Macro thread for pros.

destriero said:
Yeah, for sure. Just acting on rumor and the likelihood of an extension. I've been out of the trade for over a week.
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is your thinking that hard brexit is already fully priced into the currency while an upside surprise would give a nice bump or you think it's symmetrical and you have a hard stop at some level?

edit: imho, the sterling has not really had another massive decline since the early 2017 when the Brexit became a thing. So I think the risk is symmetrical - either GBPEUR goes back to 1.30s if Article 50 is revoked or it goes to sub-parity if there is no-deal Brexit. It really boils down to the collective stupidity/intelligence of the Brits, so we shall see (lemme check the 3-6 month GBPEUR skew when I get in tomorrow, that will give some color).
 
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The current bull market is long in the tooth, Inverted yield curve, the worst European manufacturing report in 6 years, Brexit uncertainly, economic protectionism, financials are sinking, the Russell is nosediving, the emerging markets are tumbling and a bad earning season is just around the corner!
What was the question? :sneaky:
 
Good thread. I'll throw my 2 cents in.

Betting on no deal: https://www.elitetrader.com/et/threads/betting-on-brexit-event.331053/

I wasn't going to take a position but the EU's response to May's extension has me convinced it's a no deal by default. May's deal is dead on arrival if it can even be voted on, and ~2 weeks to Apr12 to sort something else out is just too short of a timeframe. Setting up another ref takes what another month just to get the logistics in place?

Bet markets have significantly tightened up since the EU response news but still sitting about 25%, I think the probability is more 50/50. Given current pricing, I'm actually on the other side of dest, I think markets are pricing in deal far too leniently.

Yield curve: I mentioned this in Daal's macro thread, I'm looking to long Dec 2020 FF on a risk rally. Only thing that could change my mind is what is GDP growth in Q2. Q1 was still pretty good and we'd need to walk right off a cliff to really move the Fed. That or 20% decline, I know Powell watches SPX.

Side note, anyone trading SOFR futs? Anyone have an explanation why SOFR trades above FF?
 
tsznecki said:
Side note, anyone trading SOFR futs? Anyone have an explanation why SOFR trades above FF?
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Yeah, I am involved with these, though liquidity is still luke-warm. As for SOFR/FFER spread - SOFR is a mix of several different overnight repos, including lower (for several reasons) credit quality ones.
 
I am not a pro but I think December was a sign of things to come. I've started leaning a lot more to the long vol side than i have ever before and that's hard for me seeing how i made 90% of what i have trading from the short vol side.
 
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My now largest equity (street vol) short on a micro and macro view is Chegg. I am not inclined to make my personal position public, but I covered a lot of index vol today. My TSLA is neutered by the reversal arb that I traded on Friday out to April and beyond.

I've been short Chegg from 41. I am most of the vola in the ticker.

Here's what I've been doing in the name:

I've been converting the short shares to synthetic straddle and then flying those off.

Gain on short shares -> sell 2x puts first strike over shares = synth short straddle above mkt -> Chegg retraces to strike -> buy wings -> completed synthetic fly.

You're booking gains but allowing for some additional (terminal) gains if you're trading around a large existing short. The when/if retrace to the short strike of the synth straddle gets you the wing buy at a better price on the drop in vol (vol trades inv to price inside 1SD).

I've got a bunch of ten strike wide flies at fairly decent credits (no fly risk).

I'll keep this thread about macro.
 
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sle said:
Yeah, I am involved with these, though liquidity is still luke-warm. As for SOFR/FFER spread - SOFR is a mix of several different overnight repos, including lower (for several reasons) credit quality ones.
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Why the mix in quality? Not my market.
 
rallymode said:
I am not a pro but I think December was a sign of things to come. I've started leaning a lot more to the long vol side than i have ever before and that's hard for me seeing how i made 90% of what i have trading from the short vol side.
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No upside on the release of the Mueller Report. Can someone make a case to buy equities here... other than contrarian?
 
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