Given the extreme volatility of last week this week has been a bit dry, and the worst conditions to trade especially for STIR spreads. Why? Well we have come off pretty much 1.5 to 2 fat ticks along each 3 month spread, and it has happened in a slow painful way. There hasn't been much opportunity to get out, you just watch yourself going further offside in a painful way.
So I have been going long the whole curve and have been averaging pretty much every price, which has put me in a tough spot, but luckily just now i have managed to leg out of 40% of my spread, so my risk has been reduced quite a bit which is pleasing, so now Im waiting the rest out.
I'm long 6.5 and 7s in Sep14Dec14, long 8s, 8.5 and 9s in Dec14Mar14, Long, 9.5s and 10s in Mar15Jun15, and Long 10.5 and 11s in Jun15Sep15.
I think we have come off a bit fast, and long is still the way to go, so Im willing to add more on should it continue to go down.
Hopefully we get a nice pop up, as Bunds have retreated from the 140 level.
So I have been going long the whole curve and have been averaging pretty much every price, which has put me in a tough spot, but luckily just now i have managed to leg out of 40% of my spread, so my risk has been reduced quite a bit which is pleasing, so now Im waiting the rest out.
I'm long 6.5 and 7s in Sep14Dec14, long 8s, 8.5 and 9s in Dec14Mar14, Long, 9.5s and 10s in Mar15Jun15, and Long 10.5 and 11s in Jun15Sep15.
I think we have come off a bit fast, and long is still the way to go, so Im willing to add more on should it continue to go down.
Hopefully we get a nice pop up, as Bunds have retreated from the 140 level.
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