Anybody else short US 30 Bond

[Martinghoul]

Yeah, I know what happened in JGBs today, although I think it's happened a few times this week, but it didn't help treasuries.

Generally, I am an RV guy, rather than a macro punter, so a) I don't do a lot of outright directional stuff; b) I normally add as the trade moves against me; c) I normally don't use stops, because my book is as "factor-neutral" as possible and I am also generally long tails (I mean long deep OTM options). Does that make sense?

 

[benwm]

Quote from Martinghoul:

Yeah, I know what happened in JGBs today, although I think it's happened a few times this week, but it didn't help treasuries.

Generally, I am an RV guy, rather than a macro punter, so a) I don't do a lot of outright directional stuff; b) I normally add as the trade moves against me; c) I normally don't use stops, because my book is as "factor-neutral" as possible and I am also generally long tails (I mean long deep OTM options). Does that make sense?

yep makes sense
thanks for insights

 

[sle]

Quote from Martinghoul:
my book is as "factor-neutral" as possible

Well, experience shows that a factor-neutral position could become an outright long or a short in a crisis. E.g. puts/payers in TY was an RV position up until two weeks ago

Out of curiosity, how many open positions do you hold at any given time? I found (being an RV player myself) that if you hold to few, you attain better control, but lack diversification to make it a true start-arb. On the other hand, if you hold too many, you end up creating a messy book and get shafted on all kinds of basis positions that where not intended.

 

[Martinghoul]

Quote from sle:

Well, experience shows that a factor-neutral position could become an outright long or a short in a crisis. E.g. puts/payers in TY was an RV position up until two weeks ago

For sure, sle. Hence, it's a bit of an art, not a science. That is why I try to combine whatever RV malarkey I do with being long some outstrikes, if I can get hold of them cheaply. Obviously, it's not always possible. Another way I deal with these things is size them accordingly. Ultimately, it's a matter of judgment and mine is by no means perfect. But I am always learning and evolving.

Out of curiosity, how many open positions do you hold at any given time? I found (being an RV player myself) that if you hold to few, you attain better control, but lack diversification to make it a true start-arb. On the other hand, if you hold too many, you end up creating a messy book and get shafted on all kinds of basis positions that where not intended.

Well, for the moment I have arnd 30 different trades. It's sort of on the high side of the average, but that's just because there's a lot of weird sh1te going on in the mkt arnd year end. Generally, I know what you mean and my solution is to try to be as diligent as I can about the "known unknowns", like basis, turn etc. I also, to the best of my ability, try to think of what "unknown unknowns" might come out of the woodwork to cause pain.

 

[sle]

Quote from Martinghoul:
For sure, sle. Hence, it's a bit of an art, not a science. That is why I try to combine whatever RV malarkey I do with being long some outstrikes, if I can get hold of them cheaply. Obviously, it's not always possible. Another way I deal with these things is size them accordingly. Ultimately, it's a matter of judgment and mine is by no means perfect. But I am always learning and evolving.

Yeah, holding protection is frequently (a) very hard and (b) goes against you when other trades go against you too...

Quote from Martinghoul:


Well, for the moment I have arnd 30 different trades. It's sort of on the high side of the average, but that's just because there's a lot of weird sh1te going on in the mkt arnd year end. Generally, I know what you mean and my solution is to try to be as diligent as I can about the "known unknowns", like basis, turn etc. I also, to the best of my ability, try to think of what "unknown unknowns" might come out of the woodwork to cause pain.

Risk-management-wiste, do you organize them trade by trade or do you look at the book as a whole?

 

[Illum]

ZB traders need some help. I will try to keep this short but much confused me today.


It is tuesday around 220 est. Did some decent trading today but zb really confused me and was in progress of hurting me. Only thing that saved me was a stop below the low, it held and bounced. Got out with 3 tick gain, but I hate it. Trade was wrong, and I can not understand why. I need help. Now zb is pulling back and I am out. I fully expect a ramp eod, however I was wrong initially so I can not take part. I do not understand how it is moving.

I do not trade systems. I trade discretionary. I try my best to understand global economic events. I see the market as ball of money moving from place to place. I want to flow with it. Majority of my trades come from correlation. This is what has me confused. I may have to take zb out of my trade-able universe until I can find a reason for today's price action. My problem with today's price action..

Most of day, dollar up, market up, zb down. I have seen this may times. No problem, very trade-able for me. I normally see dollar and zb move somewhat in tandem, however, dollar and market+ zb - is not new, and I have reasons for this that make sense to me. No problem. Greek news hits another possible downgrade. I'm not a news trader and always believe it to be stale to bigger players. However, market started to make some moves on this and confused the hell out of me.

Gold silver get a pop. ES stalls, dollar explodes 6e falls. Ok this news is impacting market. I take long zb. Zb caught a bid initially then sold down to lows. Worse than that. It was moving with 6e, almost tick for tick. Even the es held up better. Much better. This confuses me. Now I can understand if there were sellers all day. It loses any correlation. ZB was not selling like that. It had all the feel of 6e weak zb weak. I trust the market, so there must be a reason. I can not understand it. Is long term US debt somehow tied to euro? With more pressure to European sovereign debt will our long term debt suffer? Was there simply no one in the market place? That is fine, but why tie market making correlations this way. Someone was in the market anyway, dollar was ramping. Gentleman I am confused and new. I hope someone can give me a plausible reason for this price action. Want to understand this in case I see again. Thx for your time.

Edit- looks like I did miss a nice pop towards eod. Oh well, I can not trade blind to what happened earlier.

 

[benwm]

Quote from Illum:

ZB traders need some help. I will try to keep this short but much confused me today.

I didn't read much further than this line, but this says it all, "I will TRY to keep this short...much confused"

Too much 'trying'. Keep it simple, dude.

Trading is easy when you have the right position. When you hold a position and you're confused, agitated, persistently stressed, cursing the market...then either you've got the wrong position or there is no strong trend in any direction. Either way you probably want to be flat. Sometimes it pays to sit tight, but most of the time it doesn't.

Did you 'try' and get long? If so, how did it feel?

 

[Illum]

I did not enter again, sorry about rant. Great thread, I shouldn't have puked in it lol. Confusing day for me. Thx tho

 

[Martinghoul]

Quote from sle:

Risk-management-wiste, do you organize them trade by trade or do you look at the book as a whole?

I am a very very strong believer in doing everything on a strictly bottom-up basis. Given that I am not a dealer, I don't have to have a book absolutely full of all sorts of crap that I have to manage on an aggregate basis. This means a) I keep it as simple as possible; b) always look at trades individually first and as a portfolio last. It has a lot of fringe benefits, IMHO. Firstly, makes it less likely that I miss something. Secondly, makes me intimately familiar with the individual trades I've done, as I can observe and analyze their behavior under different mkt conditions. Obviously, the downside is that I am potentially less focused on the correlation and the risk that it poses, but that's life.

Quote from Illum:
ZB traders need some help. I will try to keep this short but much confused me today.

It's complicated and I would suggest that trading macro themes, which seems to be what you're doing, is very difficult over short horizons. The x-mkt correlations you're looking at are only really there over longer observation periods, I would think. Except, obviously, very big shocking bits of news.

 

[sle]

Quote from Martinghoul:
I am a very very strong believer in doing everything on a strictly bottom-up basis. Given that I am not a dealer, I don't have to have a book absolutely full of all sorts of crap that I have to manage on an aggregate basis. This means a) I keep it as simple as possible; b) always look at trades individually first and as a portfolio last. It has a lot of fringe benefits, IMHO. Firstly, makes it less likely that I miss something. Secondly, makes me intimately familiar with the individual trades I've done, as I can observe and analyze their behavior under different mkt conditions. Obviously, the downside is that I am potentially less focused on the correlation and the risk that it poses, but that's life.

Makes a lot of sense. When I came over from the sell-side where I was running a book full of swaptions, it was hard to change my habits, but eventually I realized that running fewer trades and having them ultra-well organized is the way to go.

Wrote you a PM as not to pollute this thread with random crap.