before Aug stock market crash,$Ted is quite low and a big drop right before the crash, and then it rallied with the equity market went down,that means,Although it is quite high(still within 15_50 bps), it can drop suddenly without notice.we can keep an eye on that,it can keep going up or reverse from here and go down with the market rallies.
ted spread and return on SPX are not really negatively correlated for most of time. Also, even if SPX is negatively correlated to Ted spread, bulls can still argue from the same chart that currently high Ted spread is bullish for stocks. Ted spread has been so extremely high for so long and it is currently in overbought area. So it is more likely to come down than to continue the rally, and therefore likely push SPX higher. After all, interest rates intend to be mean-reverting over a medium to long term.
lite1067 发表于 2011-11-13 23:27
ted spread and return on SPX are not really negatively correlated for most of time. Also, even ...
Comparing treasury yield with libor rate is meaningful only for certain market condition.
let me ask you one more thing: do you know that 30 year swap spread is currently negative now?
As of last Thursday (2011/11/10) market close, 30y on-the-run treasury yield is 3.11%, 30y swap rate is 2.86%. negative swap spread -0.25%. Does the market look like being in a scary mode?
狗仔卡
发表于 2011-11-13 05:14 PM
提升卡
置顶卡
沉默卡
喧嚣卡
变色卡
发表于 2011-11-13 11:05 PM
