The ACD Method

Maverick74 said:
Anyone watching the loony lately?
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30 day on USDCAD turned negative for me on 19th June, but it never confirmed despite being negative. First down draft from a speech from the BoC #2 I think hinting at a more hawkish stance, the latest from the (expected) rate increase.

Cleaner action with CADJPY 30D confirmed + on 16th June and a nice run since.

I'm not in on the action, haven't traded much lately. :(
 
justrading said:
30 day on USDCAD turned negative for me on 19th June, but it never confirmed despite being negative. First down draft from a speech from the BoC #2 I think hinting at a more hawkish stance, the latest from the (expected) rate increase.

Cleaner action with CADJPY 30D confirmed + on 16th June and a nice run since.

I'm not in on the action, haven't traded much lately. :(
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My USD/CAD confirmed on june 19th, same time as my CAD/JPY. USD/CAD is +12 right now for me. The two best pairs have been the Peso and the Loony number line wise and sure enough they have had the smoothest trends.
 
My play on this has been with rate reset prefs. With long-term rates on the rise here in Canada, these rate reset prefs have performed very well.
 
Maverick74 said:
My USD/CAD confirmed on june 19th, same time as my CAD/JPY. USD/CAD is +12 right now for me. The two best pairs have been the Peso and the Loony number line wise and sure enough they have had the smoothest trends.
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USDCAD +12? You mean minus, it's been on a down trend, unless you score the inverse.

I didn't get a confirmation because I didn't get two days at the level, just stayed negative. When I compare, USDCAD is down 3.5% since turning negative, CADJPY is up 5.8% since confirmation.

Academic, if I see a 5D flip I might jump on board, but I hate being late to the party.
 
Maverick74 said:
I have no idea what those are. Can you share? Thanks.
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These are preferred shares which reset their coupons on a fixed interval (as outlined in the series prospectus) at the 5-year Bank of Canada rate plus a fixed premium. There are periodic and predetermined reset dates. So if a security had a reset date of July 31, 2018, the coupon would be reset to the 5-year rate plus the premium on that date. So the date of the next reset date has a fairly large impact on the security's 'rho' (for the lack of a better term).

This might do a better job of explaining. I think it's very much a Canadian thing.
 
justrading said:
USDCAD +12? You mean minus, it's been on a down trend, unless you score the inverse.

I didn't get a confirmation because I didn't get two days at the level, just stayed negative. When I compare, USDCAD is down 3.5% since turning negative, CADJPY is up 5.8% since confirmation.

Academic, if I see a 5D flip I might jump on board, but I hate being late to the party.
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I track NL's for both. So I have the USD/CAD which confirmed negative on june 19th and the CAD/USD futures which confirmed positive on June 19th.
 
atrp2biz said:
These are preferred shares which reset their coupons on a fixed interval (as outlined in the series prospectus) at the 5-year Bank of Canada rate plus a fixed premium. There are periodic and predetermined reset dates. So if a security had a reset date of July 31, 2018, the coupon would be reset to the 5-year rate plus the premium on that date. So the date of the next reset date has a fairly large impact on the security's 'rho' (for the lack of a better term).

This might do a better job of explaining. I think it's very much a Canadian thing.
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Thanks. So what are the current rates on them now?
 
Maverick74 said:
I track NL's for both. So I have the USD/CAD which confirmed negative on june 19th and the CAD/USD futures which confirmed positive on June 19th.
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That explains the inverse. Do you ever see divergences between futures and spot FX NLs? I don't even chart the futures anymore, been years and I've lost touch.
 
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