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EURNOK short from ~9.2160 spot. With june futures 9.244 level: long 1 NOKM7 0.11740 short 2 6EM7 @ 1.08525

Thanks, but no need. I need something I can update on my own using publicly available information and without spending much time on updates. I'd have neither fresh data nor methodology. I have full data for Italian and German bunds for 2000-2014, i.e. all bond issues, their prices, coupons...

I think of Bender from Futurama now except it's the curve and not a theme park. - Yeah, well, I'm gonna go build my own bond curves with blackjack and hookers. In fact, forget the curves.

The joke that there are more opinions than economists is appropriate for curves apparently. The Banca d’Italia daily data only goes back to 2012 when BTP bungabunga was already in full swing and not updated from late Feb. I tried to validate the 10-year banca d'italia benchmark against...

I still haven’t figured what to do with my approach of tracking spread between 10y Italy and German bonds. I’ve always used assumption that change of benchmark bond wouldn’t have a large impact on the bond yield. Last week I discovered that it was a flawed approach. My data source...

I should probably clarify again I am doing paper trading.. ZAR and MXN can be CME traded. Interpolating 3m-1m forward points isn't that difficult to value forwards on broken dates. Investing.com has forward points data publicly available. I could do that for TRY, PLN, CZK, HUF. Realistically...

Watching with a magnifying glass? None. Remotely interested in? BRL, TRY, KRW, ZAR, MXN, PLN, HUF, CZK. Obviously the latter three are very boring to watch as volatility is almost non-existent, but I suppose things may change for CZK and HUF. iirc CZK story has been discussed in the media. They...

I was referring to spot prices in that statement. I think in terms of spot prices and then decide if expected move is large enough to offset the carry. For position accounting I am using exchange traded quarterly futures. Front contract is liquid (2.5b usd daily volume, 3.5b open interest), back...

I am thinking about short EURNOK from 9.15-9.20 level. - It’s underperformed the developments in oil and interest rates since the US elections according to my model, and had also underperformed in Q2, so 4-11% too high now. - Positive carry of 1.5% per year - NOK will get support from...

RUB further strengthened from 57.2 to 56.90 despite oil falling three quarters of a buck week-on-week from 51.75 to 51. That said, RUB weakened 2% intraday on Wednesday when may brent touched 50, but didn’t care about oil losing some 60 cents down to 50.30 on Thursday, so seems like the market...

chipping ~0.7% of portfolio on slightly OTM june long options on ESM7, 2 call 2400 @ 24.75, 3 put 2250 @ 28.50. VIX is 2 percentage points above this year's low, but still low on historical levels, though not against the realized vol. Implied vol is shown 10% for the calls, 14.5% for puts. Don't...

Looks like I got stuck with the rouble position. It’s taken around 0.6% of portfolio, and valuation got even more attractive, but it’s expensive to short. Verbal intervention from ministry of finance saying RUB is 10-12% overvalued and that they may purchase $1b usd more isn’t helping. The...

bot 10 BAZ7 @ 98.53

bot 1 IKM7 @ 128.13 (increasing size from 1 to 2 contracts in this) bot 1 RXM7 @ 159.55 (need 2x long for Germany-UK, but also need 1 short for Italy-Germany) sld 2 G M7 @ 125.97

On 21/02/2017 I thought that Australian 2s10 got too steep relative to Canadian curve at +5.5, 89.5 vs 84. This peaked on 24/02/2017 at +11.5, 87 bps in AUD and 76 bps in CAD. It seems the cause of peak was on the Australian 10y side cus it only moved 6 bps while GBP, USD, CAD moved 10+ bps. The...

sold 7 IRU8 @ 97.82 (bought this portion at 97.73). Still have 15 IRU8 that were bot @ 97.87. Looking to sell some more at 98. Canadian banker acceptance futures have dropped too much recently despite new worries in the oil market, so looking to buy some BAU8 too later.

I saw them listed but it's OTC traded, exchange cleared, no?

I am thinking what else there is to be done in eur curve apart from the ER Z7-Z8-Z9 fly. The rise in 2y rates and the 2s5 steepness without 5s10 budging higher for some reason hurts my eyes on the chart. 2s5s10 is accordingly higher, but 5s10 is fairly high in EUR versus other currencies, so...

Weekly PNL: Long EDU1-EDU2: +750 USD Long LU7: -240 GBP Long IKM7 vs RXM7: -1070 EUR Short EURJPY (expired minis): +128 USD IZ7-IZ8-IZ9 fly: -375 EUR Long IRU8: +4230 AUD Long SIM7: -372 600 RUB. The idea was for RUB to catch up with weaker oil, but this got crucified post-Fed. RUB unlike...

10y aud roll SLD 5 XTH7 @ 97.04 BOT 5 XTM7 @ 97.03