09 November 2012

US 10-year Notes : Risk OFF "Trading" Hedge

  • Charts-driven core Risk Off (short S&P + short EUR/USD) trades going according to game plan thus far. [S&P weekly uptrend line being tested now].
  • In my view, a weak Risk Off link = being long USTs. Amongst the Risk Off proxies, this is my least favored vehicle, thus making it (short UST) my preferred Risk Off hedge.
  • Based on my perceived trading ranges, have sold TYZ2 this morning at 133-30 to lower core book P&L volatility. Time frame for "trading" the hedge will obviously be much shorter than that of the core positions. Small profits will be taken when they present themselves (as will small losses)!
  • [Note : For all intents and purposes, hit annual stop loss in Aug. Thus risk being run since then (for the rest of this year) scaled down to only less than 10% of my usual levels. A meaningful P&L recovery for 2012 is not expected.]


Taichiseal said...

Paid 133-24. SQ now.

Taichiseal said...

Round 2 :=


Taichiseal said...

+133-30. Squared again.