closed 1 btp @ 132.03, 1 bund at 161.38
weekly EDU1-EDU2: +750 USD Short EDH8: +375 USD Short EURNOK: -5800 USD Short EURCZK: -3488 USD Short GBP, short long gilt: -769 USD, -120 GBP...
EURCZK has recouped 1.5% after the 1.85% move down on 6th of April depeg. The idea that more specs would drive it down did not work out (entered...
Tl;dr gilt yields declined too much versus the treasuries, but GBP doesn’t want to depreciate against the USD. In hindsight GBP/USD entries were...
short the 2nd one @ 1.2780.
short 1 @ 1.2735
short 1 G M7 @ 128.56 going to short 2 6B M7 very soon.
Short 10 ED H8 @ 98.495. The market hike path has got too low relative to the fed projections. The market hike odds are almost back to pre...
Returning to the issue of supply and yield levels. Earlier I found no relationship between supply of AUD bonds and 10y yield levels with simple...
About flat for the week: EDU1-EDU2: +1500 USD Short EURNOK: +2288 USD Long L U7: -250 GBP (closed) Long bund against short long gilt: -1660 GBP,...
This treasuries rally this week is sad. I was contemplating adding to short long gilt through UST-gilt as my model shows it's got 10-30 bps too...
sold 3 S&P 2250 puts @ 20.50 and 2 S&P 2400 calls @ 20.25. VIX has climbed more than 2 points from lows, so good opportunity to get rid of this...
closed L U7 at 99.60 today
short 250k USDCZK 3m NDF @ 25.081 spot (24.88 fwd) short 2 6EM7 @ 1.06125 closed RUB short (180 SIM7 @ 58205) closed 4 IRU8 @ 98.05 (still long 4)
Weekly: EDU1-EDU2: +1500 USD. The markets did not react to balance sheet mentioning in the Fed minutes, so it’s too early to increase this yet....
sold 8 IRU8 @ 97.98. Still long 7 of them.
It’s a curious case of wheat import tariffs in Turkey. On 15/03/2017 there was a rumour that Turkey slapped a 130% tariff on wheat imports from...
10/02/2017 – 01/03/2017, short Fed Funds Apr17, +8882 USD 10/02/2017 – 10/03/2017, short EURJPY, +1156 USD 10/02/2017 – 08/03/2017, long BTP...
Breaking down each bond into coupons and principal in order to discount each flow at the correct rate like the textbooks say just to be...
-0.45% for the week (largely due to EUR FX hedge). -0.6% in q1 in USD terms, -0.8% in EUR terms. Perfect annualized Sharpe of 1, but with...
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