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I do zoom-out and check the developments over the quarter and more frequently over the year. Annotating a graph is probably the most intuitive presentation of what’s happened, though I usually do not do that. For example, over the quarter South African rand appreciation has largely been politics...

This is frustrating. I don’t feel I have moved an inch further to ‘finding opportunities’ in the markets. I suspect the very few ideas I had suffered from confirmation bias, where I cherrypicked arguments why the market should act this or that way. Cynically I would say I chose discretionary...

covered 4 ES H8 put spread 2600 /2500 @ 10.25 this has been a horrible trade. the call was right (S&P rebound), but hardly any money made on the put spread and net loss given UXY falling 1.30 USD. Yet the trade drawdown was huge when ES was below 2600 and vol was up.

in this century equities sell-offs usually happened during US yields falling. Current sell-off seems bond related, so not consistent with the normal behavior and global econ accelerating. Vol is up, so lets sell puts. long uxy as previously explained current yield run up looks bit excessive.

SLD 4 ES H8 put spread 2600 /2500 @ 16. BOT 1 UXY H8 @ 129.625

Most positions that I expected would benefit from steepening have actually failed to perform. UXY-WN steepener didn’t do well since year beginning and been at roughly the same level over the past few days. XT-UXY widener got crushed too after weak aussie CPI to zero spread from 20+ in year...

- closed 1 brent h8 short @ 68.53 (2.4k loss) - reduce ED M9-M0-M1 from 30, -60, 30 to 15, -30, 15 @ 8 bps (opened at 0)

not even actual change in language. Added +7 ER Z9 @ 99.825 for +14 pos.

Certainly I am expecting a steeper curve and higher 10y yields (hence keeping the ED U1-U2 position since last Feb), but for the moment the move in treasury yields up looks overdone. We are up more than 60 bps almost interrupted since early Sep and a large part of it doesn’t seem connected to...

closed BA M9 short at 97.61

Missed the exit moment in BTP-bund widener. Entered at 1.60% with hopes Berlusconi headlines would widen it. The highest point was 1.86%, but could have got out at around 1.7% when both Berlusconi and di Maio announced that they no longer believed a referendum was needed. In Hungary central...

Q4 has been a bummer with -2.3% at -0.97 Sharpe. Annual performance with adjustment for change in base currency is -2.14% (+1.45% without the adjustment but going forward I will use -2.14% for consistency). In Q4 no idea worked well enough to offset losses for any of three largest losers. Those...

increasing size of gilt-bund widening from 1 to 3. -2 G H8 @ 125.05 +2 RX H8 @ 161.80 getting out of EURCZK. Central bank no longer assesses the balance of risks as to the upside, so might disappoint on more hikes. Some weird price moves over last two days. Probably something year-end related...

-1 CO H7 @ 66.12

p/l has been around zero for the bTP-bund widener in futures from position open on 15/11/2017. It doesn't look too narrow against credit anymore (credit spreads narrowed and some election headlines helped btp-bund). Renzi's case looks hopeless. So far the headlines have focused that he's doing...

Euribor futures are misbehaving again. December 19 is pricing almost 1.75 hikes. I am too pessimistic on EZ inflation to price that much. There is no progress on service inflation whatsoever. Core inflation has been subdued in past two months but the average is making even more noticeable...

closed long 3 ZAR Z7 @ 0.076775. strength over the past week looks sufficient for pricing in ramaphosa over zuma.

rolls: +1 XT Z7 @ 97.4225, -1 XT H8 @ 97.4075 -5 6E Z7 -> H8 @ 0.0078 +1 NOK Z7 -> H8 @ 0.00042

No good ideas in my mind but I have not posted for a while so here’s a dull overview of some central banks for the week ahead. Fed reaction will probably be dovish this week. The market pricing has caught up with the Fed projections since the last meeting. I find it unlikely that 2018 rate...

rolled earlier today: RXZ7->RXH8 @ 0.62 IKZ7->IKH8 @ -1.77