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closed 1 btp @ 132.03, 1 bund at 161.38

weekly EDU1-EDU2: +750 USD Short EDH8: +375 USD Short EURNOK: -5800 USD Short EURCZK: -3488 USD Short GBP, short long gilt: -769 USD, -120 GBP Long bund, short long gilt: -1600 EUR, +240 GBP Long BTP, short bund: +1860 EUR Short EZ7-EZ8-EZ9: +1875 EUR Short IRU8: -96 AUD Long BAZ8: +1500 CAD...

EURCZK has recouped 1.5% after the 1.85% move down on 6th of April depeg. The idea that more specs would drive it down did not work out (entered at the bottom), so I am thinking if it’s better to get out and get in again if there is a stampede out of CZK that gets EURCZK back above 27. Below is...

Tl;dr gilt yields declined too much versus the treasuries, but GBP doesn’t want to depreciate against the USD. In hindsight GBP/USD entries were premature. Am I likely to remember next time a political event happens that on 18/04/2017 someone got stopped out 8 hours later after the event and it...

short the 2nd one @ 1.2780.

short 1 @ 1.2735

short 1 G M7 @ 128.56 going to short 2 6B M7 very soon.

Short 10 ED H8 @ 98.495. The market hike path has got too low relative to the fed projections. The market hike odds are almost back to pre election levels. Core CPI wasn't good on Friday, but that's a single point.

Returning to the issue of supply and yield levels. Earlier I found no relationship between supply of AUD bonds and 10y yield levels with simple regressions. I tried the same for net issue of Eurozone bonds and EUR 10y yield levels, Italy – Germany spreads on relative net supply, and found no...

About flat for the week: EDU1-EDU2: +1500 USD Short EURNOK: +2288 USD Long L U7: -250 GBP (closed) Long bund against short long gilt: -1660 GBP, +1380 EUR Long BTP against bund: -2960 EUR ER Z7-Z8-Z9 fly: 0 EUR Steeper CAD, flatter AUD: -4000 CAD, +1712 AUD Long IR U8: +480 AUD Long BA Z7...

This treasuries rally this week is sad. I was contemplating adding to short long gilt through UST-gilt as my model shows it's got 10-30 bps too wide in the past few months, but the recent moves mean it's only fair to 20 bps now. FT article this week explained gilts being expensive with the usual...

sold 3 S&P 2250 puts @ 20.50 and 2 S&P 2400 calls @ 20.25. VIX has climbed more than 2 points from lows, so good opportunity to get rid of this position.

closed L U7 at 99.60 today

short 250k USDCZK 3m NDF @ 25.081 spot (24.88 fwd) short 2 6EM7 @ 1.06125 closed RUB short (180 SIM7 @ 58205) closed 4 IRU8 @ 98.05 (still long 4)

Weekly: EDU1-EDU2: +1500 USD. The markets did not react to balance sheet mentioning in the Fed minutes, so it’s too early to increase this yet. Strangle on S&P 2250/2400: -362.50 USD Short EURNOK: -832.5 USD Long Short Sterling Sep17: +720 GBP. It’s time to close this position. Economic data...

sold 8 IRU8 @ 97.98. Still long 7 of them.

It’s a curious case of wheat import tariffs in Turkey. On 15/03/2017 there was a rumour that Turkey slapped a 130% tariff on wheat imports from Russia that was subsequently denied on 17/03/2017 http://uk.reuters.com/article/turkey-wheat-russia-idUKL5N1GU3TY There was another article today of...

10/02/2017 – 01/03/2017, short Fed Funds Apr17, +8882 USD 10/02/2017 – 10/03/2017, short EURJPY, +1156 USD 10/02/2017 – 08/03/2017, long BTP against Bund (March), +4370 EUR 10/02/2017 – 08/03/2017, short Schatz against ER Z7m -8773 EUR 10/02/2017 – 10/03/2017, short AUDCAD, -2030 USD 10/02/2017...

Breaking down each bond into coupons and principal in order to discount each flow at the correct rate like the textbooks say just to be theoretically correct and account for stuff like higher coupon bonds having lower yields under steep curves seems rather futile when in reality high coupon BTPs...

-0.45% for the week (largely due to EUR FX hedge). -0.6% in q1 in USD terms, -0.8% in EUR terms. Perfect annualized Sharpe of 1, but with negative sign.