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There were 12 apostles of Jesus Christ.
1 betrayed him.
1 denied him.
Thus the first church suffered corruption, as they do till this day.
However, his blessed holy mother Mary never abandoned him.
She knows the pain of every mother, more than you can ever imagine.
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Occasionally, $SPX will significantly dislocate from Global Net Liquidity.
Here, the dislocations of 2018, 2019, and the present are shown.
Note that the 2019 dislocation began right as $EFFR leveled off. (Vertical🟡line). The market expected $EFFR to stop rising, and reacted
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Even with the $20B drop in Fed balance sheet yesterday,
#NetLiquidity
is still up yesterday and today.
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If you want an approximation of Global Net Liquidity and don't want to mess around with loading indicators, here's a formula which incorporates:
FED
Japan
China
ECB
RRP
TGA
TradingView can only handle up to 10 symbols so this abbreviated version leaves out Bank of England.
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Comparing SPX, Net Liquidity and Bank of Japan assets.
$JPNASSETS
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Since 1993, SPX bottoms didn't happen happen until the yield curve was non-inverted.
The current yield curve is solidly inverted from 1Y to 10Y.
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By now, you may have noticed that Net Liquidity defined as:
WALCL - RRP - TGA
has rocketed up due to BTFP.
Here's a TradingView formula for Net Liquidity which only includes the 'Securities Held Outright' portion of the Fed balance sheet.
WSHOSHO - RRPONTSYD -
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How to engineer a soft landing in three easy steps.
PHASE 1
* TGA refill in June : normally bearish move
Central planner countermeasures:
* Fed skip
* Treasury issues bills (planned long in advance)
* drains RRP
* offsets liquidity effects of refill
PHASE 2
* Fed
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@elonmusk
The billionaires own the politicians.
It's a trick question.
Trust is transitive.
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@michaeljburry
Data since 1993 suggests that the yield curve must completely un-invert before the bottom is in.
Anyone who is saying October was the bottom is essentially saying, "this time is different"
Since 1993, SPX bottoms didn't happen happen until the yield curve was non-inverted.
The current yield curve is solidly inverted from 1Y to 10Y.
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Hey
@tradingview
🙋♂️
Many people are watching the TGA. Yellen is expected to grow the TGA to $425B by June 30th. Analysts are warning that the liquidity effects will prove to be headwinds for the market.
While the TGA is on TradingView ($WTREGEN), it is only updated one a week.
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Each vertical yellow line indicates:
SKEW top
followed by
VIX bottom
followed by
SPX decline
This is another view of a chart shared by
@eliant_capital
.
Link to live chart:
Original note:
Thought these correlations were interesting
$SPX $SKEW $VIX
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As
@concodanomics
points out, in order for the TGA refill to be fueled by RRP, entities will have to be incentivized by a 1 month rate that's higher than the RRP award rate.
Yield curve (including RRP%) below shows we currently have that condition.
If the Fed skips a hike this
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Here's a Fed Net Liquidity dashboard implemented in Python, pandas, and
@streamlit
:
Python source for the dashboard:
The dataframe is setup with this package that I published separately:
It takes care
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An S&P haiku:
You buy the meeting
And then you sell the minutes
Prosper very much
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Michael Howell (
@crossbordercap
) mentioned that he's using an additional component as part of Net Liquidity:
Federal Reserve Operating Losses
To approximate this, I'm considering using the following FRED series:
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Last night around 11:30 pacific (2:30 eastern) I used
@RobinhoodApp
's 24 hour market to buy $AMZN, $WGMI, $MSFT.
I received email confirmations of all 3 trades and they showed up in my stocks list, with nice PNL a few hours later.
When I checked my positions this morning, they
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What is the "inflation" rate?
It's simply:
IR = (CPI - CPI-YEAR-AGO) / (CPI-YEAR-AGO)
CPI is available on TradingView as: $CPIAUCSL
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WLCFLL kicked in this week.
The Fed just announced that daily swap lines kick in on Monday. (SWPT)
Let's compare WSHOSHO, WLCFLL, and SWPT at various points in time and what happened to $SPX as a result.
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Are you a bull in this recent rally?
If so, you're not just fighting the Fed. You're fighting the five largest central banks.
Global Net Liquidity has been dropping since Jan 13th.
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Ran a script today that ingested all the real-time options data from
@polygon_io
. For the full trading day came out to 1.9GB of JSON (python client data serialized).
I had a filter running on the console:
Only show trades with premium > $100,000
AND
If premium is larger than
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And to round things out, an indicator which is just the raw Global Net Liquidity.
GNL = Fed + Japan + China + UK + UCB - RRP - TGA
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CPI report to be released this Thursday.
CPI has to stay below the red line for YoY inflation to be at 3% or less.
Due to base-effects, this is going to be very challenging.
As you can see, there's no wiggle room.
Most estimates are saying it will come in higher than 3%.
The
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Some comments regarding today's
+$297B growth of the Fed balance sheet.
Summary: Do not trust the SPX Fair Value Bands. They weren't calibrated for this kind of a move.
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Fed Net Liquidity is a leading indicator for U.S. Inflation Rate
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#Python
script that does the following:
* Charts Treasury Securities Auction Data
* Retrieves from API
* Data from 1979 till present
* x-axis: auction_date
* y-axis: total_accepted
Uses Bokeh charting library
* Select to zoom
* Mouse wheel scroll to zoom
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Let's say the TGA refill began on June 2nd
(highlighted below).
TGA has grown 438-23 = $415B since then
RRP dropped 2142-1945 = $197B since then
(438-23) - (2142-1945) = $218B is the difference
Effect on Net Liquidity thus far shown on chart.
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What if... Powell was dovish because:
The Fed knows there's something coming down the pike that will humble markets.
The Powell you think you're getting vs the Powell you're actually getting.
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Folks sometimes ask me about the origins of Net Liquidity.
As far as I know,
@42MacroWeather
was one of the first, if not the first to popularize the model:
NL = WALCL - RRP - TGA
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Remember when the bank crisis happened in March and the Fed balance sheet grew as a result of loans?
That was a huge liquidity injection and the markets responded accordingly.
Net Liquidity is now higher than it was on March 15th.
We'll see if this is sustainable.
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Who invented the 'Net Liquidity' formula?
NL = FED - RRP - TGA
@42MacroWeather
has claimed to in the past.
However, Michael Howell of
@crossbordercap
says in this video published yesterday:
"what we look at is something we term Fed Liquidity, which is a concept we defined
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CPI report coming this Wed
🟩bars are the CPI values
🟦bars are the CPI values a year ago
Since the next🟦bar jumps up so much, it makes it easier to get a favorable CPI YoY value.
The🛑line shows the max that CPI can go and still be under 4% YoY.
That said, the MoM still
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I think of this chart as showing how far overextended the market is in relation to Fed Net Liquidity.
We're currently approaching the Feb 2020 high.
Does this matter? Let's take a look.
SP:SPX/(FRED:WALCL-FRED:WTREGEN-FRED:RRPONTSYD)*1000*1000*1000*10
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Hey y'all 🙋♂️
Friendly reminder that the script I use to generate the net liquidity charts is freely available on github:
As you can see, there are a few versions of the script.
net-liquidity-earnings-remittances.ps1
This is the latest version that I'm
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@dampedspring
Core PCE base effects visualized.
Blue bars are core PCE from a year ago.
Green bars are core PCE.
Green bar has to remain under yellow line to hit 2.6% YoY inflation.
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Updated the 'Global Net Liquidity - SPX Fair Value' indicator to include the bands.
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Interaction between Celsius Network CEO and one of his customers.
$CEL customer: This might be my last night as a Celsian and I will probably never come back.
Mashinsky: Good! Good! You don't want to be here? No problem. Leave.
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This chart 'US Equity Holdings to Liquidity' was presented by
@crossbordercap
in his recent interview with
@menlobear
.
Something similar that I've been tracking on
@tradingview
is simply $SPX/
#NetLiquidity
Formula for
@tradingview
:
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$SPX has increased 14% over the last 8 weekly candles.
How often has this happened in this history of $SPX?
5 lines of
#Python
says 1136 times.
Also shown are the 25 most recent instances.
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Core CPI June 2022 spikes up.
This makes it easier to get a favorable core CPI YoY value (base effect).
Headline CPI is in a similar situation:
August report (for July numbers) is a totally different story.
Question is, will a nice CPI report next
CPI report coming this Wed
🟩bars are the CPI values
🟦bars are the CPI values a year ago
Since the next🟦bar jumps up so much, it makes it easier to get a favorable CPI YoY value.
The🛑line shows the max that CPI can go and still be under 4% YoY.
That said, the MoM still
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The rally leading to 2021 high was fueled directly by QE.
The current rally is fueled indirectly by QE (QE flow into RRP which is now being drained).
Many wages have not kept pace with the resulting inflation.
There's a good chance some prices will never come down.
There's
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Over $180B in taxes flowed into the TGA yesterday.
As far as I can tell, this is a single day record in the data going back to 2005.
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No caffeine
No supplements
No stimulants
Food. Sun.
Coffee free for 12 years
Caffeine free for 7 years
The only thing I microdose is the Bible. 1 chapter a day.
Everybody's body is different.
I do what works for me.
Yes, I'm no fun. 😘
Typical meal:
@jschultzf3
Grass Fed beef bowl.
All organic everything.
Topped with avocado oil mayo and spicy mustard.
Send me location, processed food boi.
😛😉😘
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China Central Bank Balance Sheet : +590B CNY
(+1.38%)
$CNCBBS
Global net liquidity climbing since Oct 30th.
FRED:WALCL+FRED:JPNASSETS*FX_IDC:JPYUSD+ECONOMICS:CNCBBS*FX_IDC:CNYUSD+FRED:ECBASSETSW*FX:EURUSD-FRED:RRPONTSYD-FRED:WTREGEN
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What could be wrong with Ozempic?
"I'll tell you what's wrong with it.
Almost without exception,
every patient that we've put on this drug has lost muscle mass.
And they have lost it at a rate that alarms me." -
@PeterAttiaMD
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Google Sheets doc by
@hkeskiva
summarizing some key numbers around the at risk banks.
If you're going bank shopping, please consider reviewing this.
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Each of the foreign central bank assets in GNL is in terms of USD.
Therefore, $DXY is also a factor in the formula.
Note how $DXY has been pumping since Feb 1st and GNL has declined since then.
So, if you're wondering why GNL has moved, check $DXY in addition to the
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#Bitcoin
and
#NetLiquidity
Vertical lines are at Bitcoin peaks.
NL isn't the only factor at play in a Bitcoin rally.
But it is one to consider.
Will NL grow or drop from here?
Besides some catastrophe which causes the government to massively grow the balance sheet, the only
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Guess what else is at April 2022 levels?
Net Liquidity
This market level brought to you by:
2023 Bank crisis Fed loans +
TGA drain +
Fed pause hopium +
ChatGPT/AI speculation
Chart:
Wow: The S&P500 is exactly flat since the Fed started to hike rates. Imagine, we went from 0 to 5%+ rates and equities are… fine. 🥹 We did see a 17% max drawdown last fall… but all of that is now recovered.
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Here is a
#PowerShell
script that uses the
@TreasuryDirect
API to show securities amounts that are issued/maturing over a date range.
The 'auction_issuing' column shows dates of auctions that will issue on that row date.
Script:
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Let's revisit
@SEC_digger
's chart of regional banks showing unrealized loss vs estimated uninsured deposits for 2022 Q4.
$PACW is somewhat in the middle.
Certainly not an extreme outlier.
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Let's talk about
#GlobalNetLiquidity
Is this liquidity chart bullish or bearish for markets?
You have to look at the underlying components to decide for yourself.
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#PowerShell
script to show the
@USTreasury
yield curve.
The table for the current year is displayed on the console.
Red indicates that portion of the curve is inverted.
A chart of the curve is opened in a browser:
Script💻:
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Now that
#NetLiquidity
has been on the minds of more folks ever since 2020 QE, people have been looking into the plumbing of the components (Fed balance sheet, RRP, TGA).
People began to realize the importance of treasury issuance; i.e. decisions like will the Treasury issue
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Many folks are fading the market when in actuality, they're fading liquidity.
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I've updated some of my scripts that retrieve FRED data to start archiving the data.
As a result, I noticed that around 3 months of data for ONMACBW027SBOG was altered in FRED.
Blue line: original
Maroon line: revised
Hey
@stlouisfed
🙋♂️
How can we find out when you alter a
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TradingView watchlist of some of the potentially at risk players:
Derived from this amazing live thread by
@hkeskiva
.
1/🧵
It’s clear by now what has happened to Silicon Valley Bank.
Since it's the other regional banks we're now worried about, I'll keep adding them here one by one to keep myself and anyone interested informed.
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RRP dropped $78B today.
TGA +$13.5B yesterday.
Net Liquidity up $78B today. (Preliminary)
Net Liquidity is up $169B since last Wednesday.
This cancels out 1.7 months of QT.
SPX Fair Value: 3892.
Expect further upward pressure on the market.
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The Fed Balance Sheet
Assets are shown as positive
Liabilities are shown as negative
When folks say the TGA is expected to grow this year, one of two things has to happen in order for the balance sheet to remain balanced:
1) Some other liability has to shrink
2) Assets have to
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@maxjanderson
Here's a formula you can use for Net Liquidity on TradingView.
Price scale is in millions of dollars.
(FRED:WALCL-FRED:WTREGEN*1000-FRED:RRPONTSYD*1000)/1000
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Here's a simple Pine Script indicator that can be used for the SPX Fair Value bands:
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INTRO
Nice intro to Net Liquidity and Global Net Liquidity by
@intocryptoverse
here:
GLOBAL NET LIQUIDITY INDICATOR
In the original Global Net Liquidity indicator that I published on TradingView:
I only included the following
Experimental SPX Fair Value incorporating central banks of:
US
Japan
China
UK
ECB
This time, it has to be released as an indicator because it involves 11 symbols and TradingView can only handle 10 symbols when formulas are input directly.
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I just posted a reply to a thread and it quickly got many likes.
Just a few minutes later, I received reports that my tweet is 'unavailable'.
See below for what it looks like.
Here's a link to the thread.
I wonder why my tweet would be made 'unavailable'? 🤔
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Net Liquidity is now the highest it's been since April 2022.
It is higher than it was during the ridiculous liquidity pump in March 2023 (Fed loans for bank crisis).
RRP +$47B
TGA -$90B
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Was looking through the mean reversion system described by
@TheMeanTrader
I cooked up a TradingView indicator that signals when:
Bollinger bands are outside Keltner Channel
Price is near Bollinger band
di+ and di- confirmation
RSI confirmation
Signals are shown as yellow
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Folks see large treasury issuance numbers and think it's a big deal. However, what matters is net issuance.
Example from today.
$214B in bills was issued!
But $204B matured...
Result: only +$10B bills net issuance.
Upcoming dates:
Next Tue: -$5B in bills
Next Thu: +$9B in
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RRP
+$65B yesterday
+$57B today
RRP is now at a level that's usually only seen during end-of-month pumps. Except, it's not the end of the month.
The only other time it was at this level was a 5 day period in Sept, which preceded the decline into Oct lows.
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"Never underestimate the ability and willingness of those in power to kick the can down the road."
That's one of the guiding principles I've taken away from my time engaging with the markets over the past couple of years.
Here's a long rambly video on this topic.
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M2 for:
US
Euro Area
China
Japan
UK
Chart includes $SPX for comparison.
TradingView expression:
FRED:M2SL+ECONOMICS:EUM2*OANDA:EURUSD+ECONOMICS:CNM2*FX_IDC:CNYUSD+ECONOMICS:JPM2*FX_IDC:JPYUSD+ECONOMICS:GBM2*FX:GBPUSD
Full credit to
@Micro2Macr0
for the expression.
🤝👍
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Here's a PowerShell script that generates a chart of the Fed balance sheet.
Assets are displayed above the zero line.
Liabilities are displayed below the zero line.
Items in the legend can be clicked to toggle their display.
Some of the more trivial line items have been left
5
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What happens if you take every possible US Treasury Yield spread and sum them all together?
Here are all of them except for DGS1MO.
That's an algebraic expression which can be simplified.
You can feed that into TradingView for a chart.
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@Josh_Young_1
Josh, getting ready to ride the next leg of the oil market:
I'm told this is the greatest athletic achievement of all time. The commentary itself is worthy of an Emmy.
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@MPelletierCIO
@minnownakamoto
Here's the formula for TradingView
If you want an approximation of Global Net Liquidity and don't want to mess around with loading indicators, here's a formula which incorporates:
FED
Japan
China
ECB
RRP
TGA
TradingView can only handle up to 10 symbols so this abbreviated version leaves out Bank of England.
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Exploration of the base effect in PCE and CPI.
Demonstration of why things could get challenging in the August report.
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Liquidity update for 2024-04-25
TGA -$26B
Net negative bills issuance continues next week, into May.
No major changes. Just a few comments on where we're at.
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Reminder: if you're fading this rally, you're fading liquidity.
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$US01MY closed below RRP award rate for 3 days now.
Not unusual for $US01MY to be below RRP% this year.
What IS unusual is for it to drop below RRP%.
Usually, when it's below RRP%, it's because RRP% jumped up.
You know what's up 3 days in a row? RRP...
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Messing around with presenting the net-liquidity.ps1 data on a dashboard.
The below data is only for today. It's not setup to update daily. But you can click through the pages if you'd like to take a look.
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I've put in a feature request for
@tradingview
to allow for more than 10 symbols in formulas.
If you'd like to see that happen, consider upvoting here:
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$SPX,
#NetLiquidity
and $USIRYY (inflation rate)
Note that $USIRYY appears to be bottoming.
You boost liquidity, you get inflation.
Sorry, I don't make the rules.
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FR-Y-9C data for 2023 Q2
Google Sheets:
You should be able to sort by the various columns there.
DATA SOURCE
Data downloaded from here:
File:
Each entity has many fields.
This is just a sampling of a
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Global Net Liquidity
Most of the move up is due to $CNYUSD and $JPYUSD
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Here's a thread exploring the Fed Balance Sheet and the Net Liquidity Formula, with an eye towards what on the liabilities side correlates with Net Liquidity.
Let's start here:
Many folks are familiar with the Fed Balance Sheet 'Total Assets' chart:
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$1.8B withdrawal from
@USTreasury
TGA for Department of Defense (DoD) yesterday.
$13.5B withdrawal for DoD in this month alone.
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Real Estate Loans:
Commercial Real Estate Loans:
Construction and Land Development Loans,
All Commercial Banks
Seasonally Adjusted
Largest weekly drop on record in dataset:
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Hunting down high premium options trades for fun and profit using
#Python
and
@theta_data
Source code for the below scanner is at:
Code is experimental. Just for the curious and adventurous.
Full repo source:
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Net bills issuance is projected to be -$338B in Q2.
The last time net bills issuance was negative was 2022 Q2 (-$434B). I've marked this point point on $SPX.
Net bills issuance was also negative in 2021 Q1 and Q2. However, we were still deep in QE mode at the time.
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$BTCUSD/fed-net-liquidity
Curious support and resistance level is revealed in this chart
Both 2021 peaks and 2024 support level all line up.
COINBASE:BTCUSD/(FRED:WALCL-FRED:WTREGEN-FRED:RRPONTSYD)*1000*1000*1000*10
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Natural gas futures, adjusted for inflation, is at all time lows.
TradingView symbol:
NYMEX:NG1!/FRED:CPIAUCSL
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Another interesting GNL model from
@ozzie1453
This one incorporates $DPSACBW027SBOG
(Deposits, All Commercial Banks)
Thanks for sharing
@ozzie1453
!
@dharmatrade
@42MacroWeather
This model I created so far hasnt lost correlation between GNL and SPX. See below;
WALCL+ECBASSETSW*EURUSD+CNCBBS*CNYUSD+JPNASSETS*JPYUSD-DPSACBW027SBOG-WDTGAL
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@CarterBWorth
That's a log chart.
Now look at a linear one.
And zoom out to 1986.
We could have a long way to go before we hit that trendline.
Also, note the spike around year 2000.
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$SPX/fed-net-liquidity
(How extended is the market in relation to liquidity.)
Now above the last peak of 2020.
I think of this chart as showing how far overextended the market is in relation to Fed Net Liquidity.
We're currently approaching the Feb 2020 high.
Does this matter? Let's take a look.
SP:SPX/(FRED:WALCL-FRED:WTREGEN-FRED:RRPONTSYD)*1000*1000*1000*10
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Friendly reminder: if you're been fading the market, you're also fading liquidity.
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