Friday, 9 March 2012

Summary of the Week- Euribor spreads retrace

In a week again dictated by what will be the take up in the Greek debt swap deal, and Greece something or another we seen the lofty spread prices of the previous weeks in the Euribor contracts come back down again. Last week I was shorting every spread especially in the back months, most notably Sep13-Dec13 and Dec13 Mar 14, as they kept going higher. In the later spread I was averaged in from 9s up to 10.5s, and didn't have the bottle to hold on to where I knew they were eventually going which was back down to the previous range. Its always easier as we all know to say something is going to happen, but with the pain of seeing the spread seem somewhat on a big break up to the upside, any sign of profit makes us want to get out after seeing the red. Also it took 7 days or so for it to come back down and being a day trader, it wasn't in my trading plan to hold it that long, although it does look like that's the new way forward in the current conditions.

Either way came out with small profit and now im looking to buy the spreads again. Disappointingly the ECB press conference yesterday didnt really provide much opportunity after the first small sell of in the Bors, but with Non farm payroll being released in just over an hour, an out of line number might spice things up a bit.
Im looking to go long 7/7.5s sep13 dec13, on the back month, in the front months looking an opportunity to go long 4.5/5s in Jun13/Sep13, short 6s-6.5.

Elsewhere with the Bund having rolled over, I am favouring longs back towards the 140 level in the jun12 contract, although a good Non Farm payroll could make me rethink that view.

Equities seem to be a buy still as returns elsewhere are very low, hence making it the best value out there.
Hopefully we have some movement of this NFP, good luck!

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