Trade Open: August 12, 2011
Trade Close: August 15, 2011
Net absolute dv01 (if all positions were at profit) = -$7.3k, since they are not perfect long/short combinations.
$280k margin cash
$29 mln notional + fx trade
Stop and limit orders, alternatively OCO (one cancels/initiate another) to cut losses quicker.
3 Day P&L: $50K
Cash Margin Used: $280K
3 Day Net Return: 18%
Strategy Description – Market (August 12) is set to stabilize today:
· Short Euribor 3 month future – expectation that liquidity will improve
· Short USD, Long Euro – on receding volatility, U.S. is relatively better than Europe
· Short Euro Schatz futures (Here’s thinking that European markets should decrease appetite for short-duration (1.75-2.25 years) German Sovereign debt on positive equity markets in Europe
· Short 10 year UST
· Long SPX and Dow Jones Spet 11 futures (U.S. is relatively better than Europe)
Out of these bets, 10 year UST lost some cash as a directional “short on top” bet but still is an effective hedge. We still expect that USTs should sell off after record high last week.
Long Eur/Short USD @1.4268 Close @1.4300, $10 mln notional, @$32K profit
Long Emini SPX @1,174 Close @1,184, 10 Contracts, @$5K profit
Long Dow Jones Emini @11,143 Close@11,314, 10 contracts, @$8k profit
Short Euribor 3 Mo @98.76 Close @98.715, 100 contracts @$14k profit
Short Euro Schatz @109.33 Close @109.345, 100 contracts @-$4 loss
Short 10 year UST @129'11 Close @129'16, 30 contracts @-$5k loss
Emini SPX 59K notional x 10 contracts = $590k notional
Euribor EUR246K x 100 = EUR24 mln notional = $16.6 mln
Euro Schatz Bonds Eur109K c 100 contracts = eur 10.9 mln notional = $7.6 mln.
Dow Jones future $56k x 10 =contracts = $560K notional
10 YR UST $129.5K x 30 = $3.9mln notional
Total: $29 mln notional