Enis’s Macro Wrap – Start of Hectic 3 Weeks

by Enis August 31, 2012 7:36 am • Commentary

Mr. Bernanke’s Jackson Hole speech will be at 10am EDT today.  It’s the first of a series of big macro announcements over the next 3 weeks.  FTAlphaville had a good calendar posted yesterday, courtesy of Citi Research, that I mentioned in QuickHits yesterday:



In my view, the 2 most important events are the German Constitutional Court decision on Sept 12th, and the FOMC decision on Sept 13th.  Implied volatility has started to catch a bid as we approach those events, and will likely stay bid until Sept 13th.  

Overnight price action:

  • As has been the habit of this market for a month now, Asia closed in the red, but Europe quickly took on a risk-on tone, rallying throughout its session so far, now up 1.5% near the highs.  SPX futures are up 0.5%.
  • The rally could be due to rumors that Bundesbank Head Jens Weidmann might resign, removing one more obstacle to bond-buying by the ECB
  • Economic data continues to disappoint worldwide, though risk-assets continue to ignore that.  Japanese and South Korean industrial output both missed, and German July retail sales missed as well.
  • The dollar and Treasury bonds are weaker, with the euro at 2 month highs vs. the dollar, near 1.26
  • Commodities are broadly higher with the risk-on tone, but less than 1% in most cases
  • Chicago PMI, U of Mich Confidence and Factory Orders data come out between 9:45 am and 10:00 am.