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Q4 was very weak at -1.9% / -0.93 SR. The main culprit was inversion in the Eurodollar curve (Z9 short and M9-M0 steepener), which looks overdone to me and steepening there is one of my highest conviction calls for 2019. EURNOK was a sucker too despite Norges bank starting to hike (and didn’t...

roll Z8 -> H9 -3 6E @ 0.00915 +1 NOK @ 0.0008 +1 6J 0.000071 +2 6C @ 0.0016

z8 -> h9 +3 RX @ 0.89

this week's rolls z8->H9 -3 G @ -0.81 -2 WN @ 0.78125 +7 UXY @ -0.0625

covered 25 YT Z8 @ 97.885. I don't buy that there will be a trade deal. Will use this opp to get rid of position.

SPX sell-off on 11/10/2018 was -0.85% day for the portfolio, so this would have been a 1% VAR breach had the position sizing been at the targeted level (was running 4.8% vol vs 7% target). 11 out of 17 positions lost money, only 1 made money, 5 flat. Somewhat disappointed about ED Z8-Z9. Wider...

ED Z8 action looks weird to me. FF's are quiet, bonds are quiet. +10 ED Z8 @ 97.24

-30 ER U9-U0-U1 @ -0.005

so much for policy credibility

-25 YT Z8 @ 97.90

Retail sales print is good in Australia and important since it's retail sales and wage growth that RBA want to see the most. YT futures have often acted as high-beta yield instrument moving off 10y USTs even when US short end didn't move much, but lately hardly moved move than german schatz.

The global yield increases from mid-August created some things that look interesting in EURIBOR land. First, the red contracts now price as much hiking as the green contracts do, or right now this is 40 bps tightening priced between June-19 and June-20 and 40 bps priced between June-20 and...

A few observations from yesterday/today. Looks like there is a thaw in US-Turkey relationship. There was a confirmation Turkey would be getting more F35’s shortly. Today market took 25% CPI yoy quite well. Brazilian bovespa run-up of 6% over two days along with 3% currency appreciation looks...

Q3: +0.54%, 3.41% annualized vol Right before it fell to 1.1690 the same day on ECB. Stupid.

+1 BTS Z8 @ 108.02 +1 6J Z8 @ 0.00884 -1 6E Z8 1.1581 +2 6C Z8 @ 0.7802 (it doesn't look like CAD has reversed all weakness accummulated during the negotiations)

Been a month since looking at Australia. Since then more bad data has come about housing prices and housing financing. PMI’s have been mixed with better manufacturing and weaker services. TD infl still same 2.1% yoy. Iron ore prices unchanged. RBA don’t really have anything to talk about. Short...

U8->Z8: -2 6E @ 0.0082 +1 NOK @ 0.00042 -1 6N @ 0.00001 +1 6A @ 0.00025 -2 XT: +U8 @ 97.3775, -Z8 @ 97.3575

removed the ED M0-M1 leg @ -3.5 bps. Still got 15 lot M9-M0 steepener on and 15 lot Z8-Z9. +15 BA M9-M0 @ 13.5 closed 2 lot 6E @ 1.15925. Been a sucker trade. More than 300 pips down on it.

BAX futures are still trading at around 16th of August levels – before the release of the latest CPI of 3% headline/2.1% ex energy – which overshot BoC’s expectation that inflation would go up to 2.5% yoy – so probably markets think that was temporary. Let’s see how BoC assess that. Red...

-10 IR M9 @ 98.04 +2 6A Z8 @ 0.7213 -2 6N Z8 @ 0.6602