TNX Update

With the upcoming FOMC meeting, it is worth revisiting the CBOE 10-Year Gov’t Rate (TNX). It appears that the 8,100 day window, which recently peaked is trying to find a direction. Will the bubble continue? In the actual data files, the 8,200 day window peaked on February 13; the 8,100 day window also peaked on February 13 — only to peak again on February 27. This indicates that we could be near a phase transition in the 10-Year rate. I am not yet sure what this graph implies. This is a very long term signal, since 8,200 days is about 33 business years. Remember that not all bubbles are followed by a crash.

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3D Contour Map: TNX (1962 – 2015)

The 3D Contour of The Bubble Index Contour: TNX (1962 – 2015) displays an important prediction. As you can see from the graphs and contours, it appears to have peaked in the window range 7,200 – 8,200. This would indicate that the bubble in the US Gov’t 10 – Year Bond recently ended. That is cautioned by an unknown factor — that there is not a bubble forming on a much larger time window than I was able to calculate (13,200 days +).


The Bubble Index Contour: TNX

After working on the contour map code and running TNX through the algorithm, I can now show you how I want you to think about the relationship between fractal geometry, LPPL Oscillations, and financial time series. With windows ranging from 52 days to 13,000 days, the output of The Bubble Index Contour for TNX (CBOE 10-Year Interest Rate) shows some interesting features currently in the process of development.

You can see that there is a growing bubble centred around the 9,000 day window; also, a sort of harmonic bubble around the 4,500 day window. This will be of immense importance in the upcoming months. Bill Gross has said bonds are safe in the short term, but watch out for long term; Martin Armstrong has been calling for 2015.75 to be a crucial phase transition in bonds worldwide.

Keep an eye on this TNX contour plot as that date approaches. (NOTE: As you can see from the plot, it contains artefacts along the diagonal due to interpolation over the grid of data. As there is not enough time to calculate every individual window, I had to calculate the windows in intervals. I will update this graph as I obtain more closely spaced intervals.) Credit and thanks goes to the bigmemory package and fread functions in R!

Download Contour PDF

The Bubble Index Contour: TNX

The Great Bond Bubble

As Martin Armstrong recently said (here), the current equity correction is a side show to the growing bubble in bonds around the world. Specifically, the 10-Year United States Treasury, as shown in the graphs below, is in the process of bubble formation. The Bubble Index: TNX (2520/5040/10080 Days) shows signs of a long term build-up in bond market tension. Imagine inflating a balloon, eventually it will pop. “When will it break?” is the question everyone is asking. I suggest that we will see it happen once either of the 2520, 5040, or 10080 day indices peak and roll-over. According to Armstrong, this will begin to occur on 2015.75. The Bubble Index does not rule out this date, only time will tell…