macro paper trading

[macro_paper]

-25 YT Z8 @ 97.90

 

[macro_paper]

so much for policy credibility

Meanwhile, it emerged on October 6 that the deputy director of the Turkish Statistical Institute (TUIK) in charge of the inflation data was dismissed from his post the same day the institute announced that Turkey’s inflation had leapt to 24.5%, a level that came as a shock to the markets. The dismissal was reported by Sozcu newspaper and was later confirmed by TUIK.

Enver Tasti will be replaced by Yinal Yagan of the Energy Ministry’s Directorate of General Mining. Yagan is known to have been close to Albayrak while he served as energy minister.

Tasti’s dismissal was an unexpected decision and a move made in response to the soaring inflation figures, Sozcu reported sources as saying. Tasti was also responsible for relations between TUIK and the European Union’s Eurostat.

 

[macro_paper]

-30 ER U9-U0-U1 @ -0.005

 

[macro_paper]

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

 

[macro_paper]

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 Z8-Z9 has been a success since Feb up from 36.5 to 58 peak, which was probably the level to get out at and fell 4.5 bps on 18/10/2018 when driven by Z8.

 

[macro_paper]

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.

 

[macro_paper]

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

 

[macro_paper]

z8 -> h9
+3 RX @ 0.89

 

[macro_paper]

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

 

[macro_paper]

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 want to perform when oil was 80+ either). Seasonality is a perfect scapegoat for EURNOK.

Performance for 2018 stands at 1.95%/0.47 SR and for 2017-2018 -0.23%/-0.04 SR. Equity curve looks very poor and would have been a lot worse had Italy not exploded in Q2.

Closed out all pos on 28/12/2018. This doesn’t make sense to keep doing without dedicating enough time to it.

2 XT H9 @ 97.665
+5, +2 UXY H9 @ 129.53125
-2 WN H9 160.21875
-3 G H9 @ 123.27
+3 RX h9 @ 163.52
+1 BTS H9 @ 110.70
+1 6J @ 0.00911445
-2, -1 6E @ 1.1516
+1 NOK H9 @ 0.11502
-30 ER U9-U0-U1 @ 10.5
+2 6C @ 0.7356
-10 IR M9 @ 98.08
+15 BA M9-M0 @ 0.005
+15 ED M9-M0 @ +0.17
-15 ED Z9 @ 97.345
-2 ED H9 @ 97.29
+14 ER Z9 @ 100.245
+60 ED U1-U2 @ -0.115

Q4:

2017-2018: