Pro Macro:In Focus – Heavy Weather for All-Weather

Published on: October 16th, 2023

Political dysfunction, deglobalisation, conflict escalation and a relentless climbing of yields augurs for a period of higher risk premia. Term-risk premium, implied volatility, economic oscillation, all play into the analysis below. Dead cats can bounce but use the dynamic to set up defensive positions.

Comments

JM

John M.

16 October 2023 @ 22:08

1 0

Any more specific recommendations on how to execute the US 5s30s? Using futures or...?
- JL
  
  J L.
  
  19 October 2023 @ 10:24
  
  1 0
  
  The FOL ICS is traded as long 5 contracts of five year futures (ZF on Interactive Brokers) vs short 1 ultra bond (UB), the correct hedging ratio is closer to 4.5 according to the CME site so could do 2 to 9 if its not too big of a size or 1 to 4 and stay short half a contract of 5y
- JM
  
  John M.
  
  18 October 2023 @ 18:48
  
  0 0
  
  Only thing is I don't see an ICS spread for 5-30. I just put the trade on with December futures.
- JL
  
  J L.
  
  18 October 2023 @ 10:08
  
  1 0
  
  I use the CME website to check the hedging ratios for futures contracts, under the ICS tab at the bottom left https://www.cmegroup.com/tools-information/quikstrike/treasury-analytics.html?redirect=/trading/interest-rates/invoice-spread-calculator.html
- JL
  
  J L.
  
  18 October 2023 @ 10:08
  
  1 0
  
  I use the CME website to look up the hedging rations under the ICS tab at the left if it helps https://www.cmegroup.com/tools-information/quikstrike/treasury-analytics.html?redirect=/trading/interest-rates/invoice-spread-calculator.html
RR

Raj R.

26 October 2023 @ 13:51

0 0

Could there be a relief rally towards year end?