trying the ed 7-11-15 fly for more curvature. +30 EDM9 @ 98.265, -60 EDM0 @ 98.085, +30 EDM1 @ 97.905
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 with article 7. Now it's +1% on NBP hawkish minutes and MNB (imo) admitting that their easing into tight labour market has little to do with inflation targeting:
closed short position in 6eu7 @ 1.1834. too little conviction for too much vol and enough short eur exposure in eurnok, eurczk.
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) UXY-WN steepener: +406 USD Long bund against gilt: -860 GBP, +820 EUR Long bund against ERz0: +10 EUR ER Z7-Z8-Z9: 0 Total: ~353 USD
roll time: +5 UXYU7- > UXYZ7, 137, 136'13 -2 WNU7 -> WNZ7, 169'25, 168'24 -2 G U7 -> G Z7, 128.29, 127.26
bit late with week 28.08.2017: EDU1-EDU2: +750 USD EDM8-EDM9-EDM0: +375 USD Long AUDNZD: +1080 USD (closed) Short EURNOK: +520 USD Short EURCZK: +1761 USD UXY-WN steepener: +1000 USD Long bund vs gilt: +180 EUR, -80 GBP Short bund vs ER Z0: +1290 EUR ER Z7-Z8-Z9: +1500 EUR Total: ~+8927 USD
pre-meeting thoughts: services hicp has been stable, but core HICP hasn't exactly firmed in France and Italy, US core is weak, so they will need more evidence that inflation is there indeed. less progress on unemployment front in June-July. NFC credit contracting again yoy. Last minutes showed they were worried about EUR, now it's bit stronger. That said, rates are slightly lower and bunds richened to swaps since the prev meeting. There is no reason whatsoever for ECB to decide anything about QE when they could postpone the decision until October or December, especially without strong inflation data in their hands. I suppose that this is the almost universal view in the market. If they don't talk about EUR, it will probably strengthen again just like during Jackson hole. EUR valuation is too high given the hiking prospects, so will reload EUR short at 1.20+ once the vol settles down after the meeting if the only reason it goes up is Draghi not talking it down. The ultradoves (Riksbank) have strong underlying KPIF and labour market keeps tightening but labour costs don't wanna go up, Aug PMI's dropped, trade balance is far far away from the better days. The dovish part of the board is of view that markets pricing in hikes will be self-defeating and the whole board doesn't wanna hike alone without the ECB. Curious to see if krona weakens in case they don't readjust their repo path and drags my eurnok along. My plan in the 13-july-2017 post was to go long BA U8 at 98.10 on the premise that pricing three more hikes in addition to the July hike was too excessive. The price is there now. Will think about it again.
Regarding your BAU8 point, I think Canada is a very interesting case... Simply because Poloz and Co appear to be acting so very contrary to what has been currently accepted as universal central bank MO. I admire him for being so different, but it remains to be seen whether he is right. Obviously, it could all be 2011 redux.