Shorting Euribor Z7-Z8-Z9 fly from -4.5. Z7-Z8 has got too steep relative (~22 bps) to Z8-Z9 (~26 bps). Fills: -30 IZ7 @ 100.21, +60 IZ8 @ 99.99,...
Closed AUDCAD short via CME futures at 0.7541/0.7414 (circa 1.016 spot). This was flat over the week despite the move down in oil, so CAD lost...
Bad action in March Schatz on last trading day/low volumes. The March contract registered high 8 cents (-4 bps) above previous settlement in the...
Friday fills: schatz-euribor didn’t start performing into month beginning, so started cutting the position. Closed 22 DUH7 @ 112.55, 19 IZ7 @...
closed the other 6 fed funds april futures @ 99.175. With so many fed speakers mentioning they want to see a tax plan first, Trump giving no...
closed 14 out of 20 short fed funds april futures @ 99.18
I will spare the internet from posting more rumblings about price action as in the post above and keep those rumblings to myself. However, I have...
Since the above exercise was a complete waste of time to understand what moves ADSWAP2s10 minus CDSW2s10 box, I will try looking at the AUD...
By the way, all of the previous post results are totally wrong (yes, all 19 graphs). I just noticed I used australian 5y rate instead of 2y year...
Returning to AUD flattening relative to CAD (ADSWAP10 – ADSWAP2 – CDSW10 + CDSW2) – the box hereafter, which has actually gone further up from 4...
Weekly PNL: +1500 USD on EDU1-EDU2. I am expecting this to go up from bearish steepening, so far it’s been bullish steepening. -200 USD on short...
I downloaded tender + syndicate data for AUD fixed coupon bonds between 2000 and 2017 and indexed coupon bonds between 2009 and 2017. I then...
actually my weekly discretionary econ data assessment indicator shows canada has been doing better lately but due to some statistical offices...
Thanks. All over the place? Definitely not in number of asset classes. Perhaps in number of instruments/countries, but diversification is the only...
No, both are short the EMU collapse. Schatz/euribor is a bet that it it’s election-driven and goes back to -40 (CTD yield vs EUSA2), not collapse...
Target 99% daily Var of 1% (10k usd). This is discretionary, so I don’t know if this has positive expected return at all. I suppose discretionary...
Weekly PNL: 0 USD on EDU1-EDU2 -30 USD on short AUD/CAD +1031.25 USD on EUR/JPY +900 EUR on Italy-Germany spread narrowing -2000 EUR on...
sold 20 ZQJ7 @ 99.285. April fed funds is 6 bps above February, so 25% probability of a March hike. Janet L. Yellen, Board of Governors, Chair -...
bought 10 LU7 (sep17 short sterling) @ 99.57. Boe were explicit in the last statement that they would cut if consumer was weak and inflation was...
The 6CH7 and 6AH7 is an AUDCAD short from parity if looking at spot. My rate-differential + commodity price level model showed that it’s 7%...
Separate names with a comma.