Monday Morning Macro

Ex-Hedge Fund Portfolio Manager. Full-Time Parent, Data Scientist & Interest Rates Trader. Disc: If you trade off what you read on Twitter, I can't help you.

[Monday Morning Macro @MacroMorning]

QE or not QE? If it walks & quacks like a duck.. well, it's prob darn gonna #trade like a duck too.🐤💵🐤

https://t.co/EVu0hhoAR1

@federalreserve can call it whatever they want. From #Repo's to POMOs, LSAPs to (shh) #QE.. what you need to know & what happens next. 🔥💵🔥

[Monday Morning Macro @MacroMorning]

Let’s get #serfff6 trending people

Sorry if you don’t get the basis for that; it’s an inside joke

[Monday Morning Macro @MacroMorning]

@gamesblazer06 @siddiqui71 Oh, to be only off by 3bps again. #fintwit PNL is so much better than real PNL.. #GBP #CAD 😳

[Monday Morning Macro @MacroMorning]

Mission: Accomplished, Chair #Powell🤦‍♀️

24hrs after trying to move #FOMC back to neutral on #rates, #market adds half a cut back thru end 2020🔥💵🔥💵

@federalreserve: impressive run of ineptitude continues. @NewYorkFed #traders: maybe cancel those big holiday plans...🚧👨‍🔧🚧

[Monday Morning Macro @MacroMorning]

@ZFXtrading @federalreserve Super cool of you! Thanks!

[Monday Morning Macro @MacroMorning]

Past 100 #FOMC mtgs: once we've reached these "odds" @federalreserve has never NOT delivered #rates #market modal outcome (hike, hold or cut)🔥💵🔥

1 last cut 10/31? #NotQE a passing fad? Sorry #markets will always need #MOAR

Beware incentives👩‍🏭🚧 https://t.co/SWBI8qCwu0

[Monday Morning Macro @MacroMorning]

Biggest 48hr move since just before FRA/OIS #markets detonated in Feb '18🔥💵🔥

@NewYorkFed #Traders & @federalreserve surely have it under control like 18mths ago & mid Sep '19... Right?🚧👨‍🔧🚧

@zerohedge @gamesblazer06 @RaoulGMI @SamanthaLaDuc👌

https://t.co/5iXZQgYyCu

[Monday Morning Macro @MacroMorning]

@realjosecjaime To be clear, it’s the DV01 so FF will be 41.67/25 greater than ED$ (hopefully that makes sense).

[Monday Morning Macro @MacroMorning]

#Rates position increase on Fri largest in 6 mths by factor of over 2.5x as @federalreserve says they'll buy all the bills - & then some.

So, how's the monster-sized herd doing in today's torrent of unwinds? 🐏🐏🐏

Not good. Not good at all. 🔥💵🔥💵

https://t.co/68O7qhonjb

[Monday Morning Macro @MacroMorning]

@realjosecjaime Good catch. It was. Snapped it between time prelim OI report came out (~4am EST) and the final (~10am). Swing in prelim vs final meant ending values weren’t as extreme. Happens when there are large OI moves in funds that have many-X alloc (project for another day).

[Monday Morning Macro @MacroMorning]

@TweetJWQ @federalreserve Thanks!

[Monday Morning Macro @MacroMorning]

@siddiqui71 @DiMartinoBooth @sleevesrolled @RaoulGMI Not at all! That’s exactly why we share information & knowledge in the first place! 🖖

[Monday Morning Macro @MacroMorning]

@DiMartinoBooth @siddiqui71 @sleevesrolled @RaoulGMI 👉 https://t.co/qJ5X6M0ZBh

[Monday Morning Macro @MacroMorning]

@SimonFx_ @federalreserve @NewYorkFed Thanks, yes I do. Appreciate it!

[Monday Morning Macro @MacroMorning]

Kabuki policy at its finest @federalreserve. Just #NotQE👺🚧👨‍🔧

Last 2wks, #markets migrate from needing both Oct&Dec #FOMC cuts to now just Oct..

..in exchange for extended term #repos, @NewYorkFed #traders buying entire yr's net bills supply+more 🔥💵🔥

[Monday Morning Macro @MacroMorning]

Battle stations! @federalreserve @NewYorkFed #trading desks. 🚧👩‍🔧🚧👨‍🔧

Overnight #funding #rates just fixed back above 2.00%, first time since announcement of "Not #QE4" #moar. 🔥💵🔥

Matter of time before broader #markets start to pay attention again 🧐

[Monday Morning Macro @MacroMorning]

@siddiqui71 @Amdalleq @mtmalinen @DiMartinoBooth @dlacalle_IA @lisaabramowicz1 @C_Barraud @RaoulGMI @michaellebowitz @LanceRoberts @AndreasSteno @hussmanjp @gamesblazer06 @GauravSaroliya @TeddyVallee @TaviCosta @jsblokland @Barton_options @biancoresearch @EconguyRosie @JeffSnider_AIP @Schuldensuehner ...and don't forget @siddiqui71 !! Nobody has a finger on the pulse of fintwits the way they do! 😉👌🙏🙌

[Monday Morning Macro @MacroMorning]

@GauravSaroliya @MarketBlondes @NewYorkFed @federalreserve Crudely:

Imagine a preschool class. Teacher one day says everyone has to pay a fee at mth end for however many times they use the WC. Dimon, richest kid in school, says “Mmkay. No tks. I’ll just go in the hall. We’ll see how long this lasts..”

Today’s conf call proved it.

[Monday Morning Macro @MacroMorning]

Obviously, total coincidence biggest #money #market fund in world yanked cash from o/n mkt start of Sep, doubling WAM in 10 days, right before all hell broke loose. 🤔

@NewYorkFed & @federalreserve called in, less than mth later Not QE 4

Heck of a trading strategy Jamie 🔥💵🔥

[Monday Morning Macro @MacroMorning]

@siddiqui71 @gamesblazer06 @Stimpyz1 @LukeGromen @Millenarian12 @xccybasis @RaoulGMI @amital13 @DiMartinoBooth Yes. Pulling o/n RRP $ would lengthen WAM. Particular fund's assets dropped by almost 10% during the same period.

[Monday Morning Macro @MacroMorning]

@andrewmanners5 @darioperkins @DiMartinoBooth @siddiqui71 @gamesblazer06 @GauravSaroliya @dlacalle_IA @michaellebowitz @LanceRoberts I think you're referring to this? It's originally Bernanke but Yellen has paraphrased a few times:

https://t.co/qJ5X6M0ZBh

[Monday Morning Macro @MacroMorning]

@gamesblazer06 @Stimpyz1 @LukeGromen @Millenarian12 @xccybasis @RaoulGMI @amital13 @DiMartinoBooth Exactly.

I struggle to believe that a close to quarter trillion dollars of Govt-Only money at $JPM just decided to double its effective WAM for a #trade & didn't know it was going to effectively hobble the overnight #market.