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Robert P. Balan Profile picture
@RobertPBalan1
Feb 13, 2023 • 15 tweets • 5 min read • Read on X
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1/X
 robert.p.balan (PAM)
Feb 13, 2023 10:54 AM

We are seeing a preliminary dtermination (not all factors agree at this time) of a further declines to February 15/17 from the Corr Coeff Model featuring the SPX vs the VIX, VVIX, and SKEW Indexes.
2/X
 robert.p.balan (PAM)
Feb 13, 2023 11:08 AM

Falling Repo Rates GC drives more RRP take ups, which tightens NET LIQUIDITY. RRP take ups have been declining due to rise in Repo Rates GC, but that changed late last week. Repo Rates are now drifting lower, . . .
3/X . . . and so RRP takes ups are building again -- followed by falling NET LIQUIDITY -- removing a tail wind for risk assets. Low provided by this model is also Feb 15.
4/X
 robert.p.balan (PAM)
Feb 13, 2023 11:08 AM
I am getting a sense from the China TSF Model that the weakness in cryptos and equities extends to February 15/17 (short-term), and in the longer term, the current bear phase may go as far as the first two weeks of March . .
5/X . . . But with CPI upcoming data, we will square up/hedge up all short positioning by Monday NY session. If we get further declines from here before then, then we may have to buy back some short positioning, if profitable.
6/X
 robert.p.balan (PAM)
Feb 13, 2023 11:49 AM

We buy back the 900 contract short Gold scalpers. I asked the Trade Boys to see if the PB is willing to offset these short GC trades from its orders books, but if not possible, then to go to the market in small packets of orders.
7/X
 robert.p.balan (PAM)
Feb 13, 2023 11:57 AM

Short Gold scalpers bought back/exited.
8/X
 robert.p.balan (PAM)
Feb 13, 2023 1:27 PM

As I just told John, I think DXY will decline and pullback to 103.52 and the 10Yr Yield to 3.72 -- that's why I just want to get rid of these large GC positions, which are making money anyway, and so then we start fresh.
9/X
 robert.p.balan (PAM)
Feb 13, 2023 1:32 PM

So here comes the DXY falling out of bed. Aren't you glad you bought back your short GCJ3 trades? We are!
10/X
 robert.p.balan
Feb 13, 2023 4:45 PM

DXY was hammered hard and has been to as low as 103.375 -- but Gold (XAU) remains in the cellar. Strange. The MOTUs aren't allowing Gold to rally . . .
11/X
 robert.p.balan (PAM)
Feb 13, 2023 4:51 PM
These are machinations, realignments ahead of CPI data tomorrow -- which could induce some strange moves. These may mean nothing and the market re-realigns just before release -- unless someone already knows what CPI data would be.
12/X
 robert.p.balan (PAM)
Feb 13, 2023 5:02 PM
It seems apparent that the correction lower in the 10Yr yield may have already bottomed. If there is no new breakthrough upside this time around -- its time for us to buy back the 900 contract short TN trades.
13/X
 robert.p.balan (PAM)
Feb 13, 2023 5:20 PM
DXY will recover in about half an hour, and follow the 10Yr Yield higher. But equities are rallying in the meanwhile because equity retail has the indexes mapped to DXY. Let's see what happens next.
14/X
robert.p.balan (PAM)
Feb 13, 2023 6:17 PM
I was DMed and asked if I plan to reset the short Gold trades. I am sorely tempted to do so (given that the MOTUs seem unwilling to let Gold rise). But today, we are in the risk mitigation mode, and anyway . . .
15/X . . . we still have 300 contracts short GCJ3 that is just about to break even. So no -- unless we see DXY pirouette-ing smartly higher. Mr. TK shakes his head.

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More from @RobertPBalan1

Robert P. Balan Profile picture
Aug 31, 2023
1/X
$ES_F $NQ_F $SPY $QQQ $IWM $TNX $TLT $GLD #BTC #BitcoinETF

Predictive Analytic Models (PAM)
Robert P. Balan
Aug 30, 2023 10:46 AM

(Late post, busy trading yesterday)

EUROPE SESSION BRIEF:

LOOKING FOR A SHORT TERM TROUGH IN THE 10YR YIELD AND DXY; ONCE WE HAVE IT IDENTIFIED, WE OFFLOAD ALL POSITIONING THAT ARE IN PROFIT, AND THOSE AT RISK, IF THE 10YR YIELD AND DXY BACK-UP HIGHER

The old Fed Aggregate Model (weekly series, out of sample since May 2018) continues to suggest that the SPX should also be trending higher until the 3rd week of September.

However, there could be a mid-point kink lower befoe then, so we want to lighten up on long risk asset positioning sometime during the first week of September.
Robert P. Balan
Aug 30, 2023 4:07 PM

This is the EWP schemata which are on the lookout for -- a final dip, followed by a significant retracement of the Yield decline since 27 August, possibly back to 4.17 - 4.175. Image
3/X
Robert P. Balan
Aug 30, 2023 4:10 PM

This is the corresponding EWP schemata, which may apply to the DXY. We could be looking at 103.75/78 before it peaks. Not a great lot, but that may change, depending on some macro data impacting the markets before the week ends. Image
Read 9 tweets
Robert P. Balan Profile picture
Aug 30, 2023
1/X
 $ES_F $NQ_F $SPY $QQQ $IWM $TNX $TLT $GLD #BTC #BITCOIN

Predictive Analytic Models (PAM)
Robert P. Balan
Aug 29, 2023 9:46 AM

EUROPE OPEN BRIEF:

DXY AGAIN LEADS THE RISK ASSETS; FALLING DXY PRIMES A RALLY IN EARLY EUROPE; THE 10YR YIELD IS AT THE CUSP OF BREAKING BELOW CRUCIAL SUPPORTS LEVELS -- COULD FALL HARD IF SUPPORT GIVES WAY; WE ADD MORE LONG RISK ASSETS ON THAT BASIS (LONG TN, SHORT DX)

(Late post; too busy trading yesterday)

The next major inflection point of the factors influencing high-frequency changes in risk asset prices happens during the 3rd week of September. From today until then, the 10Yr Yield should be on declining phase.

Precursors of, and factors influencing the changes in the 10Yr Yield, SPX, DXY, Gold, and GBTC -- all suggest falling yield over the next couple of weeks, or so until the 3rd week of September.

Treasury Bill Issuance, Total Public Debt, Treas Gen Account, O/N Reverse Repo (inv), Bank Reserves
2/X
Robert P. Balan
Aug 29, 2023 9:48 AM

The DXY falls sharply during early Europe trade, triggering a rally in risk assets (inverted in the chart below).
Image
3/X
 Robert P. Balan
Aug 29, 2023 9:50 AM

We should see another surge in risk asset prices if/when the 10Yr Yield falls below 4.17, the intermediate support level.

A breach below should also drag the DXY lower, and should have collective, positive impact on the long TN, Gold, and Equity futures trades. Short DXY futures should also do well, if/when the Yield falls below 4.17 pct.
Read 13 tweets
Robert P. Balan Profile picture
Aug 28, 2023
1/X
 $ES_F $NQ_F $SPY $QQQ $IWM $TNX $TLT $GLD #BTC #Bitcoin

Predictive Analytic Models (PAM)
Robert P. Balan
Aug 28, 2023 8:49 AM

PRE-EUROPE OPEN BRIEF:

DXY LEADS THE 10YR YIELD, EQUITY FUTURES, AND GOLD; WE EXPECT DXY TO FALL FURTHER -- WE ADD TO LONG GOLD, EQUITY FUTURES, AND SHORT DXY FUTURES POSITIONING; WE INTEND TO ADD MORE LABU IF/WHEN THE YIELD FALLS ALONGSIDE DXY

The inflation swap compensation rates' "model" suggest that the 10Yr yield should continue to roll over, and and fall further for at least another week or so until early September.
2/X
Robert P. Balan
Aug 28, 2023 8:49 AM

It looks like Yen weakness ends sometimes very soon . . . If this is true, then Gold will get a boost. Image
3/X
Robert P. Balan
Aug 28, 2023 8:49 AM

Our Yen models are telling us that the Yen should start firming soon, and it is the US Dollar's turn to get weaker -- that should be good for Gold and equities. Image
Read 13 tweets
Robert P. Balan Profile picture
Aug 23, 2023
1/x
$ES_F $NQ_F $SPY $QQQ $IWM $TNX $TLT $GLD #BTC #Bitcoin

Predictive Analytic Models (PAM)
Robert P. Balan
Aug 23, 2023 10:17 AM

EUROPE SESSION BRIEF:

OUR EVALUATION OF THE US LABOR AND EMPLOYMENT SITUATION SHOWS DATA HAS STARTED BECOMING LESS BENIGN, AND MEDIA REPORTS LIKELY TO TRIGGER MORE BOND AND EQUITY PROFIT-TAKING AHEAD OF THURSDAY INITIAL JOBS CLAIMS, AND FRIDAY'S JACKSON HOLE EVENT

Our high-frequency evaluation of the US labor and employment situation suggests that the still benign labor and employment data will start becoming less favorable.

And if media stories today showcasing the possible degradation of recent benign jobs report are correct, then Mr. Jay Powell will have less favorable employment situation to validate a higher-for-longer rate policy during the JHole event.
2/X
 Robert P. BalanOwnerModeratorLeaderAug 23, 2023 10:18 AM

-- 500,000 jobs could disappear in dramatic revision of US government data: JPMorgan economist Daniel Silver predicts that the job market is 500,000 positions weaker than what the Bureau of Labor Statistics’ originally reported, meaning there are 40,000 fewer jobs pe…nypost.com/2023/08/22/us-…
NYpost.com
3/X
Robert P. Balan
Aug 23, 2023 4:56 PM

Here we are getting some supporting data for our thesis that the cracks in the employment and labor siotuation, will likely grow progressively wider. Recent hints of softness in the jobs data should progressively grow softer.

Nick Timiraos
The US economy added 306,000 fewer jobs than previously estimated during the March 2022-23 period, according to the preliminary estimate of annual benchmark revisions to the establishment survey . . .
Read 8 tweets
Robert P. Balan Profile picture
Aug 22, 2023
1/x
$ES_F $NQ_F $SPY $QQQ $IWM $TNX $TLT $GLD #BTC #Bitcoin

Predictive Analytic Models (PAM)
Robert P. Balan
Aug 21, 2023 10:49 AM
(Late Post)

EUROPEAN SESSION BRIEF:

FURTHER 10YR YIELD AND DXY DECLINES ON PROFIT-TAKING, AHEAD OF JACKSON HOLE EVENT, ALTHOUGH YIELD TOPPING OUT REMAIN "CHAOTIC"; WE ADD LONG RISK ASSETS SENSITVE TO DXY AS DXY LEADS THE YIELD TO THE DOWNSIDE; COVARS MAY BE NOW REVERTING TO NORMAL

I am looking at the way pure T-Bill Issuance has screwed the entire liquidity process. The weird, variable covar between the Yield and SPX started when the Treasury massively issued T-Bills, and Bills alone (see chart below), as from May 29.

I am starting to think that once Treasury goes into Bond plus Bill Issuance again (as was the norm), the liquidity covars will snap back to normal.

If we get an SPX rally from here, as we expect, (SPX inverted in the chart above), that maybe indicate that the liquidity covars are reverting to normal (a big relief to all of us). Note that the Treasury has started to issue both Bills and Bonds/Notes.
2/x
 Robert P. Balan
Aug 21, 2023 10:52 AM

The 5Yr 5Yr "model" suggests moderating pressures on the 10Yr Yield, which my see further declines until mid-September. Image
3/X
 If the covars normalize, then the Net Liquidity thesis may become useful again. That happens if/when the SPX/equities resume the uptrend, alongside rising financial liquidity. Image
Read 6 tweets
Robert P. Balan Profile picture
Aug 18, 2023
1/X
 $ES_F $NQ_F $SPY $QQQ $IWM $TNX $TLT $GLD #BTC #Bitcoin

Predictive Analytic Models (PAM)
Robert P. Balan
Aug 17, 2023 2:36 PM
(Late post)

PRE-NY OPEN BRIEF:

THERE'S DICHOTOMY BETWEEN THE FALLING DXY AND RISING 10YR YIELD; WE BELIEVE THE DXY WINS THIS ONE -- SHARP DXY DECLINES WE JUST SAW SUGGEST THE PRESSURE ON CHINA TO "DEFEND" CNY HAS PEAKED; A 10YR YIELD TOP FOLLOWS SHORTLY (AND HOPEFULLY, EQUITIES RISE AS CONSEQUENCE)

The fear of a China Treasury dump is what has been pushing up Yields and the DXY since last week. It is not the old FOMC statement that is doing it -- it is the fear that China will dump Treasuries to defend the CNY.

However, China never defended the CNY (except at the time when there was a massive outflow of domestic capital in the mid-1990s). But there is absolute no chance of that happening again -- there can never be again that kind of massive domestic capital outflow.

The PBoC and the SAFE have plugged all the large holes via which that can happen. No chance. There is very little credence to the speculation that Treasuries will be sold to "protect" the weak CNY. In fact, China is loving that weakness, although not too obviously, as a weak CNY also tends to scare away precious FDI.

And, oh, by the way, changes of the 10Yr yield lag behind the changes of China exports by 2 quarters (see chart below). The 10Yr Yield should fall, not rise.
2/X
 Robert P. Balan
Aug 17, 2023 1:20 PM

The DXY, for once is leading the 10Yr yield -- rightfully so. If the US Dollar (DXY) weakens, then there little risk of the PBoC selling US Treasuries to try and prop up the CNY.

Assuming that China want to firm up CNY is a cockamamie idea foisted by the clueless -- China is always desirous of a weak CNY to bolster exports -- which is the only sector that is delivering results in China right now.

To believe that China will do something to damage that success now (if CNY strengthens) is downright inane.
3/X
Our O/N RRP "model" suggests that the roll-over in 10Yr Yield is now due, probably even today. This construct has been tracking the ups and downs of the 10Yr yield quite well since the RRP facility becase the primary driver of shadow banking liquidity.

If it still works, a top in the Yield today may see a short-term bottom by mid-September.
Read 7 tweets

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