what does AndyM think of T-Notes?

AndyM · Post by **AndyM** » Fri Sep 20, 2013 12:58 pm

Whoah! Nice old thread...and those were the days I could write in full sentences too.

Interesting to go back and review one's old thoughts; my view that any attempt to normalise rates would topple the entire edifice allowed me to have a decent crisis.

My take on The Bernank's performance Wednesday:

[img]http://i.minus.com/ibsKToc0Pl5Nio.gif[/img]

athletico · Post by **athletico** » Fri Sep 20, 2013 3:56 pm

Another view of helicopter ben:

[img]http://gifs.gifbin.com/1239023890_showoff-touchdown-fail.gif[/img]

tabris · Post by **tabris** » Tue Dec 08, 2015 6:00 am

Thought it might be interesting bringing this back up given we might have a lift off and the current distaste for fundamental analysis.

What are phorum member thoughts regarding USTs from the guys that are slightly slower moving?

AndyM · Post by **AndyM** » Fri Dec 11, 2015 1:28 pm

Well, since this thread has my moniker in the title, it would be rude not to comment, even though I have no real conviction.

My sense is that the secular deflationists have been pushing their luck a little bit. Rather than the commodity meltdown allowing them to declare victory and go home, we've heard much more about this secular theme during the commodity puke. Witness the insane correlations between oil and long-dated inflation forwards. Now that correlation has broken down a bit lately, with inflation no longer tethered to the latest oil shank, but it still leaves these measures looking too low to me, so I'd be inclined to see them normalise over time once this commodity clusterfuck plays itself out.

So guess that leaves me suggesting long breakevens like everyone else out there.

But I have no strong views. Trading T's in these balance sheet constrained times is a minefield, so I just try to be opportunistic and snatch a few singles here and there.

EspressoLover · Post by **EspressoLover** » Sat Dec 12, 2015 3:36 am

Insanely low risk tolerance in the market now. Implied vols are at a 70% premium to 1-month historical vols. All over a quarter point rate hike, which is priced in already.

goldorak · Post by **goldorak** » Sat Dec 12, 2015 3:59 pm

Do not forget there are about 42 people out there who lived through a rate hike once in their life. To the others it is like a black swan. Party

tabris · Post by **tabris** » Mon Dec 14, 2015 3:28 am

It is interesting to me to see how this play out. I think as you mention that the daily correlation to commodities played a decent factor but a good part of the demand shock with the lower long end yields I see also coming from foreign real money (ie. Japanese diversification schemes).

USTs by itself isn't too bad in the new no "bs" world. The more dangerous products seem to be swaps and its derivatives (cme lch basis, 1s3s 3s6s basis, and cross currency basis)