Sari la conținut
  • intrări
    29
  • comentarii
    230
  • citiri
    1.163.018

Drawing the line : First trading month

TheEconomist

Intrarea postată de TheEconomist ·

6.707 citiri

 Partajează

Well, a yield of 41% surely beats the hell of the Barclay's Hedge Fund Index :P

 

http://img222.imageshack.us/img222/4685/tradereportoct26ou2.jpg

 

This result was at a DiscountedBasis value of about 2 points. I have to mention that starting from morning of Oct 25, right after Globex respawn, the DiscountedBasis indicator, which was working at -5...-3 for about two weeks jumped around 0 and is averagely positive, meaning that the 6J future (direct quote) is slightly underpriced, compared with last week, when it was a bit overpriced (compared to the theoretical value). That means there is still room for average length arbitrages, shorter than a month.

 

The strategy risks are practically extinct. But the moral hazard risks?.... Don't ask!

 Partajează

5 Comentarii

Comentarii Recomandate

Vizitator Andi

Vizitator Andi

Postat

Looks good - hope, once you are done, you get your money out...

Looking forward for your new Bonds strategy (oops, your readers are now listening *g*)

 

Greetings, Andi.

Link spre comentariu
TheEconomist
Looks good - hope, once you are done, you get your money out...

Looking forward for your new Bonds strategy (oops, your readers are now listening *g*)

 

Greetings, Andi.

 

Hi, Andi

 

It would be nice to start designing the Bond Arbitrage. In our terms, so we could understand it. But, for this I need lots of data... And I have nothing now!

 

Regards,

Bogdan

Link spre comentariu
juangecko

Hi Bog and Andi,

Bog, your strategy is running smoothly..i hope you will be able to wire out the money...Do some trades ;)

If understood the idea of the Bond Arb there is a problem if the yield spread of the highest yield bond increases against the lower yiled bond. So this startegy it is not risk free and if you are highly leveraged might "kill" your account.

Best wishes

 

Juan

Link spre comentariu
juangecko

Bog, could you post a chart with the basis (difference between CFD and spot) of 6J and USDJPY. I think it is very interesting to see how it moves ..1 month would be cool. I think in the last days the basis has come down considerably from 48pips to 38 pips.

Could you do that for me..?

Thxs :smile:

Link spre comentariu
Vizitator
Adaugă un comentariu...

×   Alipit ca text avansat.   Alipește ca text simplu

  Doar 75 emoji sunt permise.

×   Linkul tău a fost încorporat automat.   Afișează ca link în schimb

×   Conținutul tău precedent a fost resetat.   Curăță editor

×   Nu poți lipi imagini direct. Încarcă sau inserează imagini din URL.

×
×
×
  • Creează nouă...

Informații Importante

Am plasat cookie-uri pe dispozitivul tău pentru a îmbunătății navigarea pe acest site. Poți modifica setările cookie, altfel considerăm că ești de acord să continui.

  Accept