Tuesday, 21 July 2015

Summer market lull, Volatility down the drain

So much for the volatility, we were trading lower with markets on tender hooks, and then in a flash the ES is trading at all time highs, Dax rallies over 10% the VIX gets smashed over 30% and its back to the new norm, which is grind up, low volumes, low interest.
Its slim pickings out there but short sterling has been livelier of late.
Short sterling has shown a steepening bias, with Jun16/17 trading around 62, with almost a 20bp move over the past few months, as comments from BoE Carney as well as other BoE officials suggesting a possible rate hike this year. I have continued to fade the red/blue month spreads on new highs, looking to nick a tick. Trying to stay away from the whites, as the back end remains more active.
Looking forward we have the BoE rate decision tomorrow which is again likely to be a non event, but other then that pretty light on the economic data front. Trading is likely to remain subdued, unless any shock events arise out of the Greek bailout negotiations.

Friday, 3 July 2015

The Greeks have brought back the volatility at least!

Whilst the Eurozone and Greece have been at loggerheads, the increase in volatility and especially the rise in the VIX has been what the market has so badly needed. Rise in volatility has given so much needed premium to some of these options helping option selling strategies.
Algos have been working overtime lately with thin markets getting manipulated by every single Greek comment, Fading any extreme move has been the play rather then to go with it. Dax has traded in 500 tick range this week although moves have been sharp, it hasn't broke out one way or the other.

Bunds have been in a 250 tick range consolidating after the big drop in May. A firm break of 150 is needed to resume the downside, but a break above 153 could see a move back to 154.50. Volume has been good, and action choppy making it decent conditions to scalp.

Short Sterling is getting its mojo back with some decent volumes coming in. The yield curve has been steepening on the back of a potential rate rise this year, although events in Europe will largely determine the rate path in my opinion.

This weekend is the Greek referendum, and although I don't think anything will be solved it will provide some good tradeable opportunities. Volatility has increased in options due to this so Monday will see big option vega contraction on a yes vote.

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,...