Using the CME’s excellent cross-asset correlation tool, here, I looked at what is moving with what… Over the past month crude oil correlated highly with interest rates… Note that correlations with Eurodollars (ED), at -.61, 10 Year Treasuries (TY), -.73, and Treasury Bonds (US), -.61 are based on price movement (prices up, interest rates down)… Correlations over the past six months are about half at -.29, -.38 and -.35… Both markets are highly sensitive to any news that changes global growth expectations…
by Jim Colburn Leave a Comment
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