Q4 was very weak at -1.9% / -0.93 SR. The main culprit was inversion in the Eurodollar curve (Z9 short and M9-M0 steepener), which looks overdone...
roll Z8 -> H9 -3 6E @ 0.00915 +1 NOK @ 0.0008 +1 6J 0.000071 +2 6C @ 0.0016
z8 -> h9 +3 RX @ 0.89
this week's rolls z8->H9 -3 G @ -0.81 -2 WN @ 0.78125 +7 UXY @ -0.0625
covered 25 YT Z8 @ 97.885. I don't buy that there will be a trade deal. Will use this opp to get rid of position.
SPX sell-off on 11/10/2018 was -0.85% day for the portfolio, so this would have been a 1% VAR breach had the position sizing been at the targeted...
ED Z8 action looks weird to me. FF's are quiet, bonds are quiet. +10 ED Z8 @ 97.24
-30 ER U9-U0-U1 @ -0.005
so much for policy credibility
-25 YT Z8 @ 97.90
Retail sales print is good in Australia and important since it's retail sales and wage growth that RBA want to see the most. YT futures have often...
The global yield increases from mid-August created some things that look interesting in EURIBOR land. First, the red contracts now price as much...
A few observations from yesterday/today. Looks like there is a thaw in US-Turkey relationship. There was a confirmation Turkey would be getting...
Q3: +0.54%, 3.41% annualized vol Right before it fell to 1.1690 the same day on ECB. Stupid. [IMG]
+1 BTS Z8 @ 108.02 +1 6J Z8 @ 0.00884 -1 6E Z8 1.1581 +2 6C Z8 @ 0.7802 (it doesn't look like CAD has reversed all weakness accummulated during...
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