Made some modifications to Core Book the past 2 days, in view of NFP release later. Taken some profits in short EUR/USD at 1.2333 this morning + increased the size of the long USD/JPY hedge. Given how far Risk Off has run the past few days, I am worried about possibility of a strong snap-back (regardless of what the number is, markets will do what they want to do using the event as an excuse).
Core Book trading limits are fully used, with risk allocation as follows :=
Risk Off (73%) - short EUR/USD (26%), short S&P (17%) and short Copper (30%)
Risk On (27%) - long USD/JPY (27%)
Assuming hedge relationship is effective, then naked Risk Off exposure going into the number is 46% only versus 66% 2 days ago. A 20% swing may not sound like much but in practice it can make a world of difference in holding power and capital preservation.
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