• This would show up as flattener or steepener on my risk. For example long front 1x leg captured in greens bucket then short 2x blues long 1x blues.

    G +1
    B -1

    I also look at 3m futures buckets but find the 1y bucket abt right in fast markets.

    I tend to find when doing loads of flies with independent value the book tends to converge at pressure…[Read more]

  • For me it boils down to what you think ‘reasonable’ means in probability space. Both Dudley, Fischer and Williams (and Yellen I’m guessing) keep pointing to mid2015 being ‘reasonable’ (presumably June given the press conference).

    I use the FFF5FFFN5 (Cal sprd) = 18bp as guide (takes out the level effect of the RRP/IOER)

    Adj this by around 3bp…[Read more]

  • I trade a lot of curvature (outrights, flies, cals sprds and opts) on strips and across markets mainly ED, FF, ER, L and IR futures. I also combine bond futures TY, FV, TU etc.

    The approach I have developed over the years to normalise risk is to bucket the stirt into 1y gaps. I then vol adj (30Day hist) the buckets into ==> 1 RU = $100k = 2std. I…[Read more]