Recent content by AdrianWS

On the chance that something does materialize in US equity and we drop a bit further... or any repatriation flow from the typhoon highlighted earlier then USDJPY downside is VERY cheap here. a 3 week 101 put costs a mere 25 pips. heavy stops in 101.20/00 which are vulnerable. Risk reversal...

USDJPY and nikkei diverging, should be interesting with a large typhoon heading to japanese mainland. maybe some vol... tail risk not at all priced into the markets.

1) regarding FX, I don't have any charts to prove it, but volumes have definitely dropped this year... trust me on that one. But still, volumes are much higher on average than they were, 5 / 10 years ago so that is something. Just spreads are so much tighter as such desks make less money market...

I primarily write / advise clients regarding strategy... but I do run a "small" portfolio... its more of a CV than anything, but as I'm not *that* high up, my risk taking is quite limited as you could understand, especially in these times!

Vol is a particularly interesting point... I've attached a chart of 1 month implied volatility across the G10 currencies (EUR 1 month is even lower!) and while it is mean reverting, it can take a long time. and its not going to rise back towards 10.8 (10 year mean) until realized rises. which...

Had a few people request to go on the mailing list and that's great! Just to say, its not just FX notes, but Interest rates, Equity, Commodities and economics from a variety of different places.

my most bullish go-to chart for the AUDUSD is that of considering it as an EM proxy or a risk proxy (which are sizeable assumptions) Chart shows the AUDUSD vs the CDX emerging market - IG 5 year CDS spread. In other words, the risk premia of the emerging markets over "safety" Generally...

FX is easy, so easy. All you've got to remember is everything in FX is derivative of interest rates... now understanding rates is much harder (hence why some people struggle with it as a job) although its not so bad in my experience :)

Welcome :) regarding the gold/AUD chart. There is for sure a strong relationship, but I think the causal link between them is US rates; Gold has a strong tendency to trade with close ties to US TIPS, likewise, the AUDUSD is very closely correlated to the middle of the US rate curve. it is...

2nd attempt! *seems like file size issue, may have to do one at a time, or use drop box* feck it, Dropbox it is BNP P weekly FX - https://www.dropbox.com/s/rp18zivhfiag6ve/Global_FX_Plus_-_03_July_2014.pdf Goldman Sachs weekly technicals -...

afternoon, very quick and crude quant model for the AUDUSD! much more analysis and discussion needed ofc and I'll have another go at uploading a bunch of them... thinking about it, it may be file size limitations or something.

This is a test post to see if Sell side notes can be uploaded Some barclays / Goldman / BNP P notes if it works *seems like only barclays uploaded properly* as this post proves to me, much easier to email out to anyone that wants them :)

Here is another for the AUDUSD. I've modelled the AUDUSD against; -2Y implied yields -US 10YY -3M Implied Yield (model code is 0.8825-(0.0005*(AUD 2 year yield))-(0.0677*US 10 YY)-(0.0012*3M AUD IV) What we've seen in the past few weeks is a decent divergence (as shown by histogram on pane...

So a few charts that I'm watching at the moment 1st is EURUSD vs 1Y implied yield. Recent movements have caused the market (not just 1Y, but fwd starters and x-ccy bs to widen in the USD's favour as shown) This is nominal yield, and doesn't show the full picture as USD inflation swaps have...

Hello! Introduction to myself, I'm a sell-side strat (Macro, rates & FX) and while I have to operate under a pseudonym I can comment and discuss anything worth talking about. I'm UK based btw. A few things first, This thread will hopefully be an interesting discussion from a macro perspective...