EURNOK short from ~9.2160 spot. With june futures 9.244 level: long 1 NOKM7 0.11740 short 2 6EM7 @ 1.08525
Thanks, but no need. I need something I can update on my own using publicly available information and without spending much time on updates. I'd...
I think of Bender from Futurama now except it's the curve and not a theme park. - Yeah, well, I'm gonna go build my own bond curves with blackjack...
The joke that there are more opinions than economists is appropriate for curves apparently. The Banca d’Italia daily data only goes back to 2012...
I still haven’t figured what to do with my approach of tracking spread between 10y Italy and German bonds. I’ve always used assumption that change...
I should probably clarify again I am doing paper trading.. ZAR and MXN can be CME traded. Interpolating 3m-1m forward points isn't that difficult...
Watching with a magnifying glass? None. Remotely interested in? BRL, TRY, KRW, ZAR, MXN, PLN, HUF, CZK. Obviously the latter three are very boring...
I was referring to spot prices in that statement. I think in terms of spot prices and then decide if expected move is large enough to offset the...
I am thinking about short EURNOK from 9.15-9.20 level. - It’s underperformed the developments in oil and interest rates since the US elections...
RUB further strengthened from 57.2 to 56.90 despite oil falling three quarters of a buck week-on-week from 51.75 to 51. That said, RUB weakened 2%...
chipping ~0.7% of portfolio on slightly OTM june long options on ESM7, 2 call 2400 @ 24.75, 3 put 2250 @ 28.50. VIX is 2 percentage points above...
Looks like I got stuck with the rouble position. It’s taken around 0.6% of portfolio, and valuation got even more attractive, but it’s expensive...
bot 10 BAZ7 @ 98.53
bot 1 IKM7 @ 128.13 (increasing size from 1 to 2 contracts in this) bot 1 RXM7 @ 159.55 (need 2x long for Germany-UK, but also need 1 short for...
On 21/02/2017 I thought that Australian 2s10 got too steep relative to Canadian curve at +5.5, 89.5 vs 84. This peaked on 24/02/2017 at +11.5, 87...
sold 7 IRU8 @ 97.82 (bought this portion at 97.73). Still have 15 IRU8 that were bot @ 97.87. Looking to sell some more at 98. Canadian banker...
I saw them listed but it's OTC traded, exchange cleared, no?
I am thinking what else there is to be done in eur curve apart from the ER Z7-Z8-Z9 fly. The rise in 2y rates and the 2s5 steepness without 5s10...
Weekly PNL: Long EDU1-EDU2: +750 USD Long LU7: -240 GBP Long IKM7 vs RXM7: -1070 EUR Short EURJPY (expired minis): +128 USD IZ7-IZ8-IZ9 fly:...
10y aud roll SLD 5 XTH7 @ 97.04 BOT 5 XTM7 @ 97.03
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