On the Vol for EUR/USD, I have the following numbers (which I track); 7 day HV - 5.28% (3rd decile) 21 day HV - 5.52% (1st decile) 63 day HV - 5.81% (1st decile) I reckon we are not looking at the same thing. Question on the FX number line, you did say you base it on London OR and a midnight CT close, correct?
While not the ACD number line all of my own mo mo indicators have flipped down on everything I trade just about. The only ones that are bullish are dollar fx pairs. Interesting indeed. Literally grains, softs, energy, etc. You name it, it's bearish. Of course my stuff can flip back positive in a week but I haven't seen this many times. Was wondering what you thought about a ten year short?
I'm not talking about stat vol and I'm not referring to just the Euro. OK, let me give an example. When the lights are off in your house, you have all sorts of critters walking around independently of each other. There is almost no correlation to what one bug, cockroach, etc are doing to each other. However, the second you turn on the light, correlation goes to 1 and they all scatter. In FX land, what I'm watching is the lights going on. When I see sharp moves across all the FX pairs all moving at the same time, that tells me there is a major shift going on. It's not about analyzing the stat vol on the Euro and noticing it's 10 basis pts higher this week over last week. Regarding the number lines, yes, London open and I use a 24 hour day since FX trades around the clock.
ZN failed at the QTR A up as well. Not a bad trade at that level but if risk assets sell off, I'm not sure how much follow through there will be on Bonds and Notes.
Yes, some weird stuff going on also. FB had a solid beat and got sold off. AIG had a small beat and is getting hammered. What next I wonder....
The QTR A down is around 3.33 give or take and the monthly A down will be somewhere around 3.41 or so. That 3.33 should get hit.