40.7118° N, 74.0131° W

 

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Banyan Global Macro


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On this day in 1789, Alexander Hamilton was appointed First Secretary of the Treasury. This portrait of Hamilton by John Trumbull became the first early American work to enter The Met’s collection.


Overnight Happenings 

*BOJ IS SAID TO WANT ETF TARGET KEPT IN LINE WITH ACTUAL BUYING

*NO INDICATIONS OF ANY CHANGES TO ETF TARGET AT NEXT BOJ MEETING

*JAPAN’S NIKKEI 225 RISES 1.0% TO 22,595.52 AT MORNING CLOSE

*CHINA’S YUAN DROPS 0.21% TO 6.8702/USD, WEAKEST SINCE AUG. 24

*CHINA SHANGHAI COMPOSITE SET TO OPEN LITTLE CHANGED AT 2,668.49

*CHINA SETS YUAN REFERENCE RATE AT 6.8488 AGAINST U.S. DOLLAR

*AUSTRALIA AUG. BUS. CONFIDENCE INDEX FALLS TO 4 FROM 7 PTS

*AUSTRALIA AUG. BUS. CONDITIONS INDEX RISES TO 15 FROM 13 PTS

*AUSTRALIA 3-MONTH BANK BILL FIXED AT 1.9305% VS 1.9318%

*MOODY’S:STRONG ECONOMY SUPPORTS STBL OUTLK FOR AUSTRALIAN BANKS

*AUSTRALIA ANZ CONSUMER CONFIDENCE INDEX FALLS TO 116.2 VS 117.7

*OPEC+ COOPERATION CAN CONTINUE W/O OUTPUT QUOTAS POST’18: NOVAK

*OPEC, ALLIES TO DISCUSS COOPERATION POST 2018 IN ALGERIA: NOVAK

*CHINA CPI TO KEEP MODEST GROWTH IN LONG TERM: SEC. JOURNAL

*PBOC SAYS BANKING LIQUIDITY AT REASONABLE, PLENTIFUL LEVEL

*PBOC SKIPS OPEN MARKET OPERATIONS

*GOLDMAN EXPECTS U.S. TO ANNOUNCE TARIFFS ON $200B `THIS WEEK’

*JAPAN’S TOPIX INDEX RISES 0.17% TO 1,690.52 AT MARKET OPEN

*JAPAN’S AUG. M3 MONEY STOCK ROSE 2.5 % Y/Y

*JAPAN’S AUG. M2 MONEY STOCK ROSE 2.9 % Y/Y

*U.K. MAY LOSE GBP7B IN VAT POST-BREXIT IF NO LAW CHANGE: TIMES

*N.Z. AUG. RETAIL CARD SPENDING RISES 1.0% M/M; EST. 0.5%

*NEW ZEALAND AUG. TOTAL CARD SPENDING RISES 1.1% M/M

*U.S. WORKING WITH FRANCE, U.K. ON POTENTIAL SYRIA STRIKES: WSJ

*U.S. SAID TO WEIGH CHINA SANCTIONS OVER MUSLIM CAMPS: NYT

*FREELAND AND LIGHTHIZER TO MEET AT 11AM IN WASHINGTON

*CANADA’S FREELAND TO BE IN U.S. TOMORROW FOR NAFTA TALKS: CBC

*ARGENTINE CENBANK IS SAID TO SELL USD IN FX MKT, FUTURES MKT

*BRAZIL’S WEEKLY TRADE BALANCE RELEASE POSTPONED: MINISTRY

*BRAZIL TO RELEASE TRADE DATA AS SOON AS TECHINCAL ISSUE FIXED

*ABE CONSIDERS CABINET RESHUFFLE IN EARLY OCT. KYODO

*RUSSIA: NO NEED FOR STATE ALUMINUM PURCHASES FROM RUSAL NOW

*ITALY TREASURY TO ISSUE 30Y BTPS FOR MAX AMOUNT EU1.5B


Falling implied volatility DISCOUNTS are usually signs of rising complacency Rising implied volatility PREMIUMS are usually a signs of rising fear and/or hedging (delta hedging) –Hedgeye

The S&P500’s implied volatility PREMIUM (vs. 30-day realized volatility) has gone from +10% to +43% in the last week.

Tech’s (XLK) implied volatility PREMIUM (vs. 30-day realized) has gone from +4% to +69% in the last week.

REITS (VNQ) implied volatility DISCOUNT (vs. 30-day realized) has gone from -7% to -1% in the last week.

China’s (FXI) implied volatility DISCOUNT (vs. 30-day realized) has gone from -18% to -4% in the last week

Emerging Markets (EEM) implied volatility DISCOUNT (vs. 30-day realized) has gone from -9% to -2% in the last week


The Bloomberg Dollar Index was sold sharply overnight to 1184.76, subsequently rallying to 1𝜮 1190.43


EUR was offered overnight.


GBP that “U.K. MAY LOSE GBP7B IN VAT POST-BREXIT IF NO LAW CHANGE: TIMES” -BBG


CAD making lower highs from the early September high of 1.3235.


Emerging Market Currencies 



S&P 500 sitting on support.


MSCI Index “pull up”.

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DAX bounced overnight +3.17%. Dead cat bounce? 

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Spain’s IBEX bounced +2.50% overnight.

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Russia’ RTSI bounced haahrd overnight +8.75% overnight.

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Recap Economic Prints

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Sunday evening, Statistics New Zealand released second-quarter manufacturing sales volumes and values in Wellington.

  • Manufacturing volumes fall 1.2% q/q
  • Biggest decline since 2q 2013 partly due to one-time events in petroleum and chemicals sector
  • Fall coincided with an unscheduled outage and maintenance of a processing plant, resulting in gas restrictions affecting methanol production: StatsNZ
  • NOTE: Methanex Corp. plant in New Zealand was affected by cut in natural gas production from the Pohokura field
  • 2q chemical/polymer/rubber volumes fall 7.9% q/q
  • 2q petroleum/coal volumes fall 8% q/q
  • New Zealand Manufacturing Volumes Declined in Second Quarter

(Source: Bloomberg) 

New Zealand Manufacturing Operating Income All Sectors QoQ SA

New Zealand Manufacturing Activity Volume SA QoQ


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Measured quarter on quarter, GDP rose 0.7 percent, as forecast by economists, compared with a preliminary reading of 0.5 percent.
The reading for annualized GDP expansion was revised to 3 percent, versus projections for 2.6 percent and an initial reading of 1.9 percent.

Nominal GDP increased by 0.7 percent, just above estimates of 0.6 percent and comfortably higher than the first reading of 0.4 percent.

Japan GDP Real Chained QoQ% SA

Japan Real GDP Annualized QoQ SA GDP expenditure approach %

*JAPAN 2Q GDP ROSE 3.0% ON ANNUALIZED BASIS; EST. 2.6%

Japan Balance of Payments Current Account Balance Billions of Yen NSA

 


Volatility Monitor

-R.W.N II
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