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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, -30 IZ9 @ 99.725. It doesn’t make sense to me that the markets want same compensation for taking EURIBOR hike risk in 2019 as in 2018. Perfect...

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 some of its cheapness. Bought 7 more IRU8 @ 97.73. IR implied curve steepened in excess of Eurodollars this week in both whites and reds, so I take it...

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 morning, while June contract was trading within half cent from previous settlement – and bobl, bund, buxl were in the red. Closed the remaining 22 DUH7...

Friday fills: schatz-euribor didn’t start performing into month beginning, so started cutting the position. Closed 22 DUH7 @ 112.55, 19 IZ7 @ 100.255 (23 and 19 contracts outstanding). BTP-bund narrowed ~17 bps from position inception, reduced position from 3 contracts to 1 (132.65/163.98...

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 details and McConnell saying Trump's original plan won't pass, betting on probability of a hike being 70% isn't attractive.

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 broken down the moves in the Australian 2s10 – Canadian 2s10 box into discretionary trend periods (with an eye) and decomposed the moves into changes...

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 steepness versus CAD bottom-up by breaking down the chart into trends and looking into a broader set of instruments in the same period. Visually I would...

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 when constructing 2y differential between AUD and CAD. A funnier thing is that re-doing everything with correct data made little difference to...

Returning to AUD flattening relative to CAD (ADSWAP10 – ADSWAP2 – CDSW10 + CDSW2) – the box hereafter, which has actually gone further up from 4 bps when I posted the graph (in post #14) to 11 bps. I alluded there that AUDCAD might be leading the box by looking at the graph (positive...

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 AUD/CAD. Nothing exciting here from 10/02/2017. +1978 USD on EUR/JPY. Trimmed this from full + e-mini to just e-mini as spot has moved from 120.45...

I downloaded tender + syndicate data for AUD fixed coupon bonds between 2000 and 2017 and indexed coupon bonds between 2009 and 2017. I then filtered in issues with 8.5+ maturity and looked at performance from 10 business days up to the tender date for: 2s10 steepness for Australian swaps, 2s10...

actually my weekly discretionary econ data assessment indicator shows canada has been doing better lately but due to some statistical offices being nasty and coming up with arbitrary dates for econ releases instead of 3rd wednesday, 5th biz day and etc, I am finding it too troublesome to...

Thanks. All over the place? Definitely not in number of asset classes. Perhaps in number of instruments/countries, but diversification is the only free lunch. I don’t think fundamentals or ratings matter for Italy at the moment. For example, there was zero reaction to either further contraction...

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 to -110 a la 2008 or 2011. People got burnt with Brexit and Trump predictions, so they will be overestimating Le Pen odds now. IK looks too cheap...

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 trading in liquid instruments is good with Sharpe of 0.9-1.5, so translating 99% daily var of 1% into expected return under SR of 1 would be 7% annual...

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 Schatz cheapening to EURIBOR via DUH7 and IZ7 -1800 AUD on lower AUD short-term rates (via IRU8 short) +480 GBP on higher probability of a BoE rate cut...

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 - unwise to postpone hikes- 14.02.2017 William C. Dudley, New York, Vice Chairman, aim to hike rates based on growth and fiscal policies - 15.02.2017...

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 low or hike if inflation got out of control. Yesterday's and today's cpi/wages data aren't pro-hike. LU7 is 6.5 bps above is LH7, so positive roll-down...

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% overvalued. The CAD leg: CAD weakness against the USD shot up around late April 2016 when: USDCAD @ 1.25, front Brent around 48 USD, 10y swap differential...