Idea behind trade 1st detailed here on 15Dec09. At the time, EDM0/Z0 was at +68 and EUR/USD was at 1.4533.- Now, we are at +72 and 1.4272 respectively.
- As well as now day trading EUR/USD from the long side (take profits, reduce risks, re-establish shorts on rally, maintain core short), I think it is time to protect the long USD positions by building up short ED spread hedges.
- Have just started selling EDM0/Z0 at +72 today. Will scale in upwards from here. Technically, the spread should encounter resistance around the old NL at +77.
- Against current background of rising yields, be prepared to take some pain on this. [PS : Do not replace ED spread with TYH0 for the hedge]
22 December 2009
Hedge Long USD : Short ED Calendar Spread
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