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Monday, 11 February 2013

a proper washout in jpy on Fri morning then. Stopped out of my remaining position in gbpjpy at 145.645 (ouch) as a precaution. Don't want to be washed out by a deeper pullback.

Other trades on Friday :

1. EDZ4
Take advantage of the push higher in fixed income to reset some shorts in eurodollars - so

sell 25 EDZ4 at 99.39

these were the ones that I bought back at 99.32 a few days ago, so my EDZ4/Z7 steepener is now more of an outright short than a steepener (+50 EDZ4 vs -125 EDZ7). I'd be fully short if we go much higher, so working orders to sell EDZ4 at 99.47 and 99.49 GTC. The contract high has been around 99.50, and I think it's really hard to get higher than that in the near term. Where to buy EDZ4 back again ? Probably in the low 30s and then more in the mid to low 20s.

2. ESH3
I covered the remaining tail risk from the synthetic short in 15Feb 1470 and 1475 puts, so

buy 50 ESH3 15Feb 1470 puts at 2.00
buy 50 ESH3 15Feb 1475 puts at 2.00

That leaves me with just a 28March call spread in e-minis (100 * 1520/1570 call spread, paid about 12.5 net). Ideally I want to sell the Mar28 1460 or 1470 puts against this to pay for the time decay, but this isn't the right level of the market to be selling puts, so we'll keep that powder dry for the moment. To maintain a long in e-minis, just added some more futures, on the break of the 'ceiling' at 1507 :

buy 20 ESH3 at 1512.75

3. NIH3
The selloff in usdjpy feels like a proper Friday clearout, and has been amplified (as usual) in Nikkei futures. So I'm resetting the jpy short by adding more to the Nikkei position :

buy 5 NIH3 at 11,145

After all that, probably not much net change in my risk position, replacing long gbpjpy with long nikkei and short EDZ4.

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