roll time: +5 UXYU7- > UXYZ7, 137, 136'13 -2 WNU7 -> WNZ7, 169'25, 168'24 -2 G U7 -> G Z7, 128.29, 127.26
Week 21/08/2017: EDU1-EDU2: -1500 USD EDM0-EDM1-EDM2: +1875 USD AUDNZD: +900 USD EURNOK: +1518 USD EURCZK: -1324 USD EURUSD: -1388 USD (closed)...
closed short position in 6eu7 @ 1.1834. too little conviction for too much vol and enough short eur exposure in eurnok, eurczk.
another 3-standard deviation move in PLNHUF today (2nd time in ~1 month). Last time it was 1% down in July when eurocommission threatened poland...
trying the ed 7-11-15 fly for more curvature. +30 EDM9 @ 98.265, -60 EDM0 @ 98.085, +30 EDM1 @ 97.905
yes and no, that's what I thought even though it was stupid. The initial benchmark included performance the "best-of" currency, EUR or USD....
ED7-ED11-ED15 looks quite depressed now at zero bps, ED7-ED11 and ED11-ED15 both at 17.5 bps. It traded at -3 bps last summer but stood at above...
I looked through pricing of hikes during hikes in currencies with exchange-traded STIRs for approx. last 15 years. I could not figure out how to...
didn't get to a chance to re-sell nzd due to mcdermott's comments and missed on aud/nzd long. cut size to +1,-1 now. - sld 6a u7 @ 0.7881 - sld 6n...
kinda useless to give reasons after the event but the rationale was: - some folks are talking about rate cuts. - q1 2018 CPI projection of 1.1%...
bought back 2 6n u7 @ 0.7330 (+2 6AU7, 0 6NU7 now). sentiment seems too bearish on nzd. will reestablish the position when the dust settles
10s30 looks fairly depressed historically, so let’s try a UXY-WN steepener: short 5 UXY U7 @ 135.359375, long 2 WN U7 @ 166.1875 (53bps spread)....
24.07.2017: EDU1-EDU2: +3000 USD Long AUDNZD: +260 USD Short EURNOK: +1735 USD Short EURCZK: -610 USD Long bund against gilt: -1000 eUR, +600 GBP...
PIS are alleviating my concerns that PLNHUF would not come back to 70-71. PLN with an independent central bank and rather moderate wage growth...
with v3 i got results that make more sense but not complete sense: 15th ER and 5y EUSW5v3 have no exposure to slope but EUSW10V3 does, so it's...
I ran PCA on changes in ER futures (roll adjusted) and 2, 5, 10 Eusas today. I get very funny results. For 2000-2017 15th ER and EUSA10 have same...
i got beta of yield on yield of 1 for the past 2 months on yield changes and r2 of 0.8, but in an extreme move probably a steepener. in any case...
closed -2 6B U7 @ 1.2978 , -1 G U7 @ 126.24 entering a quasi swap-spread with -4 bund @ 161.67, +22 ER Z0 @ 99.53
added to AUDNZD with +1 6AU7 @ 0.7907, -1 6NU7 @ 0.7346
my totally wrong inflation call was hedged well by AUD/NZd long in portfolio. Tradeables are in deflation actually, and non-tradeables are 1/3 of...
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