💡 Here's the second thread in our little Primer on the Term Structure series 🧵

💡 Must-know for every futures trader

Check out the post from last week in case you missed it 👇

https://twitter.com/fxmacroguy/status/1703405041129033936

1️⃣ Let's get the nerdy part out of the way first: there are futures with no volume traded or even no open interest, yet they have a price, see this chart of NG as an example. How does that work?

Quick answer: exchanges have settlement rules in place for that.

💡 A short primer on the term structure

If you're trading commodities it pays to have a good understanding of the term structure. Here's thread on what it is and how to use it.

BTW, the image is what Midjourney thinks the term structure looks like.

1️⃣ Futures have an expiration date. Plotting the price of each expiration for a given day will show the term structure. See the chart for crude oil $CL_F on August 8, 2022, as an example: further-dated expirations were cheaper than nearer-dated ones.

👉 Tuesday short wrap-up thread 🧵

The JPY was the strongest currency for the day, GBP the weakest with PMIs all over the place. Stocks went mostly sideways, VIX is still not moving away from the 20 handle, and bonds put in a solid bid. 1/10 📊 Econ Data: Another CPI surprise out of Japan 🇯🇵 early in the morning. The BOJ Core CPI is now at 3.1%.

Australian 🇦🇺 PMIs were pretty mixed: both below 50, the Manufacturing PMI below expectations; comments: inflation sticky, strong labour market. 2/10

📝 Morning Bits: Tuesday

The Market Dashboard remains pretty much unchanged. Overnight saw some strength from JPY and NZD, and weakness in the USD. Breakevens, RINF and 5y5y forward inflation expectation swaps all higher yesterday.

1/6 📰 Overnight headlines

Overnight data for AUD disappointing (this doesn't square with the Aussie strength we saw yesterday), Japanese Services PMI improving. Other than that nothing that's relevant or tradable short-term.

via ForexLive and LiveSquawk 2/6

👉 Thank god it's Monday again. Here's your short wrap-up thread 🧵

Risk on across the board today with AUD and NZD outperforming and JPY as the weakest performance. Stocks rallied and bonds were sold. 📊 Econ Data: The CB Leading Economic Index for the US 🇺🇸 declined further.

• Continues to signal recession for the US economy in the near term
• Widespread weakness among indicators
• Overall economic activity is likely to turn negative in the coming quarters

📝 Morning Bits: Monday

Market conditions aren't looking not too bad: trend metrics are up, distribution days are slowly rolling off, the VIX term structure is re-steepening. One warning sign: ES-VIX correlation is too high, look out for a pullback in stocks. 1/9 📰 Overnight headlines

China continues to stimulate the economy but a huge Covid wave is looming with 60k deaths/months already, the BOJ stays under pressure, Japanese PPI surprises, US debt ceiling already in the news.

via ForexLive and LiveSquawk 2/9

👉 Friday wrap-up thread 🧵

The Yen ends the day as the strongest currency vs. everything else, EUR and CAD were the weakest among the G8. Stocks are up with VIX holding easily below 20, and bonds lower. 1/6 📊 Econ Data: University of Michigan Consumer Sentiment has been improving quite steadily since it made its low in June last year. 2/6

👉 One thing I've started doing this year is looking more at correlations between different markets and assets.

Here's a short thread with a few key learnings of what's trading how at the moment 🧵 1/7 👉 Let's look at stocks first with the $ES

• vs. $USD -0.76 ⇒ risk off
• vs. $AUD +0.52 and vs. $NZD +0.69 ⇒ risk on
• vs. $JPY +0.13 ⇒ uncorrelated
• vs. US 10s -0.75 ⇒ stocks and bonds are highly correlated, so bonds still trading Fed pivot and not recession 2/7

👉 Friday and weekly wrap-up thread 🧵

Risk on today with the market hoping for a Fed pivot again. AUD and NZD were the outperformers in FX, the dollar trailing badly. Stocks and bonds rallied. 1/14 📊 Econ Data: The ISM Services PMI disappointed significantly but the comments sound relatively upbeat.

• New Orders now contracting
• Employment growing again (contrast that with the Manufacturing PMI on Wed)
• Prices increasing slower
• Backlogs still growing 2/14

📝 Morning Bits: Friday

Nothing dramatic in stocks/volatility going on. The implied Fed Funds Rate shifted higher yesterday, USD saw quite some strength yesterday and overnight, US 2y yields are up the most among the G8, JP 10s going strong. 1/9 📰 Overnight headlines

Again positive news from China: reopening, stimulus, prospect for more AU commodity import. More bond buying from the BOJ. Saudi Arabia cutting crude price on demand worries.

via ForexLive and LiveSquawk 2/9

👉 Thursday wrap-up thread 🧵

USD strength is back after strong jobs data, stocks are lower, yields bear flattened. AUD and GBP are the weakest currencies for the day. 1/9 📊 Econ Data:

🇪🇺 Eurozone PPI continues to drop off a cliff, energy being the driver behind the move. Another not-so-subtle hint that inflation has peaked. 2/9

👉 The year is almost over, so it's time to reflect a bit on how it went. Here are some semi-random thoughts on my 2022. A thread 🧵 1/12 1️⃣ I can honestly say that 2022 was the year I made the most progress in my trading career… by a mile!

From a process perspective and the mindset of continuously improving, it has been my most consistent year since I started trading in 2006/7. 2/12

👉 I've read countless books about trading and trading-related topics, but I've quickly forgotten most of them.

👉 Here's a list of 10 books from that niche I will remember forever. Some are classics, some are little-known but they all have something to offer! 1/12 1. Unknown Market Wizards - Jack Schwager

Pros: This one was a huge inspiration for me. The best of the Market Wizards books IMHO. Shows that there's no one best way to become successful and that methods and personalities can vary wildly.

Cons: None, go read it! 2/12

👉 Friday and weekly market recap thread...

If you like the central bank speakers recap: like/retweet the thread to get the full 3-page PDF with all 38 summarized comments from this week in your DMs! 1/18 📊 Dollar weaker on a surprise in Non-Farm Payrolls and Avg. Hourly Earnings (not sure why, though...), hot Canadian labour data only impressed CAD for a very short while, AUD and NZD are the strongest currencies for the day. Stocks and bonds: mostly sideways. 2/18

🫵 I've been using TradingView daily for about three years now.

Here are five TradingView hacks and skills that will make you faster, more productive, and improve your workflow. Significantly.

A thread 🧵 1/7 1. Keyboard shortcuts

• They make you lightning fast.
• Learn to use them for the things you do most: drawing lines, switching layouts and timeframes, measure, toggle magnets, etc.
• Pick one or two to start with. Once it's become a habit pick another one. Repeat. 2/7

👉 FOMC Wednesday in 14 tweets (if you're still sober after that press conference).

A thread 🧵

Short summary: stocks and bonds loved the FOMC statement but puked on Jay Powell's comments. 1/14 🏦 🇺🇸 FOMC Statement:

•Hike 75 bps as expected
•The newly inserted wording about "determining the future path of rate hikes" and the stuff they will take into account sounds very dovish
• The fact that it made its way into the statement is much more than I expected 2/14

Who else likes the music in the FOMC livestream before they start the show? They just changed the tune... love it... reminds me of a nursery rhyme...

Sleep tight before Jay Powell brings out his hawkish hammer.

👉 Tuesday in 11 tweets.

• Caixin Manufacturing better than expected
• Dovish RBA → AUD lower
• ISM Manufacturing downside surprise
• Hot JOLTS → USD up, stocks & bonds down
• BOJ/FinMin doves talking again
• BoE QT starts off well
• Dovish Lagarde

A thread 🧵 1/11 🏦 🇦🇺 RBA Rate Statement: hike 25 bps as expected

• Guidance unchanged: data-dependent
• Emphasis on lagging effects of monpol, pressure on household budgets
• GDP fc revised down: 3% this year, 1.5% 2023 and 2024
• CPI peak fc now 8% this year, decline next year 2/11

👉 Thank god it's Monday again. The day in nine tweets. A thread 🧵

📊 Econ Data: Stocks dull, Aussie stronger despite bad Chinese PMIs, Euro mixed/weaker despite good GDP and hot CPI, bonds offered again, USD higher. 1/9 📊 Eurozone CPI came in hot again at 10.7% y/y. Core CPI also surprised to the upside. All of that despite the recent fall in energy prices. 2/9

1/ Time for another mid-week podcast write-up! This time it's the latest episode of The Macro Trading Floor with Nick Stadtmiller @TheMacroMarket @MacroAlf @AndreasSteno @NickStadtmiller

Here's a (very short) summary 👇 2/ First of all, I'm a pretty terrible listener and doing a write-up makes me realize how much information I'm not taking up when I just listen to a podcast while doing something else. So, I guess it's a good way to train that skill, and it's also fun to do.

The RBNZ expects house prices to fall further, but even then they won't fall below 2021 levels... The OCR projections have been upped a bit