trying the ed 7-11-15 fly for more curvature.
+30 EDM9 @ 98.265, -60 EDM0 @ 98.085, +30 EDM1 @ 97.905
+30 EDM9 @ 98.265, -60 EDM0 @ 98.085, +30 EDM1 @ 97.905
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macro paper trading
- Thread starter macro_paper
- Start date
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 targeting:
The bank, replying to questions from Reuters, said a change in the wording of its monthly statement released on Tuesday meant it "will stand ready to ease monetary conditions further using unconventional, targeted instruments". The change was that the bank dropped its previous statement's conditional clause: "if inflation remains persistently below the target".
closed short position in 6eu7 @ 1.1834. too little conviction for too much vol and enough short eur exposure in eurnok, eurczk.
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
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
roll time:
+5 UXYU7- > UXYZ7, 137, 136'13
-2 WNU7 -> WNZ7, 169'25, 168'24
-2 G U7 -> G Z7, 128.29, 127.26
+5 UXYU7- > UXYZ7, 137, 136'13
-2 WNU7 -> WNZ7, 169'25, 168'24
-2 G U7 -> G Z7, 128.29, 127.26
closed audnzd on spike up.
sld 6au7 @ 0.7986
bot 6nu7 @ 0.7187
sld 6au7 @ 0.7986
bot 6nu7 @ 0.7187
bit late with week 28.08.2017:
EDU1-EDU2: +750 USD
EDM8-EDM9-EDM0: +375 USD
Long AUDNZD: +1080 USD (closed)
Short EURNOK: +520 USD
Short EURCZK: +1761 USD
UXY-WN steepener: +1000 USD
Long bund vs gilt: +180 EUR, -80 GBP
Short bund vs ER Z0: +1290 EUR
ER Z7-Z8-Z9: +1500 EUR
Total: ~+8927 USD
EDU1-EDU2: +750 USD
EDM8-EDM9-EDM0: +375 USD
Long AUDNZD: +1080 USD (closed)
Short EURNOK: +520 USD
Short EURCZK: +1761 USD
UXY-WN steepener: +1000 USD
Long bund vs gilt: +180 EUR, -80 GBP
Short bund vs ER Z0: +1290 EUR
ER Z7-Z8-Z9: +1500 EUR
Total: ~+8927 USD
rolled -2 (-4+2) RXU7 -> RXZ7, 165.37, 162.43
pre-meeting thoughts: services hicp has been stable, but core HICP hasn't exactly firmed in France and Italy, US core is weak, so they will need more evidence that inflation is there indeed. less progress on unemployment front in June-July. NFC credit contracting again yoy. Last minutes showed they were worried about EUR, now it's bit stronger. That said, rates are slightly lower and bunds richened to swaps since the prev meeting. There is no reason whatsoever for ECB to decide anything about QE when they could postpone the decision until October or December, especially without strong inflation data in their hands. I suppose that this is the almost universal view in the market. If they don't talk about EUR, it will probably strengthen again just like during Jackson hole. EUR valuation is too high given the hiking prospects, so will reload EUR short at 1.20+ once the vol settles down after the meeting if the only reason it goes up is Draghi not talking it down.
The ultradoves (Riksbank) have strong underlying KPIF and labour market keeps tightening but labour costs don't wanna go up, Aug PMI's dropped, trade balance is far far away from the better days. The dovish part of the board is of view that markets pricing in hikes will be self-defeating and the whole board doesn't wanna hike alone without the ECB. Curious to see if krona weakens in case they don't readjust their repo path and drags my eurnok along.
My plan in the 13-july-2017 post was to go long BA U8 at 98.10 on the premise that pricing three more hikes in addition to the July hike was too excessive. The price is there now. Will think about it again.
The ultradoves (Riksbank) have strong underlying KPIF and labour market keeps tightening but labour costs don't wanna go up, Aug PMI's dropped, trade balance is far far away from the better days. The dovish part of the board is of view that markets pricing in hikes will be self-defeating and the whole board doesn't wanna hike alone without the ECB. Curious to see if krona weakens in case they don't readjust their repo path and drags my eurnok along.
My plan in the 13-july-2017 post was to go long BA U8 at 98.10 on the premise that pricing three more hikes in addition to the July hike was too excessive. The price is there now. Will think about it again.
Regarding your BAU8 point, I think Canada is a very interesting case... Simply because Poloz and Co appear to be acting so very contrary to what has been currently accepted as universal central bank MO. I admire him for being so different, but it remains to be seen whether he is right. Obviously, it could all be 2011 redux.