Friday, 22 February 2013

Euribor Sores Higher on LTRO

The Euribor spiked after the European Central Bank said that European banks were set to pay back a far lower amount of the cheap funding they received during the eurozone crisis than had been expected.
The volatility at the time was insane as my platform froze, as the volume of orders going through was massive. Over 100k contracts traded on the euribor in that 1 minute following the news, which explains why my system froze.
Either way, I couldnt get long as my orders were all going stale, but once we pushed up, I managed to get long the whole curve and then make profit on those spreads which worked out well.
But judging by the size of the clips going through, there are going to be a few guys popping some bubbly tonight!
Below is a video of the move with some analysis. Volume is a bit low.

Wednesday, 20 February 2013

BoE Vote 6-3 for more QE - Gilts Spike

There was an unexpected outcome from the BoE minutes as the vote for more QE was 3 - 6 against, this is up from the 1-8 decision that has been the norm of late.

From the economist:

The Bank of England's Monetary Policy Committee was split 6-3 on more bond purchases earlier this month, unexpectedly reviving the prospect that the central bank might restart its quantitative easing programme.

Bank of England governor Mervyn King, executive director for markets Paul Fisher and external MPC member David Miles all voted for an increase in the central bank's bond purchases to 400 billion pounds from 375 billion pounds.

The last time there was a similar 6-3 split on the MPC was in June 2012, and the following month a majority of the MPC backed a 50 billion pound increase in asset purchases.

In recent months, only Miles had supported more bond purchases.

We had a big move in the GILT and GBP/USD, although we faded the whole of the move in the GILT.

As we can see cable dropped from 1.5430 to sub 153! where as the GILT spiked 120 ticks in 3 minutes before fading the whole move. This was despite good employment figures which was released at teh same time.

Of the back of this I tried shorting all the spreads in the Short Sterling strip as there were at the top of the ranges, but as we faded the selling in the spreads didn't materialize as well so ended up with mainly scratches  But this was a welcome bout of volatility in Short Sterling as its been like watching paint dry recently!

Thursday, 14 February 2013

Trading Update

Been a bit difficult this week, Volume has wained slightly, meaning its harder to get in and out of Spreads quickly, and they require holding for much longer periods. Also with the fall in the Bund, Euribor and Short Sterling Spreads have been pushing upwards, but its that slow grind upwards without the retrace, which can leave you bleeding money slowly, but without really knowing it!
With Mar14Jun14 spread coming down to trade 6s, when we bounced up to 7s I started to short small, it then went to 7.5s so I shorted more, and then it was looking like it was going to push 8s as well. This type of movement was replicated along the curve, and I ended up being short the whole curve from Mar14 to Sep15! Wasn't looking pretty but after some dovish comments from ECB officials mid morning provided the snap back I was looking for and luckily I managed to get out all my positions, for some profit at the end of it.

I don't see much change in the style of action we been getting going forward, but you can see there's many more players in the market which is great!

Thursday, 7 February 2013

ECB maintain Accomodating Stance - Euro Tanks

Today was another lively press conference from the ECB with good volume and volatility accompanying the session. Sure makes a change to the very quiet ones we had for the best part of last year.
Here are some key remarks from Draghi Press conference:

Draghi says inflation has eased in recent months.
Draghi says accommodating ECB policy will support economy.
Draghi says will monitor money market conditions
Draghi says downside risk to inflation from higher Forex.

The Euro took quite a hit on these comments as we are trading 1.3380 as I write as opposed to 1.3530 just before he spoke.
Euribor Spreads as you would expect came off slightly on the back of this news as Euribor Outrights pushed up 7 fat ticks for the day. It was a messy day of trading as the volatility took as it gave. With flow sometimes easy to ready it was easy enough to put on some good spreads, but at the same time I was left hanging many times and ended up taking losses too.
Overall I maintained a long bias as we were coming off in the front months, and I was continually shorting 9s in Mar14Jun15, as this seemed very high to me. And this paid off as we came off, but only by half a tick.
But money is money!
Below is the composition of today's trading.

EIA Nat Gas Numbers leaked AGAIN

This is the second week in a row where a few seconds before the number someone dumped the price just as a build in Nat Gas was published. Free money all the way!!
As you can see at 15.29 we have a 50 point spike down, before the real move at 15.30 when the data actually came out.
You cant beat the big guys! As they always get everything first. Leaked data is like a winning lottery ticket, I think it would be too much though to think that such leakage of data will be stopped!

Short Sterling spreads nudge higher on hawkish Fed; Walmart blowout

As most must know trading Short Sterling is a bit of a bore, and has been for a while. Having managed to get out of my 2 month hold before,...