07.24.2019 Wed, Sunny, Air Polluted
Trading Wise, Politically
Summary:欧元和英镑受制于硬脱欧派新首相产生和BOE鹰牌官员鸽派讲话等因素大幅下行，欧美上市公司当日财报大幅超过近期均值和下周重启谈判的新闻分别推动欧美股市上行。欧元和英镑这个样子太刺激他了。
EU
Asia equities ticked higher. But the potential trip for Mnuchin and Ross to China was offset by the news that US is imposing sanctions on one oil trading company and its CEO for 'knowing purchasing or acquiring oil from Iran' in the early time of Tokyo session. A share struggled and managed to grinded higher at the cost of STAR consolidation.
Following Asia peers, EU stocks markets opened positively after positive earnings from major names including UBS, Santander and AMS. Core and semi-cores traded flat while periphery saw strong selling off except Greece.
As to FX, it's all about the wait for Thursday ECB. Euro and GBP traded weak in anticipation with changes in forward guidance & 'lower for longer' expectation. At the early morning of London, BOE's Saunders, the once Chief hawk, says BOE isn't tethered to forecast suggesting hikes indicating he 's not pushing for higher rates for now, which dragged GBP even lower along with Euro. The weakness of sterling persisted even after Boris was announced as the new PM.
As to Brexit, Duncan tells bbcnews he quit govt so he could push for an emergency vote right after the next PM is announced, to test if they can hold a majority. But later Johnson ruled out an early general election after winning the Conservative Party leadership contest.
As to trade friction, EU increased the basket of goods it could tariff to $39bn as a retaliatory effort should the US impose auto tariffs on the EU.
To be noted, the new PM did make the market a little nervous since he reiterated the deadline as of Oct 31. Most EGBs reversed offer tone to be in strong bid along with USTs across the curve.
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Oil stabilized after UK try to de-escalate the gulf tension since Iran seized one of its oil tankers. Hunt declared UK remains committed to preserving Iran nuclear agreement and reiterate UK will not be part of US maximum pressure policy on Iran. What a politician!
data
10:00, EMU consumer confidence -6.6 vs. -7.1, prior -7.2
US
The similar thing of better Q2 report also happened in US. 41 listing companies released their q2 fiscal report and the average surprise index is 12.4, which is much better than the average level in this season. US equities gapped higher despite USTs stayed at the trough Until Shortly after the midnight, Bloomberg reported Lighthizer will travel to China on Monday for the first face-to-face talks between high-level negotiators since the trade talks broke down in May. After that, both stocks indexes and UST yields grinded higher into the close.
40bn 2yr notes at a high yield of 1.825%. Stopping through 0.2bps 1:00pm WI level. Dealers were awarded 31.6%, direct bidders were awarded 24.9%, and indirect bidders were awarded 43.5%.
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data
9:00, US May FHFA house price index 0.1% vs 0.4%, prior 0.4%
10:00, Richmond Fed manufacturing index Jul -12 vs. 5 , prior 3
US existing home sales -1.7% mom vs -0.4%, prior 2.5% up to 2.9%
events
PMI across Asia/EU/USA
US new homes
41bn 5yr
comments
DXY is well back above 97.50 again. Both blonde hair in UK and ECB dovish power contribute much to such an scenario which Trump could take as the last thing to see. The resuming of trade talk is always positive but HUAWEI is still the key issue which is far to be well solved. And the trade friction is holding Fed policy hostage despite EMU is at least pretending to hit back in a teeth for teeth style. What's more, we get Mueller testimony tonight. Most of my readers well know how much I hate to long gold, but it's typical asymmetric trading widow from now to July 31.
ps:1、华为手机音乐里有个奥巴马专辑，有点儿意思
2、
Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
译名：问价波塞冬:极端天气概率与公司回报互动机制研究
作者：Mathias S. Kruttli, Brigitte Roth Tran, and Sumudu W. Watugala
链接：https://www.federalreserve.gov/econres/feds/files/2019054 pap.pdf
2017年全美因极端天气造成损失高达300bn,而这篇论文就是通过期权和股价来研究极端天气的概率，分飓风滑坡和滑坡发生后损失概率两个层面。研究数据就是美国县一级的公司地理位置分布和销售数据以及美国国家气象中心（NOAA）的飓风预测和损失估计数据，研究方法就是开展两个假设检验验证。第一个就是一旦飓风造成滑坡，受灾地区公司股票期权的隐含波动率将因滑坡可能造成的损失抬升。而作者的研究结果支持了这个假设，发现一般这个隐含波动率会提高5-10%。通过滑坡发生后受灾地区公司股价变动分析，作者发现短期内受灾公司股价表现和对照组异常回报表现并无不同，但是长期而言则较为显著。如滑坡发生后120个交易日后，受灾公司股价回报的第10%分位要比对照组低12-14%。第二个假设是投资者在滑坡前关注飓风预测并据此要求滑坡以及滑坡可能造成损失的补偿，即如果金融市场是有效的，资产价格应该能够充分反映飓风预测的价值。之前有研究发现投资者对气象变化不太感冒，但是作者通过分析滑坡发生或者飓风消散前几天至几周的NOAA预测数据和股价期权价格分析，发现即便在滑坡发生概率低至10%及以下的时候，隐含波动率上升伴随股票回报减少。这样，推高隐含波动率和降低股价回报的动力来自两个源泉，一是滑坡发生概率，二是滑坡发生后造成损失的概率。
在上述结论的基础上，作者还进行了扩展研究：一是在飓风损失定价方面，通过研究公司所在地并不在预测的飓风行经路线上但最终遭受飓风灾害的公司股票期权隐含波动率，金融市场是不是比天文学家更聪明。结论为否。二是探寻了一下提高NOAA预测精度的意义。作者将超过或小于实际曝险值的额外波动率部分定义为预测误差，通过比较2007-2017年间数千家公司数据发现，平均效果大致提高了150bp，彰显NOAA预测精准度提高对于金融市场意义重大，对于政府决策也意义非凡。第三是对保险公司股票期权进行了研究，发现财产和意外保险公司在飓风滑坡发生后隐含波动率增福高达40%.
这篇论文实战性很强，今年以来已经是第二篇超有实战意义的论文了，难道Fed的博士已经羽翼渐丰，都要出来干HF啦。
Measuring the Liquidity Profile of Mutual Funds
译名：共同基金流动性特征研究
作者：Sirio Aramonte, Chiara Scotti, and Ilknur Zer
链接：https://www.federalreserve.gov/econres/feds/files/2019055 pap.pdf
这篇论文是研究开放式共同基金的日回报对于整体流动性因子的敏感度，还顺带提出了一个更高频的流动性监测指标。相关研究工作主要是针对重大‘意外’经济数据公布前后以及老债王换东家，TAFCF停止赎回和雷曼倒闭Neuberger Berman（这是一个人名，也是当年雷曼旗下一家资管公司的名字，401k的发明人）表现三个特定事件的开放式共同基金流动性表现。通过研究，作者发现关于经济负面消息公布的时候，小盘股基金和投资级高收益级债基的流动性都会恶化。反之则反是。同时，高收益债基的流动性敏感度变化值可以作为一个重要的流动性监测指标。
近期重要时间点：
7月24日，Mueller两院联合听证会
7月25日，ECB议息
7月26日，美国Q2 GDP
8月1日，FOMC决议
8月5日，USTR就欧盟40亿产品征税听证会
8月底，美国债务上限
9月份，Iphone11发布
10月底，脱欧截止日
11月，美欧汽车关税谈判
11月15日，SPACE-X载人龙飞船发射
11月16-17日， APEC峰会
12月，欧美汽车关税谈判终止
2020年11月3日，美国总统选举
Appendix：his t overnight (部分）
17条，略多，显然对晚上听证会紧张
Disclaimer：This material was prepared in private name and out of pernaonal hobby,definitely based upon facts and robust analysis with delicate consideration of highly professionality.But with no means to conduct any trade , and before using the contents of this note in any internal or external communication, please ensure you are comfortable and fully aware this could not be sufficient enough as any action base.
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