Expected was a 3% GDP number and it came out at 4% which was a massive beat. The US Dollar rallied, and Bonds sold off big. The 30yr had the second biggest move of the year, and the Bund moved from 148.55 to sub 148. I had been short Bunds via options for over a month, and annoyingly I got out on the first spike down, as in general they had been very strong and clearly I was going against the grain. It just shows no matter how long you have been trading for you can still mess up big, and getting out early cost me a pretty packet. Still getting over it but nothing I can do to change it right now.
Meanwhile I continue to hold ES synthetic puts which is doing ok on the back of the sell of today, but relatively the ES remains super strong, barely down 2% from highs given that the Russell 2000 and Euro indices are down much more. Im hoping there is some convergence between these indices, ideally the ES coming down another 2% or more.
On the spread front, yesterday was a monster volume day in the Eurodollar Spreads, with over 500k contracts traded in some Eurodollar months. I concentrated on the back end of the curve shorting mainly 21s in Dec16Mar17 nicking half a tick at a time, so that worked out ok. I have a small position long Jun15Sep15 at 25.5, thinking this should be good for at least 1/2 given the GDP print.
Euribors remain an irrelevant play right now, as ECB policy has killed that market, where as Short Sterling is in a state of limbo, with the next big event which is likely to move it, is the inflation report in 2 weeks.
Yesterday also yielded 5 ticks profit on the 30 Year Bond strategy with an entry at 138.11 and exit at 138.16 which has meant the system has accumulated 26 ticks worth of profits in the past 2 months so far.
Meanwhile I continue to hold ES synthetic puts which is doing ok on the back of the sell of today, but relatively the ES remains super strong, barely down 2% from highs given that the Russell 2000 and Euro indices are down much more. Im hoping there is some convergence between these indices, ideally the ES coming down another 2% or more.
On the spread front, yesterday was a monster volume day in the Eurodollar Spreads, with over 500k contracts traded in some Eurodollar months. I concentrated on the back end of the curve shorting mainly 21s in Dec16Mar17 nicking half a tick at a time, so that worked out ok. I have a small position long Jun15Sep15 at 25.5, thinking this should be good for at least 1/2 given the GDP print.
Euribors remain an irrelevant play right now, as ECB policy has killed that market, where as Short Sterling is in a state of limbo, with the next big event which is likely to move it, is the inflation report in 2 weeks.
Yesterday also yielded 5 ticks profit on the 30 Year Bond strategy with an entry at 138.11 and exit at 138.16 which has meant the system has accumulated 26 ticks worth of profits in the past 2 months so far.
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