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roll time: +5 UXYU7- > UXYZ7, 137, 136'13 -2 WNU7 -> WNZ7, 169'25, 168'24 -2 G U7 -> G Z7, 128.29, 127.26

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

closed short position in 6eu7 @ 1.1834. too little conviction for too much vol and enough short eur exposure in eurnok, eurczk.

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...

trying the ed 7-11-15 fly for more curvature. +30 EDM9 @ 98.265, -60 EDM0 @ 98.085, +30 EDM1 @ 97.905

yes and no, that's what I thought even though it was stupid. The initial benchmark included performance the "best-of" currency, EUR or USD. diversifying into two made sense to minimize underperformance. I simplified it to 100% USD because: 1) vol from the pair distorted analyzing p/l from other...

ED7-ED11-ED15 looks quite depressed now at zero bps, ED7-ED11 and ED11-ED15 both at 17.5 bps. It traded at -3 bps last summer but stood at above 15 bps in December on more aggressive hiking expectation. Using naïve max-min of 15 and -3, this looks like a good asymmetric 5-1 bet on inflation...

I looked through pricing of hikes during hikes in currencies with exchange-traded STIRs for approx. last 15 years. I could not figure out how to quantify using data sets when the hikes got into the priced , so I looked at graphs and summarized the findings of market expectations with some...

didn't get to a chance to re-sell nzd due to mcdermott's comments and missed on aud/nzd long. cut size to +1,-1 now. - sld 6a u7 @ 0.7881 - sld 6n u7 @ 0.7273

kinda useless to give reasons after the event but the rationale was: - some folks are talking about rate cuts. - q1 2018 CPI projection of 1.1% not too high (now updated to 0.7%) - 2s5 off 70+ bps high to 50 bps (where it stood right after trump election) - both manufacturing and services PMI...

bought back 2 6n u7 @ 0.7330 (+2 6AU7, 0 6NU7 now). sentiment seems too bearish on nzd. will reestablish the position when the dust settles

10s30 looks fairly depressed historically, so let’s try a UXY-WN steepener: short 5 UXY U7 @ 135.359375, long 2 WN U7 @ 166.1875 (53bps spread). EUR looks too strong against the rate differential and too much momentum (more than 10% up without 2% pull-backs), so short 2 6E U7 @ 1.18105. USD...

24.07.2017: EDU1-EDU2: +3000 USD Long AUDNZD: +260 USD Short EURNOK: +1735 USD Short EURCZK: -610 USD Long bund against gilt: -1000 eUR, +600 GBP Short bund against ER Z0: +900 EUR ER Z7-Z8-Z9: +750 EUR Total: ~+5931 USD

PIS are alleviating my concerns that PLNHUF would not come back to 70-71. PLN with an independent central bank and rather moderate wage growth looks like a good carry trade against a central bank easing into full employment and wage growth way above productivity growth to help out pals in the...

with v3 i got results that make more sense but not complete sense: 15th ER and 5y EUSW5v3 have no exposure to slope but EUSW10V3 does, so it's indeed a steepener for zirp period (though 15th is a lil bit more responsive than eUSw10v3 to level). With 2017 only it's still bs with different signs...

I ran PCA on changes in ER futures (roll adjusted) and 2, 5, 10 Eusas today. I get very funny results. For 2000-2017 15th ER and EUSA10 have same sign of similar magnitude for both level and steepness but not curvature. For 2014-2017 for some bizarre reason 15th ER has different sign for...

i got beta of yield on yield of 1 for the past 2 months on yield changes and r2 of 0.8, but in an extreme move probably a steepener. in any case asw and steepness seem correlated now. would you rather do it with schatz or bobl?

closed -2 6B U7 @ 1.2978 , -1 G U7 @ 126.24 entering a quasi swap-spread with -4 bund @ 161.67, +22 ER Z0 @ 99.53

added to AUDNZD with +1 6AU7 @ 0.7907, -1 6NU7 @ 0.7346

my totally wrong inflation call was hedged well by AUD/NZd long in portfolio. Tradeables are in deflation actually, and non-tradeables are 1/3 of average rather than the 2/3 i assumed. Such weak non-tradeables inflation should put RBNZ hikes in question. Looking to add to AUD/NZD after the RBA...