Thursday 31 January 2013

Filled on GTC bid for 100 3em6 98.125 puts (blue jun 81 puts) at 7.5 - hit just as the US data was released. This is a long shot on the US recovery getting traction, but it's potentially 10:1 or better in that scenario.

Bought 2k shares in Sumitomo Mitsui at 3640 after they released earnings in Tokyo. The Japanese mega banks are a great levered call on the Nikkei, with also able div yield and still (amazingly) trading below book.

Wednesday 30 January 2013

close half of esh3 covered call position (buy 50 esh3 15Feb 1475 puts at 8.00) after FOMC. ESH3 should have traded higher on a dovish Fed and didn't, so perhaps we're getting something of a pullback at last (especially with the lottery of NFP coming up on Friday). If we get a pullback then the Feb puts are the series of choice to sell - but not at here. The trade's made 80% of the maximum possible, so better to have some dry powder instead.

closing NAV 107.1

Covered usdjpy (sold 0.5m at 91.07) and bought back 1/3 of underweight in edz4 (bought 25 at 99.32). Risk reduction/profit taking ahead of FOMC. Look to put it back on if euros rally after the meeting or on any meaningful dip in usdjpy.
Bought gbpjpy 0.5m at143.638

Sell off in gbp is probably a bit overdone now ? The drop in q4 GDP from North Sea maintenance will be reversed in q1, and short gbp feels a bit crowded. Also with a presumably dovish fomc coming up, cable looks vulnerable to a squeeze. Taking the opportunity to edge back into a gbpjpy long then.

Tuesday 29 January 2013

Filled on usdjpy bid at 90.355, so have a small long again.

Monday 28 January 2013

update :

NAV 101.6 (3pm 28Jan13).

Covered usdjpy long at 91.023 just after the Tokyo open on Monday (sold 0.5m). To get back into the position, work the following GTC bids in usdjpy :
buy 0.5m at 90.355
buy 0.5m at 89.65

usdjpy will be protected from a deep selloff by the idea that we'll get a super-dovish BoJ governor to replace Shirakawa. People are talking of this as Japan's Volcker moment - that type of hope/hype should keep the reflation momentum going until late March/early April (Japanese year end is the exit date ?). Buy the dips then. If it just accelerates into the distance and never hits these levels then the nikkei trade should work anyway.

Other open orders :
bid 115.05 for 5 G H3 (March gilts). Just over 10bps higher than today's close, and well through the recent low : not a bad level to take some profit if we get there. We'll see.

blue June 98.125 puts (Jun13 expiry on EDM6) : bid 0.075 for another 100. Maybe someone will panic  ahead of payrolls on Friday and hit  a sleepy bid.


Elsewhere : Steadily getting taken out of the ESH3 long by the 15Feb expiry covered calls. We'll reload these in the next week or so.

Saturday 26 January 2013


US : the pain trade in stocks is still higher, and the main threat to it comes from a fixed income selloff - which is easy to hedge in a high risk/return way. It's getting close to the point where the rally extinguishes the covered calls (which expire on 15Feb anyway)
Long 100 x esh3 futures, short 50 x Feb15 1470 and 50 x Feb15 1475 calls
Long 50 * EDZ4, short 125 * EDZ7
Long 250 * 3EM6 98.125 puts


UK : stocks are very cheap, especially with a weakening pound. Not a very balanced portfolio of equities, but that's another story. I think gilts are in trouble (QE finished, over-owned as a safe haven from the eurozone and no progress on the deficit. Carney is an unknown quantity.) The middle of the short sterling curve (Jun 16 at 1.35%) ignores the inflation situation and the fact that the government will change in 2015. Miliband and Balls perhaps ? Farage would be too much to hope for ! Either way, there should be some serious risk premium in this sector.
 Short 100 L M6
Short 20 G H3
Long 10000 BP/ LN Eqty, Short 10 BP/ Mar13 470 calls
Long 7000 RR/ LN Eqty, Short 7 RR. Mar13 920 calls
Long 225000 SXX LN Eqty
Long 3500 ELTA LN Eqty
Long 6500 PIN LN Eqty

Japan : the reflation trade, so long usdjpy (small right now, but will add on a pullback below 90) and a full size position in equities, split between index futures/options and shipping stocks.
Long 0.5m usdjpy
Long 25 NIH3
Long 20 NIH3 11000 calls
Short 20 NIH3 11500 calls
Short 20 NIH3 10000 puts
Long 40000 9101 JP Eqty
Long 30000 9104 JP Eqty
Long 55000 9107 JP Eqty

Nothing in Europe : too hard there.