28 February 2011

Core Book : Locking in

  • Main Core Book naked positions shorting USD, long Commodities have delivered P&L at a pace and absolute amount way beyond my most optimistic expectations.
  • As per rule #12 Substance Over Style (or pragmatism over elegance), even though chart trends are all firmly intact, I have tonight 1. taken profits on some more of the naked positions (GBP, CAD, Copper, S&P). 2. locked the balance of the naked positions into a spread against the EDM1/Z1 spread (at +25). Thus, am no longer running any unhedged risk in Core Book now.
  • Average in-rate long EDM1/Z1 is now at +29.5. Think +25 should be good support. Do not see market pricing out a Fed hike for the rest of this year.
  • Scenario 1 : Mid East/N Africa blows up : Gold, CAD profits, Rates losses.
  • Scenario 2 : Easing of above fears : reverse, almost matched on both sides.
  • Scenario 3 : US+global growth data continues strong. Jackpot.
  • Scenario 4 : USD rally, Commodities collapse, US rates lower. Both sides die. What can cause this? Probably some kind of global deflationary event eg China crisis. Nightmare for me then but the locked in P&L should be more than sufficient buffer.

1 comment:

Market Strategist said...

Good trade on your sell USDCAD.