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Robert P. Balan Profile picture
@RobertPBalan1
Aug 23, 2023 • 8 tweets • 4 min read • Read on X
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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 . . .
4/X
 Robert P. Balan
Aug 23, 2023 2:20 PM

The initial claims data this week/tomorrow may make a difference with the Jackson Hole event Friday. It is only one data point, but if the insurance claims keep on rising, as has been the case for the past several weeks, then the NonFarm Payroll and Unemployment Rate data have to subsequently adjust lower, and higher, respectively.
5/X
 Robert P. BalanOwner
Aug 23, 2023 11:06 AM

In fact, if the lead of changes on Initial Jobless Claims, 10Yr Yield and CPI over changes of the FFR is still extant, then we could see a plateau on FFR rates very soon.

In previous monetary policy cycles, the FFR plateau-ed well before the inflection point higher of the initial claims data, CPI and the 10Yr Yield.

Different circumstances this time around, its true; but the sequential logic remains the same.
6/X
User 58668107
Aug 22, 2023 11:28 PM

RB do u have the net liquidity chart which u used to show when there is a rise or fall over the next few weeks etc

Robert P. Balan
Aug 23, 2023 4:23 PM

User 58668107 -- This is a better reference -- it is in the PAM Analytics Channel, so it is available, 24 X 7.
7/X
gosume
Aug 23, 2023 5:09 PM

Robert P. Balan can we get an updated EWP chart for the 10Y? You think we fall to July lows into Mid Sep?

Robert P. Balan
Aug 23, 2023 5:38 PM

I have more confidence in this model than in my EWP schematics at this time.

First huge support Sept 11, and then after a small rebound, the Yield falls again until at least Sept 21.
8/X
Robert P. Balan
Aug 23, 2023 5:08 PM

Mr. TK suggests that we should offload the first LABU trade if we get to see it above 5.10 -- just to make sure first trade does well. We will do that . . . this has been a phenom trade, and I am happy to oblige. 😃 Image

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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 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
Robert P. Balan Profile picture
Aug 16, 2023
1/X
$ES_F $NQ_F $SPY $QQQ $IWM $TNX $TLT $GLD #BTC #Bitcoin

Predictive Analytic Models (PAM)
Robert P. Balan
Aug 15, 2023 11:58 AM

(Late post)

EUROPE SESSION BRIEF:

10YR YIELD SET FOR ANOTHER UPTICK, THEN PEAKS (PER THE MODELS) -- WILL ADD MORE LONG RISK ASSETS (EQUITY, CRYPTO ETFS, TMF) AND ADD TO GOLD GC LONG EXPOSURE; DXY IS LEADING THE SHOW -- ONCE DXY STARTS MAKING LOWER LOWS, WE ADD TO GOLD AND EQUITY EXPOSURES

The action of, and between, the 10Yr Yield and equity indexes are flipping back and forth, at the drop of a hat. This is what I was warning you about last week, when the topping out of the 10Yr Yield started . . . .we just have to hunker down until this chaos blows over.

2/X
 Robert P. Balan
Aug 16, 2023 3:20 AM

We go by the output of the models, and we interpolate the data so the models can provide us optimized "daily data" (instead of weekly) . . . but in doing so, we need to allow a "wiggle room" of plus or minus two days.

Here is how the model looks like after NY Close yesterday:
3/X
Robert P. Balan
Aug 16, 2023 3:28 AM

Here is how the model looks like on raw, weekly, non-interpolated data. . . Image
Read 11 tweets

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