EURO SELLERの為替・投資戦略ブログ

2005年6月の欧州憲法否決の際にユーロを売りまくった管理人の【新】為替・投資日記ブログです。くれぐれも投資行動は自己責任でお願いします。

ユーロドルの強気相場

ユーロドルの強気相場はオプション・トレーダーに顕著なんだそうです。

Currency Options Signal Traders Most Bullish on Euro This Year

たいていの定性的な情報は後付けで根拠がいい加減なものが多いのですが,
オプションのリスク・リバーサルは定量的に数字として挙げられるものとしては確かな部類に入ります。

とはいっても,2009年第2四半期末時点のユーロドルの対照的な予測が出ています。

BNP Paribas: EUR/USDが1.23ドル
Deutsche Bank AG: EUR/USDが1.50ドル
54人の為替ストラテジスト: EUR/USDが1.25ドル(2009年第2四半期末)
54人の為替ストラテジスト: EUR/USDが1.30ドル(2009年末)

短期のオプションの買われ方は十分に尊重する必要がありますが,長期予想はやっぱりあてになりません。また本文にも書いてあるように,長期のオプションはかえってスポット市場のヘッジのために逆のポジションを持つこともあるので要注意です。

FOMC statement, March 18, 2009

FOMC statement

(今回の概要)
1.いつもはレートを最初に持ってくるのに前回のFOMCからの概況を先に持ってきた。(※1下線)
2.レートは今回も0.25%で据え置きであったが,据え置き予想で市場の関心が低いことを考慮したか最初のパラグラフにはない。(※2下線)
3.MBSの買い取り拡大など今回は声明に珍しく数字を持ってきた。わざわざFEDのバランス・シートの拡大までFOMCの声明で明記しているというのはあまり記憶になく衝撃的かもしれない。(※3下線)
4.とうとう長期国債の買い取りも明言した。(※4下線)
5.TALFの適用範囲も個人およびスモール・ビジネス市場に拡大した。(※5下線)

※こりゃあFRBが思い切って動きすぎたために,ドルへの不安が一時的に増して各国通貨に対してドル安となる模様ですね。

Release Date: March 18, 2009

For immediate release

※1Information received since the Federal Open Market Committee met in January indicates that the economy continues to contract. Job losses, declining equity and housing wealth, and tight credit conditions have weighed on consumer sentiment and spending. Weaker sales prospects and difficulties in obtaining credit have led businesses to cut back on inventories and fixed investment. U.S. exports have slumped as a number of major trading partners have also fallen into recession. Although the near-term economic outlook is weak, the Committee anticipates that policy actions to stabilize financial markets and institutions, together with fiscal and monetary stimulus, will contribute to a gradual resumption of sustainable economic growth.

In light of increasing economic slack here and abroad, the Committee expects that inflation will remain subdued. Moreover, the Committee sees some risk that inflation could persist for a time below rates that best foster economic growth and price stability in the longer term.

In these circumstances, the Federal Reserve will employ all available tools to promote economic recovery and to preserve price stability. ※2The Committee will maintain the target range for the federal funds rate at 0 to 1/4 percent and anticipates that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period. To provide greater support to mortgage lending and housing markets, ※3the Committee decided today to increase the size of the Federal Reserve’s balance sheet further by purchasing up to an additional $750 billion of agency mortgage-backed securities, bringing its total purchases of these securities to up to $1.25 trillion this year, and to increase its purchases of agency debt this year by up to $100 billion to a total of up to $200 billion. Moreover, to help improve conditions in private credit markets, ※4the Committee decided to purchase up to $300 billion of longer-term Treasury securities over the next six months. ※5The Federal Reserve has launched the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses and anticipates that the range of eligible collateral for this facility is likely to be expanded to include other financial assets. The Committee will continue to carefully monitor the size and composition of the Federal Reserve's balance sheet in light of evolving financial and economic developments

Voting for the FOMC monetary policy action were: Ben S. Bernanke, Chairman; William C. Dudley, Vice Chairman; Elizabeth A. Duke; Charles L. Evans; Donald L. Kohn; Jeffrey M. Lacker; Dennis P. Lockhart; Daniel K. Tarullo; Kevin M. Warsh; and Janet L. Yellen.

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EURO SELLER

EURO SELLER

管理人のニックネームEURO SELLERの由来は,2005年6月の欧州憲法の否決の際にユーロを売りまくったことからきています。もう一つのシステムトレードのブログはこちらです。

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