17 November 2012

S&P500 : Short Term Oversold

  • Weekly : 2nd consecutive close below the UpTL, confirms short is right. [Original trade : -ESZ2 @ 1421].
  • Daily : Friday night's hammer, indicates perhaps a reversal of the downmove for this shorter time frame. Thus, risk pyramiding was delayed here. Instead, an equivalent (to the existing short S&P) risk amount of short US10-year Notes was put on as a hedge, at 134-10. The hedge has a hard stop. Risk neutral now.
  • Any equity rally next week will be taken as an opportunity to take profit on the TY hedge and increase the ES core short. Somewhere just below 1380 would be perfect.