can buy for 0.25 on the near euro$ contract?” Yesterday someone paid 0.25 for 30k SFRK4 9675c. That’s over 200 bps away with 15 days until expiration (SFRM4 settled 9473.5). Might as well be on a euro$ because it’s a fantasy trade. On the other hand, if this strike starts to make the shorts nervous, then we ALL have to be scared shitless about the state of the world. On a much more mundane level, buyer of 25k SFRU4 9600c 4.25 to 4.5 (4.25s vs 9490.5) and buyer of 12k SFRZ4 9600/9700cs for 6.0, which is where it settled vs 9508.5.
–Speaking of large moves, META took a dump on earnings, down 15% after hours, an evaporation of $180 billion or so in market cap. MSFT and GOOGL today.
–Rates were up yesterday as the market digested the five-yr auction; 7s today. Ten year yield up 5.6 bps to 4.652%. The ten-yr tip ended at 2.24%, a pretty juicy real yield. Of course, part of the return comes from CPI, which means you’re at the mercy of a disgruntled employee working in the basement of the BLS with a red swingline stapler (and a large data base). One day he’s working on payroll number revisions (see below), and the next day on CPI. Last October the high yield on 10y tip was around 2.5%. On the SOFR strip reds were down 4.5 and greens -5.375.
–Aside from the 7yr, Q1 GDP is released. Yesterday’s Atlanta Fed GDP Now was 2.7% while the NY Fed”s Nowcast is 2.23%. Expected 2.3 to 2.5%. Jobless Claims expected 212k, as the needle seems to be stuck there, no matter how many companies announce layoffs. BOJ announcement tonight. PCE prices tomorrow.
–Here’s a link to revisions in payrolls, released yesterday (thanks HB)
From June 2023 to September 2023, gross job losses from closing and contracting private-sector establishments were 7.8 million, a decrease of 37,000 jobs from the previous quarter, the U.S. Bureau of Labor Statistics reported today.
https://www.bls.gov/news.release/cewbd.nr0.htm\
–And here’s an interesting tweet linking yen weakness to the property crash in China, (preceded by a butterfly flapping its wings in Santa Fe, NM).
And here’s a bonus clip
PMI soft
April 24, 2024
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–PMI Mfg was 49.9 vs an expected 52.0 and Composite was 50.9 vs 52.0. Yields fell as a result. Tens ended down 2 bps at 4.596%. Strongest SOFR contracts were SFRM5 and U5, both up 6 at 9548.5 and 9563.5. Solid 2y auction. Fives today. Sevens tomorrow. PCE prices are Friday. Next week includes FOMC, Quarterly Refunding Announcement and Payrolls.
–SFRZ4 settled 9511 (+4.5) or 4.89% vs 5.33 Fed Effective. 1.5 to 2 eases priced. SOFR calendars just slightly further back are all around 3/4%. SFRM4/M5 settled -74 (lowest). SFRU4/U4 -71.5. FFQ4/Q5 -74.5. The market is currently comfortable around these levels
–From S&P global : “April saw an overall reduction in new orders for the first time in six months. Companies responded by scaling back employment for the first time in almost four years, with business confidence also waning to the lowest since last November.”
–Indonesia hiked 25 bps to 6.25% which was unexpected, though all Asian currencies have been pressured against USD. $/yen remains pinned close to 155 on the eve of the BOJ meeting.
“This hike in interest rates is to strengthen the stability of the rupiah exchange rate against the risk of worsening global risks,” BI Governor Perry Warjiyo told a briefing.
–TSLA soared after its earnings call, squeezing shorts. META today.
Quiet start to the week (but you never know when something’s gonna blow up)
April 23, 2024
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–TSLA reports today. Quiet day in rates to start the week, but a couple of interesting disaster insurance trades.
Buyer of 30k SFRK4 9650c for 0.5. These expire on 10-May, SFRM4 underlying (9473.5). Settled 0.25
Buyer of 2500 SFRZ4 100c for 0.25 vs 9503, 5d. Zero strike? This guy must have misread the dotplot. Never! Right?
Buyer of 0QU5 9600/9650cs cov 9559.0, 10d vs Sold 2QU5 9625/9662.5cs 9625c
So front cs settled 9.5 and back 8.0. Premium paid was 2.0. Only traded 2k, but this is a nice way to fade weakness in reds that has helped U5/U6 invert from flat to -28 since February. 50 wide call spread vs 37.5, so if both contracts explode higher through upper strikes it’s still a winner. Traded just 2k. NOT A RECOMMENDATION.
SFRU5 settled 9557.5 so lower strike is 42.5 out-of-money. SFRU6 settled 9585.5 so 39.5 out.
–New Home Sales and 2y auction today.
–META and CME report tomorrow.
Conditions getting tighter
April 22, 2024
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–New high copper this morning even as other metals and oil are lower. SFRZ4 is threatening to get above 5% (9503 last) while USM flirts with the 113 handle (114-04 last). Treasury auctions of 2s, 5s and 7s this week ($69, 70 and 44 billion). Ten year up about 4 bps from Friday at 4.652. The 2yr is printing 5%. That’s up about 75 bps from the start of the year, though last October’s high was 5.22%. Earnings reports include TSLA on Tuesday, META on Wednesday and MSFT, GOOGL Thursday. PCE prices on Friday.
–$/yen nearing 155, now 154.75. CNY also weaker, new low for the year at 7.2437. I read a blurb that China is stockpiling base metals in anticipation of devaluation. Or perhaps a move on Taiwan is imminent. The House passed a bill opening the door to transfer Russian assets to Ukraine (still needs Senate approval) and Congress also gave more aid to Ukraine. Not sure why anyone would think the Fed has to tighten. Treasury has a LOT of paper to sell while the US undermines property rights, and spends as if there’s a bottomless pit. Hardly encouraging for foreign buyers. Let financial conditions tighten at the long end.
World of Extremes
April 21, 2024
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When I worked on the floor of the CME in eurodollars, there was a guy that had started at the Citi desk. Slight of build, sandy colored hair, ordinary looking. His standout feature was that he was prone to embellishing his accomplishments and intellectual acumen. This being the floor, one of his coworkers created a CV for him with a list of outrageous claims. Of course, everyone jumped in and added bullet points with stuff like this (it was a long list):
Taught Myron Scholes option math
Ran the Boston Marathon in two hours
Received a patent for a perpetual motion machine
and, one of my favorites:
Invented fire
Ruthlessly funny. I don’t know what happened to that guy, but I don’t think he lasted on the floor for long. Probably in Congress. Of course, I don’t think he ever went so far as to suggest his relatives were eaten by cannibals; that’s at another level.
We’re in a world of extremes dominated by outrageous hyperbole. A tired refrain from market pundits is often, “This won’t end well.” Look, it’s ALWAYS not ending well for someone out there. And even the bad stuff is usually good for someone. Let’s try to get on that side.
I’ve become somewhat obsessed with the prices of grains denominated in gold. Wheat priced in gold is at its lowest EVER. But there are a lot of relationships that seem extremely stretched and stressed, not just political. Russell 2k divided by Nasdaq Comp is near its absolute low. Oil priced in gold is compressed. The 2/10 treasury spread reached its lowest level since the 1980s last year (-108, now -36), and has been inverted for over seven quarters, almost the longest period in history. The BBB spread to treasuries is 117 according to the St Louis Fed site; close to its lowest level since 2000 (107).
Emerging mkt currencies are under pressure vs USD. The Indonesian rupiah and Malaysian ringgit have fallen to Asian Crisis (late 1990’s) levels. The Indian rupee made a new low this week, consistently weakening against USD. Same with the Vietnamese Dong; it has collapsed from 24270 to 25430 (17%) this year. $/yen is at its highest level since 1990.
US debt to GDP is over 120% and increasing again. It had hit 133% during covid but was below 65 for most of the period before the GFC.
Below are wheat and oil priced in gold since 2002. I am guessing that these charts might even be slightly more dramatic were it not for the advent of bitcoin, which likely siphoned off a bit of the ‘safe and easily portable store of value’ from gold, if only at the margin.
The next chart is Russell 2k divided by the Nasdaq Composite. I’ve included Fed easing periods which may have nothing to do with the equity index ratio, I only wanted to highlight how quickly the Fed has been inclined to cut the funding rate when stress shows up. The parallel to today might be the dotcom bubble as the calendar rolled into 2000. The Fed didn’t reduce rates right away, but when it did start cutting in January 2001 it went in a hurry. Same for the GFC.
The promise of new technology to increase productivity should benefit Russell companies as well. That was the same dynamic as in the late 1990’s of course, but it resolved with the Nasdaq crash. We experienced a tiny taste of that on Friday, with CCMP -2.05% and Russell +0.24%.
The SOFR curve has been squeezing out the prospect of easing in 2024, belatedly guided by Federal Reserve officials (in a flip from the December pivot). The lowest quarterly contract on the strip is SFRM4 at 9474 or 5.26%, close to the current Fed Effective of 5.33%. The peak contract on the strip is SFRU7 at 9595.5 or 4.045%. The difference between low to high is just 121.5 bps over three years. Most of that difference is contained in the next two years, for example, SFRM4/SFRM6 spread is -107.5 (9474/9581.5). You can see on the chart that recent easing episodes took less time than two years and are of 2x to 5x greater magnitude than M4/M6.
Does it have to play out that way this time. Nope. But it might.
In terms of inflation, we get PCE prices on Friday. Month/month expected 0.3 for both headline and core, same as last month. Year/year headline expected 2.6 from 2.5 and Core 2.7 from 2.8. My sense is that inflation remains sticky, but trending lower. I think there are both upside and downside risks. Regarding AI, I saw this twitter quote: “Imagine we discovered a new continent with 100 billion people and they’re all willing to work for free! That’s what’s about to happen with AI…” A stretch? I think so. But I also saw a clip from Goldman hypothesizing that the gap between GDP and GDI is due to immigration: “An undercounting of unauthorized immigration has likely contributed modestly to the sharp increase in the gap between GDP and GDI over the last year. We suspect that GDP which is an expenditure-based measure…may have captured the consumption boost from the recent immigration surge, while GDI which is income-based, may have underestimated total employment and compensation paid to undocumented workers…” There’s a much more prosaic reason that inflation may be contained: new immigrants are being paid much less under the table to work. The pressure to incorporate new entrants legally into the workforce is only going to grow as fiscal largesse runs into a brick wall. That brick wall comes in the form of higher rates at the long end of the treasury curve.
Treasury auctions of 2s, 5s and 7s this week. May 1 is both the FOMC and the Treasury’s Quarterly Refunding Announcement. Thankfully, we’re in the blackout period for Fed speakers. Bonds continue to trade heavy. If Yellen were to weight issuance to the front end again (like November) then USD will further strengthen against EM and hasten a crisis.
Interesting thesis by Gavekal (I think I’m summarizing correctly). In an environment of fiscal dominance, bonds are no longer a safety anchor for a portfolio. They will go down with stocks. Rather, real assets (like gold) should comprise about 30-35% of one’s portfolio as a safe anchor.
| 4/12/2024 | 4/19/2024 | chg | ||
| UST 2Y | 488.0 | 496.9 | 8.9 | wi 495.0 |
| UST 5Y | 453.1 | 465.6 | 12.5 | wi 464.8 |
| UST 10Y | 449.7 | 461.2 | 11.5 | |
| UST 30Y | 460.1 | 470.9 | 10.8 | |
| GERM 2Y | 285.6 | 300.0 | 14.4 | |
| GERM 10Y | 235.9 | 250.0 | 14.1 | |
| JPN 20Y | 162.6 | 160.1 | -2.5 | |
| CHINA 10Y | 228.4 | 225.6 | -2.8 | |
| SOFR M4/M5 | -76.0 | -68.0 | 8.0 | |
| SOFR M5/M6 | -42.5 | -39.5 | 3.0 | |
| SOFR M6/M7 | -14.0 | -13.0 | 1.0 | |
| EUR | 106.44 | 106.55 | 0.11 | |
| CRUDE (CLM4) | 85.08 | 82.22 | -2.86 | |
| SPX | 5123.41 | 4967.23 | -156.18 | -3.0% |
| VIX | 17.31 | 18.71 | 1.40 | |
Still risk over the weekend, but perhaps less
April 19, 2024
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–Strong Philly Fed (highest since Q2 2022) contributed to a move to higher yields. In treasuries the 5yr led, rising 7.1 bps to 4.684%. Tens +6.4 at 4.645%. On the SOFR curve reds were weakest, settling -9.0. New high in M4/M5 calendar at -66, up 8 on the day (9473, -1.0/9539 -9.0). SFRZ4 settled 9504, -6.5, at nearly 5%, indicating about 1.5 eases this year.
–Limited Israel strikes on Iran caused volatility overnight, for example, TYM4 surged to 108-22+ up a full point from settle. However, all initial moves have significantly subsided; TYM now 108-04. I don’t know how much copper it takes to keep the war machine running, but we’re seeing a cocoa-like bid there, up another 5 cents today to new highs, with HGK4 4.487.
–Decent amount of downside trades in SOFR options yesterday, the largest being a new buy of 40k SFRZ5 9475/9425/9375p fly for 4.0. Settled there vs 9565.5 in Z5. 603 days until expiry. There was also a buyer of 20k U4/Z4/H5 flies for 1.0 to 1.5. Sept/Dec settled -17 and Dec/March -18 so fly settled +1. In the old days of ED futures, U/Z/H flies would be bought in order to cover the year-end ‘turn’ embedded in Dec contracts. Not sure of the motivation for this one, though M4/U4/Z4 settled +3 (-14/-17). More emphasis on pre- to post- election trades. The U4/Z4 calendar at -17 is a new recent high (9487/9504).
–Perhaps weekend risk is a bit more muted since the Israel/Iran conflict appears slightly less inflammatory. However, large equity option expiration today.
SFRU/V 9462.5p cal 2.25 to 2.5
SFRU4/V4 9450/9400ps spd 1.0-1.25 paid 25k
SFRZ5 9475/9425/9375p fly 4 paid 40k
SFRH6 9475/9425/9375p fly 3.5 paid 5k
SFRZ5 9525/9400ps cov 9566, 22d 30 paid 5k
SFRH5 9825c 2.5 paid 20k
Later TYM4 107.5p cov 107-24, 53 paid 10k
U/Z/H fly 1.25 paid 20k
..
Base Metals
April 18, 2024
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–Copper is at a new high this morning, with HGK4 currently printing over 4.42. In mid-Feb it was around 3.75, so it’s an explosive 18% increase in two months. ZH has an article on the surge in tin prices, noting that it’s something of an AI adjunct: ” ‘Every data byte and every electron travels through hundreds of solder joints that connect it all together,’ [said] Jeremy Pearce, head of market intelligence and communications at the International Tin Assn.” Sort of odd in the context of USD strength. I’ve read several articles recently about electricity generation plays; wouldn’t it be funny if basic commodities are the easiest and surest way to bet on cutting edge technology?
–However, that doesn’t seem to be the case for grains, for now anyway. I think I first posted a chart of corn priced in gold in 2020. That year was the absolute low, but now corn/gold is approaching that historic level. Recall it was April 2020, almost exactly four years ago, that WTI futures prices went negative. Currently CLM4 near $82/bbl.
–In any case, there are a lot of wildly shifting prices out there, and likely some spread opportunities for those with deep pockets that can live through squeezes. I guess a core theme would be the idea that commodity prices aren’t encouraging for the inflation outlook, and several Fed officials including Powell have pushed back timing for easing.
–Yields fell yesterday and implied vol compressed in rate futures. Tens ended down 7.6 bps at 4.581%. Stellar 20 year auction helped support futures. Note that deferred SOFR prices tested Tuesday’s lows, but ended up closing above Tuesday’s highs. As an example, SFRZ7 equaled Tuesday’s low at 9489, but made a higher high at 9600.5 and settled 9599.5 (+7.5). This contract currently represents the apex of the SOFR curve, at a yield of 4%. Of particular interest is SFRZ5 which settled 9574.5, up 8 on the day. This contract had been the weakest on Tuesday due to huge buying of the Z4/Z5 calendar spread, which surged to -57.5. It was beaten back down into submission yesterday, settling at -64.0. The decline in red contracts (second year out) makes sense given renewed concern about inflation and a Fed that may just sit on the rate-cut sidelines, but USD strength is tightening conditions in EM countries, and likely accentuating the risk of financial accidents.
Higher for longer; new high SFRZ4/Z5
April 17, 2024
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–Powell… “The recent data have clearly not given us greater confidence and instead indicate that it is likely to take longer than expected to achieve that confidence” that inflation will return to 2%.
–The higher for longer stance was clearly reflected by the SFRZ4/SFRZ5 calendar spread which traded huge volume and settled at a new recent high of -57.5, up 6 bps on the day. SFRZ4 was unchanged at 9509 and Z5 fell 6 to 9566.5. This morning’s prelims show that open interest rose 20k in Z4 but a whopping 133k in Z5, to 809k. There was also an article dated Monday on Politico (linked below) titled, ‘Trump trade advisors plot dollar devaluation’. (thanks BP). ($ deval probably would result in higher US long rates). Note: $/yen 154.60. And the Korean Won has also depreciated quickly from 1330 in the beginning of March to 1400 yesterday. Stronger USD should be deflationary for the US, but Core Services have been the problem, not goods. The Asian currency crisis was in 1997/98…
–Yields yesterday rose, except for SFRZ4! Two year +3 bps to 4.964%. Tens +2.7 to 4.657%. 20-yr auction today. On the SOFR curve, unsurprisingly SFRZ5 was the weakest contract, -6.0. SFRM5 to SFRM8 down 3 to 5.5 apart from Z5 (-6).
–Flows to hedge against a plunge in risk assets aren’t particularly prevalent, though VIX perked up over 19. Yesterday there was more (new) SOFR call spread buying, adding 30k to Z4 9600/9700cs for 6.75 (settled 6.5) and 15k SFRZ5 9750/9850cs for 8.25 (settled 8.0 ref 9566.5). Yesterday I mentioned a buy of 40k Z4 9700/9800cs; that was incorrect and was probably an intercompany transfer, OI didn’t change. Note that even with a move to new high yields, treasury vol eased; there were some chunky TY put sales. Indication that yield surge has abated for now. Fear of higher rates subsiding.
SUMMARY
–Huge Z4/Z5 buys. Settle +6 at -57.5
Z5 75/85cs 8.25 for 15k
Z4 60/70cs 6.75 for 30k
TODAY: 20y auction, Beige Book, TIC data
https://www.politico.com/news/2024/04/15/devaluing-dollar-trump-trade-war-00152009
Below is chart of Korean Won and Indonesian Rupiah
