Macro Trader

Here’s that uptick in core services excluding housing (aka Supercore MoM PCE) that Chris mentioned.

이게 재밌지 않은가.

서비스가 생각보다 덜 기여했네. 🤔

Here’s the change in topline PCE contributions from December to January.

Implication: 이번 달 고용, 소비, 물가 모두 강하다는데 동의하지 못할 이유가 하나도 없음. 핵심은, 그럼 이 강한 경제 상태가 지속되어 줄 것인가? 문제다. So there was really no disagreement across a raft of indicators that January was a strong month for the economy, from jobs to consumption to inflation.

Market Reaction: 스왑 시장 거래를 통해 보면 25bp 크기의 금리인상을 세 번 더하고 5.4%의 최종정책금리로 책정 중이며, 큰 변화는 없음. Swaps traders continue to price in that the Fed will likely lift its policy rate 25 basis points at its next three meetings. Traders see the terminal federal funds rate to be at about 5.4% by July, from around 5.38% earlier in the day.

Here’s a breakdown of the top five sub-component contributors to the higher-than-expected 0.6% MoM PCE Price Index.

Bottom-line: 물가지표가 전년 대비로 상승한 것은 지난 9월 이후 처음이고, 중앙은행은 한 해를 이렇게 시작하고 싶지 않았을 것임. It’s the first increase in the core price index on a year-on-year basis since September. Just not the direction that policymakers wanted to be heading at the start of 2023.

Bottom-line: Inflation hotter than expected. PCE core accelerated 4.7% in January, above all analyst estimates. And the month-on-month gain matched the highest forecasts.

Fed’s preferred inflation measure much higher than forecast.

Burn out. 🤦🏻‍♂️

Docent: 중앙은행이 정책금리를 높이는데, 미국 예금금리는 왜 0.23%에 있을까에 대한 도슨트임. 일반적으로 중앙은행은 금리를 통해 시중의 통화를 은행에 들어와 묶이도록, 때론 은행 밖에서 활발하게 사용되도록 유인함. 가령, 지금과 같은 때는 금리를 높이고, 이를 은행도 예금금리를 올리며 따라와서 시중의 인플레이션을 만드는 화폐유통을 줄이고 싶어할 것인데, 0.23%의 예금금리에 누가 저축을 할까, 반문할 수 밖에 없음. 바클레이즈의 분석가는 예금금리가 정책금리를 따라 오르는 것은 과거에는 시간의 문제지 결국 같이 갔지만, 지금은 그런 관계가 깨진 것으로 추측함. 아무리 은행의 예금금리가 오를 때는 깃털같고, 내릴 땐 무거운 바위 같다해도 최근의 현상은 지나치게 큰 차이를 남겨두고 있기 때문임. 그가 생각키로 오랜기간 양적완화로 인해 은행은 이미 너무 많은 예금을 보유하고 있어 사실 상 추가 예금이 필요치 않는 것 같다 함. 또한 과거 은행 간 예금금리로 경쟁이 있었다면, 지금은 거액 자산가를 대상으로 하는 서비스 경쟁력을 높이는데 더 집중한다는 것임. 이것이 왜 중앙은행이 정책금리를 올려도 은행의 예금금리가 반응치 않는지, 그 관계가 약해진 이유를 상당히 설명해줄 것임. There are a bunch of different ways that benchmark interest rates affect the average person, but perhaps the most visible (other than through mortgage rates) comes via the rate of return on your savings account. At the moment, the average interest rate on US bank accounts is just 0.23% according to Bankrate.com, which is a lot lower than benchmark rates that now sit at 4.5-4.75%. So why the discrepancy? Aren't banks supposed to raise their savings rate as the Federal Reserve hikes?. Barclays strategist Joseph Abate, As he argues, deposit rates usually do go up during tightening cycles -- it's just a question of how fast. That's because banks typically begin tightening cycles with lots and lots of deposits, which means they're not really in any rush to try to get more. As customers start moving their money into alternative higher-yielding products (like money market funds), banks begin to raise their rates to replace lost deposits. The tendency for bank deposit rates in a "rising rate environment go up like a feather, and in a interest rate cutting environment where the Fed is easing policy, they sink like a stone, that's been a phenomena for decades," says Abate. But there is an argument to be made that the relationship between benchmark rates and bank deposit ones has been weakening in recent years. One explanation for this has to do with quantitative easing, which has resulted in banks holding more deposits than ever before -- meaning they're not really in a hurry to compete for more. But Abate also points to something else: "Banks increasingly, especially the larger domestic institutions, they're not competing specifically on explicit interest. Rather than compete on interest rate, they compete on price services." So banks haven't been raising interest rates because they haven't really needed to. They still have plenty of deposits sloshing around and big clients are more likely to respond to extra services and high-touch offerings than a measly extra basis point or two. That's not going to be any comfort to people earning 0.23% on their savings, but it goes some way toward explaining the frustratingly slow way in which Fed hikes are passed on.

Get a good rest. 🙏🏻

Bottom-line: 제이피모건이 2018년 2월, 변동성에 반대로 베팅한 상품이 촉발한 시장 충격 상황을 만기가 하루도 남지 않은 옵션들이 재현할 수 있으며, 심할 경우 하루 300억 달러 규모의 매도가 촉발 될 것이라 경고 했으나 뱅크 오브 아메리카는 그럴 것 같지 않다 반박함. S&P 500 옵션 거래의 절반 가까이를 이런 하루도 남지 않은 옵션이 차지하고 있지만, 이 많은 거래 유형이 단순 한 방향이 아니며, 어느 한 거래가 위험에 처해도 충격이 다른 형태로 전이되지 않을 정도로 시장이 균형잡혀 분산 된 상태로 봤기 때문임. 즉, 2018년 2월 2주만에 -10% 지수 하락을 가져 온 것은 모두가 한 방향에 쏠린 상태 때문이지만, 지금은 그렇게까지 일방적 방향에 쏠린 거래가 보이진 않음. A week after JPMorgan Chase & Co.’s Marko Kolanovic issued a “Volmageddon 2.0” warning on the explosive rise in short-dated options, Bank of America Corp. strategists are pushing back. Investor positioning in hot derivative-powered trades — like S&P 500 contracts that expire within 24 hours — looks less threatening to the wider marketplace compared with the mania that led up to the 2018 volatility rout, per BofA. The reality is more nuanced, according to BofA strategists including Nitin Saksena. Given short-term options are used in so many different strategies, if one investing style were to falter, the shock to the broader equity market would likely be manageable. Some are “raising the alarm that directional end-users are net short out-of-the-money 0DTEs, thus sowing the seeds for a ‘tail wags the dog’ event akin to the Feb-18 ‘Volmageddon,’” the strategists wrote in a note. “The evidence so far suggests that 0DTE positioning is more balanced/complex than a market that is simply one-way short tails.”. In Kolanovic’s view, the risk involves options dealers, who take the other side of trades and must buy and sell stocks to keep a market-neutral stance. On a big down day, such intraday selling would reach $30 billion, his model showed. Not so fast, per BofA. To Saksena, the extreme investor positioning emboldened the 2018 “Volmageddon” episode, where everyone was betting on a decline in volatility that left the market vulnerable to a violent reversal. Back then, the main culprits were exchange-traded products designed to pay investors the inverse of equity volatility. When turbulence in stocks ramped up in early February of that year, it triggered a snowballing effect that eventually sent many such strategies hurtling toward worthlessness, contributing to a 10% plunge in the S&P 500 over two weeks. Right now, the ingredients for a market shock, such as extremely one-sided positioning, are largely absent, according to BofA’s Saksena. Take implied volatility, a gauge of the cost of options. For 0DTE contracts, they typically fetch a pricing premium that’s 2.5 times larger for longer-dated S&P 500 options — a level that the team said is “likely inconsistent with a market that has been overrun by option sellers.”.