The past week has been a difficult period to trade spreads, as the Yield curve is steepening in both Eurodollar and Euribor, Short Sterling has stayed pretty flat in this period. I had started shorting 6.5s in Dec14Mar15, and 7.5 in Mar15Jun15 last Wednesday, even though I was trying to maintain a long bias as I mentioned before. However we kept rising without any real retrace. Also there wasn't much volume, so it was a painful move up as there wasnt the volatility to help job in and out of the position. As always I averaged in this case at every price, and today I got my out, as we came back from 8s to 7.5 in Dec14Mar15, and I got out at 8.5 in Mar15Jun15 for a scratch overall.
In normal circumstances I would have held on a bit more, but with the FED decision on Wednesday evening, coupled with US GDP figures and Jobs data, the risk was too much for an upside push in the Yield curve so better safe then sorry.
Looking forward I'll be trading relatively light till the FED meeting is done then hopefully there is some volatility that pushes through with the STIRs to give some good spreading opps, and we also have ECB rates on Thursday which should provide more volatility!
In normal circumstances I would have held on a bit more, but with the FED decision on Wednesday evening, coupled with US GDP figures and Jobs data, the risk was too much for an upside push in the Yield curve so better safe then sorry.
Looking forward I'll be trading relatively light till the FED meeting is done then hopefully there is some volatility that pushes through with the STIRs to give some good spreading opps, and we also have ECB rates on Thursday which should provide more volatility!
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