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  • FYI, some info on SPX expiration this week...

    EXPIRY FRIDAY - Call imbalance one week before triple witching option expiration is 6th-highest since at least Sept. 1997, according to BOFA - Large call imbalances have historically tended to produce positive SPX returns over option expiry week:


    ·         SPX front-month options contracts have $104.9 billion delta weighted open interest towards calls as of Dec. 9 close, according to BofA

    ·         SPX produced positive returns in 23 of the 34 instances since Sept. 1997 when there was a call imbalance toward calls on 2nd Friday of the month during triple witching expiration - SPX had avg. rise of 0.44%


    Tags: SPY, MACRO, options
    Dec 12 10:59 PM | Link | Comment!
  • Next week Calendar

    Summary for the Week Ahead


    ·         OWS calling for a shutdown of West Coast Ports Monday

    ·         CPI from – Japan, Aussie, Euro-Zone, UK, USA

    ·         China Data:  M2 / Leading Economic Index / Manufacturing PMI

    ·         Global manpower Surveys

    ·         EU Confidence Data – ZEW / IFO

    ·         IEA Oil Market Report

    ·         Potential confidence vote in the Italian Lower Chamber

    ·         European Parliament Holds Debate on EU Summit Results

    ·         Supply – Italy, Netherlands, France, Greece, Belgium, Spain – 30Y Auction in USA

    ·         SNB meets – Chatter has the “Floor” moving to 1.25

    ·         FOMC Rate Decision

    ·         CREDIT – Master Trust Data / Foreclosure Data

    ·         Quadruple Expiration on Friday




    Monday 12th


    CHINA - M2 growth, % y/y (to 15/12)

    JPY – CPI / Retail sales / Consumer Confidence / Machine Tool Orders

    AUD – Home Loans / Lending / Trade

    Supply – Italy, Netherlands


    OWS – In theory, OWS calling for a shutdown of West Coast Ports today

    EUR (9) – French Auction

    ECO (10) – Q3 Financial Report: Manufacturers, Mining & Wholesale Trade

    CAD (1) - Bank of Canada's Carney Speaks in Toronto

    TRE (2) - Monthly Budget Statement - CBO ests -$139b





    Tuesday 13th


    CHINA - China Manpower Survey

    EUR - Germany First Quarter Manpower Employment Outlook / ZEW Surveys / Deutsche Bundesbank President Weidmann speaks in Frankfurt /  Italy: Potential confidence vote in the Lower Chamber (tentative)

    EU - European Parliament Holds Debate on EU Summit Results

    EU - European Commission Issues Quarterly Report on the Euro Area

    UK - Bank of England Governor Mervyn King speech

    AUD - Dwelling Starts

    Supply – Greece, Belgium, Spain


    OIL - IEA Oil Market Report

    JOBS (7:30) - NFIB Small Business Optimism

    ECO (8:30) - Advance Retail Sales for November

    JOBS (10) - JOLTs Job Openings

    ECO (10) - Business Inventories

    EUR (12:30) - Bundesbank's Weidmann speaks in Frankfurt

    TRE (1) – Auction of $21B in 10-Year Notes Reopening

    FED (2:15) - FOMC Rate Decision


    Energy (4:30) – API data for Crude, Gasoline and Distillates




    Wednesday 14th


    China - Conference Board China October Leading Economic Index

    JPY – IP / Capacity Utilization

    AUD - Westpac Consumer Confidence Index

    EUR - Euro-Zone Industrial Production / German Ifo Economic Forecast

    UK - ILO Unemployment Rate

    Auction – China, Japan, Germany, Italy


    Housing (7) - MBA Mortgage Applications

    EUR (8:30) - Germany's Schaeuble, Weidmann Speak on Euro Cash Anniversary

    FED (8:30) - Fed's Lockhart Speaks about Midtown Atlanta

    ECO (8:30) - Import Price Index

    Energy (11:30) – DOE data for Crude, Gasoline and Distillates

    TRE (1) – Auction of $13B in 30-Year Bonds Reopening




    Thursday 15th


    CHINA - HSBC Flash China Manufacturing PMI

    JPY – Tankan Survey / Machine Tool Orders for November

    AUD - Consumer Inflation Expectation / RBA Foreign Exchange Transactions

    EUR - PMI Manufacturing / Euro-Zone CPI / Eurozone Employment

    ECB - ECB Publishes Dec. Monthly Stability Report / ECB President Draghi Speech /  Finland: Central bank Governor Liikanen speaks

    SNB - SNB 3-Month Libor Target Rate, Chatter of “Floor” moved to 1.25

    UK – Inflation Expectations / Retail Sales

    Supply - Spain


    CREDIT – Master Trust Data is released throughout the session

    HOMES - Realtytrac foreclosure data is released today

    ECO (8:30) - Producer Price Index / Current Account Balance / Empire Manufacturing

    TRE (9) - Net Long-term Treasury International Capital Flows

    ECO (9:15) - Industrial Production and Capacity Utilization

    ECO (10) - Philadelphia Fed

    ECB (12:50) - EU's Barroso Speaks at Conference in Warsaw, Poland

    TRE (1) – Auction of $12B in 5-Year TIPS Reopening

    HILL (2) - House Financial Services Committee hearing on MF Global


    FED (4:30) - M2 and banking data


    Friday 16th


    EUR - Euro-Zone Labour Costs / Trade Data / French Confidence

    ECB - ECB President Draghi speaks on monetary policy and payment systems in Rome

    SNB - Swiss Government Holds Regular Meeting


    EXPIRY – We have a Quadruple Expiration

    ECO (8:30) – CPI

    FED (11:15) - Fed's Evans Speaks on Econometric Policy Tools in Italy

    FED (12) - Fed's Fisher Speaks on Economy in Austin, Texas


    Energy (11:30) – DOE data for Crude, Gasoline and Distillates


    Dec 10 6:57 PM | Link | Comment!
  • Beginning of the End...
    Interesting article on the potential for the RMB to become a reserve currency and the slow steps that China is taking to make it possible.  Issuance of Dim Sum bonds over the last year was 4 times the amount over the previous 3 years and analysts think it can get to RMB1 trillion over the next 3 to 5 years.

    Tags: MACRO
    Dec 10 6:37 PM | Link | Comment!
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