Sept 20. FOMC day (Warsh bought yesterday’s close)
–FOMC today. Last meeting for Fischer and likely one of the last for Yellen. Widely expected to begin balance sheet reduction.
–This is a quote from Kevin Warsh speech at the BIS in August: “We should take note of a simple, troubling fact: from the beginning of 2008 to the present, more than half of the increase in the value of the S&P 500 occurred on the day of Federal Open Market Committee decisions.” Hey dude, it’s only troubling if you’re short.
–Yields little changed yesterday though longer end of the curve trades under pressure. However, there’s no real fear projected in implied vol; still pinned to the mat with USZ at just 7.3 vol. TYV (Oct) 126 straddle holding up pretty well at 29/64 settle ref 125-31+. Expires Friday. I would note new buying in TYV 126.25 calls. Settled 8, open interest up 20k. Both FV and TY futures saw open interest declines of 35k, which I would interpret as simple lightening of risk in front of Fed.
–Interesting post on ZH (citing Goldman) noting that:
These are bonds mostly secured by retail malls. No real surprise there. I only make note of it because the Fed has indicated concern about frothiness of Commercial Real Estate.
http://www.zerohedge.com/news/2017-09-19/meanwhile-next-big-short-quietly-blowing
–Devastating earthquake in Mexico yesterday. here is an interesting link showing all the earthquakes.
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earthquake.usgs.gov
About Latest Earthquakes Version Info Clicking the list icon in the top right corner will load the earthquake list. Clicking the map icon in the top right corner will …
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