11 March 2013

Core Book : No Frills

  • Made some adjustments on the margin this morning. Cleaned up my book completely and left only with 3 core ideas now. P&L making new highs and I want to make sure I do not mess up with unnecessary distractions.
  • Risk limits used trimmed back drastically from 80+% to 45%.
  • 1. Performing : -GBP/+USD. Triangle downside break with strong momentum.
  • 2. Prospecting : -Copper. Triangle right shoulder of SHS top. Breaking?
  • 3. Protecting : -GEM4 at 0.44%, 15 months to expiry. Compare with 3 months Libor at 0.28%. So assuming unchanged conditions, expect 0.44% to decay to 0.28% in 15 months ie apx 1 bp per month insurance premium. Cheap relative to payoff in event of black swan eg market revises expectations of no Fed tightening forever. Happy to write off this premium.
  • Will run with just these 3 ideas for now and watch their stops closely. Also restrict myself to sporadic day trading of cable from the long side only meanwhile (ie take profits intra-day and re-establish by close).
  • Also need to think of a good hedge to help me ride this cable trend.

1 comment:

ks said...

great call on your short gbp.