Relative etf's (buy something with something else)
- Thread starter eurusdzn
- Start date
5/8
NFP on target 223k.225k expected so in line. Wages up .1%, 2.3%
Eurodollar futures had significant moves in contracts out 6 months of more UP approx 6-9bp which backed off rates from the average 25-30 bp rate increases in recent weeks.
Treasury curve proxies:
IEI up .33% this is significant move(about 3x normal range) representing shorter term rates
in the 2-3 year range decreasing. Other proxies, IEF,TLH,TLT had smaller moves in same direction. Means bullish curve steepening with rates easing at the FED end as opposed to bearish steepening last month with long rates increasing.
Result of ONE days treasury reaction to NFP is that the fed will remain easy, longer.
Rate sensitive etfs XLU,XLP and IYR up today.
US and Europe equities up strong. NFP seems risk supportive and european soberein yieds, -7bp 10Bund , backing off . EWG and FEZ up big. HEDJ up strong as EUR.USD pulling back a little as well.
EUR.USD very bullish technicals and media opinions all support a with trend push to 115.
Extremely high correlation between Euro and euro sobereign yields recently so does this hold if
Yields back off. Watch both here.
Dollar does not seem convincing here. Indecisive regarding NFP but nothing seems different.
UUP (dollar vs. basket of major currencies) trend changed with March 19th monster red bar
After FOMC doves. Trend is down for two months now as LH and LL have followed. Good for risk. Emergimg markets, Japan and China put in a strong day as well. (Just took a bearish Emergimg market position that may need to be reversed on follow through here)
One days PA points to markets interpreting the NFP as "weak", betting on risk, and pushing fed rate hike expectations further out. Sometimes though, things get sorted out and actually reverse on these major reports so....we'll see.
Below are most of the etfs I follow and how i see their present condition.
Ie: euro has been in trend for 2 momths.
Long trends:
FXE(2),TMV(4),USO(2),FXE(2),EWZ(2),RSX(5),BZF(2),DXJ(4),EEM(5),EWG(7),EWY(5),FEZ(5),
FXA(2)
Short trends:
TLT(3),UUP(2),HEDJ(1),IYR(3),PJP(2)
Chop:
SPY(7),FXY(6),QLD(3)
RANGE:
GLD(6),TMV(5),INDA(6)
NFP on target 223k.225k expected so in line. Wages up .1%, 2.3%
Eurodollar futures had significant moves in contracts out 6 months of more UP approx 6-9bp which backed off rates from the average 25-30 bp rate increases in recent weeks.
Treasury curve proxies:
IEI up .33% this is significant move(about 3x normal range) representing shorter term rates
in the 2-3 year range decreasing. Other proxies, IEF,TLH,TLT had smaller moves in same direction. Means bullish curve steepening with rates easing at the FED end as opposed to bearish steepening last month with long rates increasing.
Result of ONE days treasury reaction to NFP is that the fed will remain easy, longer.
Rate sensitive etfs XLU,XLP and IYR up today.
US and Europe equities up strong. NFP seems risk supportive and european soberein yieds, -7bp 10Bund , backing off . EWG and FEZ up big. HEDJ up strong as EUR.USD pulling back a little as well.
EUR.USD very bullish technicals and media opinions all support a with trend push to 115.
Extremely high correlation between Euro and euro sobereign yields recently so does this hold if
Yields back off. Watch both here.
Dollar does not seem convincing here. Indecisive regarding NFP but nothing seems different.
UUP (dollar vs. basket of major currencies) trend changed with March 19th monster red bar
After FOMC doves. Trend is down for two months now as LH and LL have followed. Good for risk. Emergimg markets, Japan and China put in a strong day as well. (Just took a bearish Emergimg market position that may need to be reversed on follow through here)
One days PA points to markets interpreting the NFP as "weak", betting on risk, and pushing fed rate hike expectations further out. Sometimes though, things get sorted out and actually reverse on these major reports so....we'll see.
Below are most of the etfs I follow and how i see their present condition.
Ie: euro has been in trend for 2 momths.
Long trends:
FXE(2),TMV(4),USO(2),FXE(2),EWZ(2),RSX(5),BZF(2),DXJ(4),EEM(5),EWG(7),EWY(5),FEZ(5),
FXA(2)
Short trends:
TLT(3),UUP(2),HEDJ(1),IYR(3),PJP(2)
Chop:
SPY(7),FXY(6),QLD(3)
RANGE:
GLD(6),TMV(5),INDA(6)
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Clarification.
http://www.barchart.com/charts/futures/EDM16&style=technical
Eurodollar prices UP and of course rates down. This is June 2016.
Large bars usually due to NFP's, FOMC statement and 3 week following, FOMC minutes.
http://www.barchart.com/charts/futures/EDM16&style=technical
Eurodollar prices UP and of course rates down. This is June 2016.
Large bars usually due to NFP's, FOMC statement and 3 week following, FOMC minutes.
5/11
Bond markets took over today and resumed selloff . Treasuries at new recent lows and todays
selloff is more dramatic than europe. Maybe new, higher volatility in treasuries. +13bp on the Bond. Looking to enter in trend at new daily resistance.TMV.
Seems that global stocks and risk currencies are not yet adjusting to changes in yields.
Watching for EEM to do so.
Sp500 Stocks backed off from all time highs with Greece stress and debt market selloffs.
XLF put in a low FEb1 about same time curve was flattest. Outperforming since and breaking range here with more curve steepening. Again Reits, utilities and dividend staples lagging.
Grumblings about the 4rth China rate cut over the weekend. FXI was about to fill a 10% gap
Exactly to the day bit the cut prevented this and bumned the index 4%.
Looking to enter eur.usd at 11210 now at 11240 as Greece payment of 750mil
made and German 10bund trading up and euro following. Broke through 112
quite strong.
Bond markets took over today and resumed selloff . Treasuries at new recent lows and todays
selloff is more dramatic than europe. Maybe new, higher volatility in treasuries. +13bp on the Bond. Looking to enter in trend at new daily resistance.TMV.
Seems that global stocks and risk currencies are not yet adjusting to changes in yields.
Watching for EEM to do so.
Sp500 Stocks backed off from all time highs with Greece stress and debt market selloffs.
XLF put in a low FEb1 about same time curve was flattest. Outperforming since and breaking range here with more curve steepening. Again Reits, utilities and dividend staples lagging.
Grumblings about the 4rth China rate cut over the weekend. FXI was about to fill a 10% gap
Exactly to the day bit the cut prevented this and bumned the index 4%.
Looking to enter eur.usd at 11210 now at 11240 as Greece payment of 750mil
made and German 10bund trading up and euro following. Broke through 112
quite strong.
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5/13/15
Retail sales flat, missed positive expectations. Consumer spending was less than even the small wage increses in the NFP despite low gas prices and now they are rising. Imports and export prices down sharp so when CPI comes out it should be low suppoting doves and stocks.
2yr note bid up on retail sales report and then held for the day. TLT (etf proxy for ZB) bid on report but faded in 5 minutes and up 5bp for the day. Steepening action at BOTH ends with easing up front and tighter far out.
EDZ15, Decemner, easing 3 bp surpassing the negative(dovish) interpretation of recent NFP
Eurozone news is good today. .4% Q1 growth following .3% in Q4. France best EWQ and then Germany EWG and even Italy EWI grew after many bad quarters.
Eurozone bond route continues. 10yr. Bund was 5bp on April20 and is up 5bp today to 72 bp.
Continued strong positive correlation and cointegraton with the Euro and recently very strong
Correlation with 20+ US yields.(TMV). Eur.Usd very strong. Greece still a problem.
Bullish on FEZ,SPY,FXE, TMV, IEI, EWG, EWS, EWI, EWG, EWJ, DXJ.
I lean to up as the direction for next significant move in SPY.
Bearish on UUP, HEDJ, TLT . The weak dollar supportive of risk and commodities.
Just glance at FXA,FXC and GLD for that reason.
neutral to bearish on EEM, EWZ, and other emergings. Watching for effects of rates, both fed and bond markets.
Retail sales flat, missed positive expectations. Consumer spending was less than even the small wage increses in the NFP despite low gas prices and now they are rising. Imports and export prices down sharp so when CPI comes out it should be low suppoting doves and stocks.
2yr note bid up on retail sales report and then held for the day. TLT (etf proxy for ZB) bid on report but faded in 5 minutes and up 5bp for the day. Steepening action at BOTH ends with easing up front and tighter far out.
EDZ15, Decemner, easing 3 bp surpassing the negative(dovish) interpretation of recent NFP
Eurozone news is good today. .4% Q1 growth following .3% in Q4. France best EWQ and then Germany EWG and even Italy EWI grew after many bad quarters.
Eurozone bond route continues. 10yr. Bund was 5bp on April20 and is up 5bp today to 72 bp.
Continued strong positive correlation and cointegraton with the Euro and recently very strong
Correlation with 20+ US yields.(TMV). Eur.Usd very strong. Greece still a problem.
Bullish on FEZ,SPY,FXE, TMV, IEI, EWG, EWS, EWI, EWG, EWJ, DXJ.
I lean to up as the direction for next significant move in SPY.
Bearish on UUP, HEDJ, TLT . The weak dollar supportive of risk and commodities.
Just glance at FXA,FXC and GLD for that reason.
neutral to bearish on EEM, EWZ, and other emergings. Watching for effects of rates, both fed and bond markets.
5/19 , Tuesday.
Euro down xxx for the 1st two trading days this week. ECB will load up on QE purchases before the summer holiday low liquidity period. QE is euro negative. This news quickly followed and counteracted euro area soveriegn yields and the correlated euro rising Monday due to Greece stress.
This resumes QE trade mode where both euro and soveriegn yields drop . There is now more
eligible bonds available for ECB and 'others' purchase after the big rally in yields(euro bond route) recently.
Sep15 and Dec15 ED rates Dovish last week on weak PPI and US manufacturing data is reversed, hawkish, on good housing data. Long bonds the same , TMV (long long rates) at high
end of range. Some de-coupling of recently highly correlated euro area and US 10+ debt.
(US treasuries seem to be moving on with US macro data)
FOMC minutes tommorrow and CPI(expcted uneventful yet below target) later week.
Commodities andcommodity currencies down with USD and US rates in sync.
Well, a central bank has told what it will do. Even after big move down, still bearish on euro
and bullish on Eurostoxx50 so HEDJ is good for both in one position. Euro 105 again?
A few emerging markets broke range today! EWZ,RSX brazil and Russia. BZQ is a low volume Brazilian small cap ETF that looks OK here.
Hawkish interpretation of minutes(FOMC meetimg was mildly hawkish), would align with this weeks PA in many assets. SPY its own 7 day rally presently betting recent data is too weak for the fed. Seems asymetric with downside more rewarding in front of fed.
Euro down xxx for the 1st two trading days this week. ECB will load up on QE purchases before the summer holiday low liquidity period. QE is euro negative. This news quickly followed and counteracted euro area soveriegn yields and the correlated euro rising Monday due to Greece stress.
This resumes QE trade mode where both euro and soveriegn yields drop . There is now more
eligible bonds available for ECB and 'others' purchase after the big rally in yields(euro bond route) recently.
Sep15 and Dec15 ED rates Dovish last week on weak PPI and US manufacturing data is reversed, hawkish, on good housing data. Long bonds the same , TMV (long long rates) at high
end of range. Some de-coupling of recently highly correlated euro area and US 10+ debt.
(US treasuries seem to be moving on with US macro data)
FOMC minutes tommorrow and CPI(expcted uneventful yet below target) later week.
Commodities andcommodity currencies down with USD and US rates in sync.
Well, a central bank has told what it will do. Even after big move down, still bearish on euro
and bullish on Eurostoxx50 so HEDJ is good for both in one position. Euro 105 again?
A few emerging markets broke range today! EWZ,RSX brazil and Russia. BZQ is a low volume Brazilian small cap ETF that looks OK here.
Hawkish interpretation of minutes(FOMC meetimg was mildly hawkish), would align with this weeks PA in many assets. SPY its own 7 day rally presently betting recent data is too weak for the fed. Seems asymetric with downside more rewarding in front of fed.
A quick question-you have a far better understanding of these ETF's than I-- I have to admit I own both HEDJ (http://www.wisdomtree.com/etfs/fund-details.aspx?etfid=73) and FXE- in equal proportions- FXE looks to be ready to stop out- HEDJ looks ready to go higher- they look like they are inversely correlated- in movement- in the short term-
FXE is the Euro vs USD? - (http://finance.yahoo.com/news/worst-over-euro-etfs-etf-150003294.html)
As the US D has been in decline, FXE was improving- Is the relationship with HEDJ always an inverse movement? Or is this just coincidental at this point in time?
Thanks -in advance for a greater understanding of how these work.
SD
HEDJ is simultaneous long Eurostoxx50 stocks with a filter for exporters AND short EUR.USD
Its usually very close to meeting its purpose.
Today FEZ was up +.2 %. And FXE was down -1.4%
FXE is long eur.usd so a short eur.usd was up +1.4% today.
HEDJ was up +1.5% today so it is the net of its two components , long Eurostoxx and short eur.usd
UUP ,our etf for expressing long/short usd is a net of many weighted major currencies.
I think the euro is a dominant 57% so it is - corr to a degree but is also effected by other currencies.
However , FXE is the euro vs. usd. It is a pure pair.
If you want to short the euro with an etf use the double inverse euro EUO not long UUP
Back to your present position of long HEDJ and long FXE. The component of HEDJ that is
"Short euro" nets to zero with long FXE so you are effectively long the "Eurostoxx50"
component of HEDJ.
When you are bullish on the euro you do not want to be long HEDJ. FEZ is a pure Eurostoxx50
Etf without a currency hedge for a bullish european stock .
For etf guys, UUP and FXE are inversely correlated. When the Yen is in gear it is not so clear as that is a major weighting of UUP.
Right now , euro goes up on good economic news and is opposed by the downward drag of ECB QE. And, everyday that is netted with the present USD forces of fed policy(hawk=up and dove
=down) and (good eco data = usd up, weak data =usd down). Sometimes the euro concerns(today) are the driver and vice versa( fomc day) , the usd news overwhelms what may be a quiet data day in Europe.
Actually today saw good US data for housing starts so that contributed to the 150
Pip eur.usd day.
Hope that helps.
I think (well sure after 250 pips) that if hawks can contribute to this squeeze + ECB leak followed by release that FEZ and EUO (HEDJ) could continue in present direction. Some volatility around the minutes expected so close stops on FXE dont survive.
Its usually very close to meeting its purpose.
Today FEZ was up +.2 %. And FXE was down -1.4%
FXE is long eur.usd so a short eur.usd was up +1.4% today.
HEDJ was up +1.5% today so it is the net of its two components , long Eurostoxx and short eur.usd
UUP ,our etf for expressing long/short usd is a net of many weighted major currencies.
I think the euro is a dominant 57% so it is - corr to a degree but is also effected by other currencies.
However , FXE is the euro vs. usd. It is a pure pair.
If you want to short the euro with an etf use the double inverse euro EUO not long UUP
Back to your present position of long HEDJ and long FXE. The component of HEDJ that is
"Short euro" nets to zero with long FXE so you are effectively long the "Eurostoxx50"
component of HEDJ.
When you are bullish on the euro you do not want to be long HEDJ. FEZ is a pure Eurostoxx50
Etf without a currency hedge for a bullish european stock .
For etf guys, UUP and FXE are inversely correlated. When the Yen is in gear it is not so clear as that is a major weighting of UUP.
Right now , euro goes up on good economic news and is opposed by the downward drag of ECB QE. And, everyday that is netted with the present USD forces of fed policy(hawk=up and dove
=down) and (good eco data = usd up, weak data =usd down). Sometimes the euro concerns(today) are the driver and vice versa( fomc day) , the usd news overwhelms what may be a quiet data day in Europe.
Actually today saw good US data for housing starts so that contributed to the 150
Pip eur.usd day.
Hope that helps.
I think (well sure after 250 pips) that if hawks can contribute to this squeeze + ECB leak followed by release that FEZ and EUO (HEDJ) could continue in present direction. Some volatility around the minutes expected so close stops on FXE dont survive.
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Yes- that helps- thanks for the explanation!
FXE will have been stopped out today on it's move lower-
Recently, there has been some increased activity and volatility in Europe and US government bond markets. Not much at the Fed end of curve but quite a bit of movement at the 20+ end correlating with yields increasing in Europe.These two charts are neutral SPY-EII 2-3yr treasury and SPY-TLT , 20+ treasury.
Neutral here means for example, the 2-3 year treasury move on avg about .15% a day and SPY about .6% per day so the spread is approx. SPY-4x(IEI).
just to show relationship between stocks and rates over the last 2 years or so.
Seems nothing out of the normal in these relationships has occurred but SPY-TLT is testing range.