#SaxoStrats Morningbrief: The G-20 joke of a meeting, extreme valuations calls for hedging, French election 1st tv debate and cheap vs expensive

 

 

#SaxoStrats Morning call, your go-to briefing each morning: https://saxobank.adobeconnect.com/morning-call/  Later, recorded Morning Call ("from the floor") available on tradingfloor.com:

 

 

Today's Main Topics & Trends

 

 

 

Trades: Upside in VIX and down-side protection on S&P

 

Strategic trade: One way to trade the VIX

Strategic trade: S&P 500 ready for a setback?

 

 

G-20:  Mnuchin came without a mandate except telling the rest protectionisme is on. This was new low for G-20 although of course they played nice:

 

Treasury's Mnuchin Fends Off Push to Reject Protectionism

Mnuchin at G-20 Plays Nice While Snubbing Rules of World Trade

 

This is major premium on growth going forward – the "official" G-20 in July will be very interesting on US Trade policy – this meeting delivered, like all of Trump's time in office, nothing of substance. The "game" Trump must be over soon – the President delivered zero details on any program and if anything I believe he does not know what to do and when – which is even more alarming in a world where US's leadership is already diminishing and where closing borders will make it play less of role good and bad!

 

French Election: First (of three) TV debate tonight and they will discuss politics: The candidates will be asked for their plans on:

 

1.      What kind of society do they want for France

2.      Which economic model

3.      What is France's role in the world

 

Le Pen and Macro neck and neck in latest French presidential election poll

 

French voters looking forward to listen to politics instead of scandales but game seems over for Fillon – the "new news" is that Le Pen is not looking like clean winner in 1^st round either:

 

French President Odds:

 

 

Abe school scandal:  The unshakeable PM Abe now looking fragile after classic curry-favors been given to school with a far-right pre-war nationalistic philosophy. This is not first time PM Abe draws attention to his far-right nationalistic views, but this includes his wife, government favors and donations.

                                                                                                

Once seen as invincible, Abe beset by scandal on two fronts as questions swirl

With Principal set to testify, scandal threatens to trip up Abe

 

Despite team valuations we remain sceptical on Nikkei due to technical patterns:

 

 

 

 

Steen's Short Macro Comment:

 

Nothing much to add – what's cheap is:

 

VIX, US bonds, GBP (vs USD), Gold, ZAR, AUD, JPY and EUR

 

Expensive is:

 

Credit, stock markets, TRY, complacency and risk

 

Citigroup Macro Risk Index

 

 

S&P 500 100-day rolling historic volatility

 

 

 

TD Securities measurement of cheap vs expensive FX

 

 

 

 

 

The Breakout Model

New position in Sugar(short)

New position in Hang Seng(long)

 

Tactical Asset Allocation

New postion in US TIPS (TIP US) – going long    (model attached)

 

 

News links:

Eurogroup meets today: Draft budgets, pension systems and bail-out Greece

Trump crack the whip on Obamacare, fueling GOP momentum

The Fed's global dollar problem

Yellen's shadow looms large over China's central bank policy

Common Euro bonds can smoothe ECB's market exit     One of our Outrageous Predictions for 2017

 

 

                                                           

Asset class rundown:

 

 

 

 

Central bankers speaking

 

Date Time Event Survey Actual Prior Revised Relevance Ticker 03/20/2017 02:40 AU 1) RBA's Ellis Speech in Canberra 0 03/20/2017 17:45 EC 2) Bundesbank President Weidmann speaks in Loerrach, Germany 0 03/20/2017 18:10 US 3) Fed's Evans Speaks on Economy and Policy in New York 0 03/20/2017 19:20 UK 4) BOE Chief Economist Andy Haldane Speaks in London 0 03/21/2017 01:30 AU 5) RBA March Rate Meeting Minutes 0 03/21/2017 11:00 US 6) Fed's Dudley Speaks at BoE Event on Bank Ethics in London 0 03/21/2017 17:00 US 7) Fed's George Speaks in Washington on U.S. Economy and the Fed 0 03/21/2017 20:45 CA 8) Bank of Canada Deputy Governor Lawrence Schembri Speech 0 03/21/2017 23:00 US 9) Fed's Mester Speaks at University of Richmond 0 03/21/2017 AR 10) 7-Day Repo Reference Rate mar-21 24.75% -- 24.75% -- 0 ARPP7DRR Index 03/21/2017 03/23 US 11) Boston Fed Rosengren Speaks at 12th Asia-Pacific Meeting 0 03/22/2017 00:50 JN 12) BOJ Minutes of Jan. 30-31 Meeting 0 03/22/2017 02:30 JN 13) BOJ Funo speaks in Shizuoka 0 03/22/2017 02:40 AU 14) RBA's Debelle Speech in Singapore 0 03/22/2017 12:30 EC 15) ECB's Lautenschlaeger speaks in Frankfurt 0 03/23/2017 09:00 EC 16) ECB's Nouy speaks in Brussels 0 03/23/2017 10:00 EC 17) ECB Publishes Economic Bulletin 0 03/23/2017 10:15 UK 18) BOE Deputy Governor Ben Broadbent Speaks in London 0 03/23/2017 13:00 US 19) Fed's Yellen Speaks at Community Development Conference 0 03/23/2017 15:45 EC 20) ECB's Lautenschlaeger Speaks at Vienna Conference 0 03/23/2017 17:30 US 21) Fed's Kashkari Speaks on U.S. Education Outcomes in D.C. 0 03/24/2017 00:00 US 22) Dallas Fed's Kaplan Speaks on Economy in Chicago 0 03/24/2017 11:15 EC 23) ECB's Angeloni speaks in Milan 0 03/24/2017 11:30 RU 24) Key Rate mar-24 10.00% -- 10.00% -- 787.879 RREFKANN Index 03/24/2017 13:00 US 25) Fed's Evans Speaks at Community Development Event 0 03/24/2017 13:00 RU 26) Bank of Russia Governor Nabiullina holds news conference 0 03/24/2017 14:05 US 27) Fed's Bullard to Speak to Economic Club of Memphis 0 03/24/2017 15:00 US 28) Fed's Dudley Speaks in New York at York College 0 03/25/2017 03:30 CH 29) PBOC's Zhou Speaks on Trade Panel at Boao Forum 0 03/26/2017 03:00 CH 30) PBOC's Zhou Speaks on Monetary Policy at Boao Forum 0 03/26/2017 07:30 CH 31) PBOC's Zhou Speaks on Supply-Side Economics at Boao Forum 0 03/27/2017 01:50 JN 32) BOJ Summary of Opinions at March 15-16 Meeting 0 03/27/2017 19:15 US 33) Fed's Evans Speaks on Economy and Policy in Madrid 0 03/27/2017 19:15 EC 34) ECB's Praet takes part in panel discussion in Madrid 0 Download time: 20MAR2017_07:06:53.091934

 

 

Last five days #SaxoStrats:

 

Friday - 17 Mar	The week ahead in FX — #SaxoStrats
	Strategic Trade: One way to trade VIX — #SaxoStrats
	Earnings Watch: Will Chinese companies deliver on recent momentum?
	Options Lab webinar: VIX-related derivatives — #SaxoStrats
	FX Update: USD nears pivotal supports in EURUSD and dollar index
	From the Floor: Hawkish Nowotny boosts euro and yields — #SaxoStrats
Thursday - 16 Mar	The collar: happy when it's up, calm when it's down — #SaxoStrats
	FX Board: Sterling bounds higher, USD outlook critical — #SaxoStrats
	Macro Digest: 'Under-owned and priced for imperfection' — SaxoStrats
	Gold's direction after FOMC hike — #SaxoStrats
	FX Update: USD wilts as FOMC guidance falls short of expectations
	What's next for gold after dovish FOMC jump? — #SaxoStrats
	Fixed Income Outlook webinar: A new rates paradigm — #SaxoStrats
	From the Floor: Weak Wilders allows for risk-on mode — #SaxoStrats
Wednesday - 15 Mar	Will gold rally once again following a US rate hike? — #SaxoStrats
	Weekly Bond Update: FOMC pushes Treasury yields to multi-year highs
	S&P 500 ready for a setback? – #SaxoStrats
	Equities Update webinar: Irrational exuberance — #SaxoStrats
	FX Update: Dutch election and dot plot dynamics — #SaxoStrats
	From the Floor: Oil holding the key to equity futures — #SaxoStrats
Tuesday - 14 Mar	Oil bears lining up as supply news weigh — #SaxoStrats
	FX Board: Commodity currencies under fire as oil dips — #SaxoStrats
	Trade view: Digging into CAT — #SaxoStrats
	Big week for central banks — #SaxoStrats
	Gold looks to FOMC for direction — #SaxoStrats
	From the Floor: Sterling tumbles, FTSE bounces back — #SaxoStrats
Monday - 13 Mar	What to watch for in Week 11 — #SaxoStrats
	Macro Monday week 11: The Fed, the Dutch & central banks – #SaxoStrats
	COT: Broad-based commodity retreat on supply, FOMC — #SaxoStrats
	COT: Funds sold EUR, JPY ahead of FOMC — #SaxoStrats
	COT: Stocks bought on Trump, bonds sold on FOMC — #SaxoStrats
	FX Update: Beyond the FOMC — #SaxoStrats
	From the Floor: 'A volatile week ahead' — #SaxoStrats

 

 

 

Med venlig hilsen  |  Best regards
Steen Jakobsen  |  Chief Investment Officer

 

Saxo Bank A/S  |  Philip Heymans Allé 15  |  DK-2900 Hellerup
Phone: +45 39 77 40 00  |  Direct: +45 39 77 62 23  |  Mobile: +45 51 54 50 00

 

Research: http://www.tradingfloor.com/traders/steen-jakobsen

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