Updating the MGC (Monday Great Calls)

Here's the update going into the PPI data tomorrow and Friday's CPI.

1. Closed out the UL vs TY spread at 120.21 and 117.205. This trade netted 1007 ticks ($31.468.75). In its place we've intiated a very basic NOB. Re-initiating, with the US 63 @ 116.27 and sold the TY -100 @ 117.205
2. Buy premium, the VIX is too low. (See SPU section #6)
3. Hold on Euro FX positions
4. Look to sell the AUD over .9050
5. Currently Long this U vs U spread and looking to sell 31s
6. Purchase the 1095 SPX straddle for 12.40. Look to hedge below 1085 and above 1115
7. Neutral. Flat CL after getting to the expected target.

 My gut says that the PPI & CPI data (Bloomberg Calendar) will be a complete duds and the overall market will slowly drift towards unchanged for the week.

LH

Monday Mornings are for Great Calls

Here's my play book for the week ahead. We're actually closed Monday so it will give you a bit of extra time to digest what you'd do with these.

Plays for the week:

1. Using the new Ultra Long Bond (UB), I would like to put on a BOB (UB vs US) vs a NOB (US vs TY). Broken down, the US portion actually cancles itself out and what you're left with is a Long UB position vs. a Short TY position. Here's the ratio used: +28 @ 121.25 UL and -130 @ 118.04 TY
2. The VIX is simply too high (currently 24.05). Expect the VIX to settle around 22.5 on 2/19/10
3. Euro Currency. The previous week has been a roller coaster and there is little doubt this will continue. It should stay between 1.3350 and 1.3850 as long as the Greeks keep up their end of the bargain (currently 1.3590).
4. The AUD is the personal favorite risk currency of my associate Practical Thinker (Mr. PT for short) and his call for this week is to remain between .8750 to .9050 (currently about .8840)
5. Expect the Eurodollar vs Fed Fund Sept 2010 ratio to remain in a very tight range of 31 to 32, buying dips and selling spikes (currently 31)
6. Expect the SPU to hang tight inbetween 1050 and 1090. However, a violation of the 1095 line will mean higher highs (currently 1073)
7. Finally, the Old Baron in our office has proclaimed that oil (CLH10) is a screaming buy and will settle on 2/19 right around 77.50. (it is ~$74)

This is the playbook. If this week somehow produces a market moving catalyst the play will be cover or take profits sooner than Friday. I don't anticipate any of these positions lasting for more than a week. My gut says the world is just a touch to dynamic.