Implied correlations (CBOE index, blue) and implied volatility (VIX, red) are now pressing year-to-date highs. Treasury volatility (MOVE, green) is till subdued for now.
Thursday and Friday saw 52.5 basis points of rate cuts priced back into December 3M SOFR futures.
Dollar Index $DX futures. This sharp move down in the dollar has caught large (blue) and small (green) speculators offside.
Energy equities ($XLE) versus the Nasdaq 100 ($QQQ).
It was last August when the 🐿️ coined the term ‘Crude-ilocks’ to describe his (‘not too hot, not too cool’) medium-term outlook on oil markets. I think it has stood the test of time reasonably well.
WTI crude term structure.
2nd month WTI (CL2) versus 24th month WTI (CL24) out to 60th month (CL60)
Rolling 12-month correlation between 36th month WTI crude futures and the total return of the S&P500.
Squirrel Out!
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Pod: Gasoline Blues
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Blind Squirrel Macro - The Pod
Macro for Civilians. Sharing successes and failures in the 30-year hunt for acorns in the markets. Finance observations are hit and miss.
Macro for Civilians. Sharing successes and failures in the 30-year hunt for acorns in the markets. Finance observations are hit and miss.
Pod: Gasoline Blues