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Macro Strategist
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Max Verline is an investment analyst based in New York.
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Emerging Markets Macro Strategy
  • Commodity Strategy Update: Trade of the Day on U.S. Market Open [Long CHF and 10 year Treasury] 0 comments
    Aug 10, 2011 10:27 AM | about stocks: ERX, SPY, GLD, IEF, TIP, LQD, UUP, UDN, VXX
    August 10, 2011 - Trade of the Day:
    10AM UPDATE - Analysis proved correct. Market is 440 bps down. Model portfolio returned healthy 10% leveraged P&L.

    Notional weighted-average trade:
    Long CHF / Sell weighted basket of AUD, JPY, SEK, TRY, USD, and ZAR.
    Long 10 Year U.S. Treasury
    Short S&P 500 E-mini.
    Short Euro / Long USD
    Short Ruble / Long USD

    Enter 8:00 AM ET - Exit 10:30AM ET, August 10, 2011

    8AM EST
    From technical analysis point of view:
    Markets move in waves + flight to safe haven in absence of CHF direct intervention. Looks like market is capable of absorbing additional CHF liquidity rather quickly. CHF basket in combination with long 2/10 is a good high prob intraday trade this morning on S&P emini already down 2.3%  intraday on profit taking and Uk growth news.
    From fundamental point of view:
    Euro markets did not follow through as high as it was expected – hence initial nervous move into USD, CHF and gold, out of WTI/Brent . Along with CHF, 10 year is following emini intraday, up 0.30% (As well as Short Eur/Long USD @1.43617 for 50bps +ve p&l) .  Btw, OIS spread on eurolibor is highest in 2 years.

    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.
    Themes: USD, Commodities, Emerging Markets Stocks: ERX, SPY, GLD, IEF, TIP, LQD, UUP, UDN, VXX
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