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Is Stability In Japanese Bonds Signalling Gold's Next Leg Higher?
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insight 2013-5-1 10:12
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Is Stability In Japanese Bonds Signalling Gold's Next Leg Higher? Submitted by Tyler Durden on 04/30/2013 19:39 -0400 Bond Mean Reversion Volatility While intraday ranges on Japanese government bonds (JGB) remain relatively high to the last ten years average volatility, the market has begun to deal better with the unprecedented flows from the BoJ day after day. This in turn has compressed the hedges in JGBs (implied volatility has fallen). This has occurred for two reasons: first, Japanese banks (after front-running the BoJ to all-time record low yields) have likely reduced duration (and thus the need for more protection); and second, the initial fear fear has worn off (as we see again and again in volatility flares) and with it the need for preemptive collateral satisfying asset liquidations. As we noted here , there is a very explicit link between the volatility (or risk) associated with one of the world's lowest yield and supposedly risk-free sovereign bond complexes and the need for liquidity (or cash over gold or commodities) . The last two weeks has seen JGB bond vol drop and gold rally as the correlation (which appears to have strong causal links) continues; and suggests notably more upside for Gold (especially as CoT data shows net longs remain extremely low). In short: screaming JGB vol (among other things) pushed gold much lower. How much higher will it pull it back now as the mean reversion reasserts itself? Chart: Bloomberg Average: 5 Your rating: None Average: 5 ( 3 votes)
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个人分类: gold|12 次阅读|0 个评论
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