In some respects, I find it very difficult to write after getting pounded. At other times, it's actually a stress-relieving endorphin that allows me to refocus my thinking.
To be blunt, some of our assumptions of the QE2 announcement and the subsequent market follow-through were just wrong.
I do want to update some of our larger trades now that we've had a rally, a pull-back, and rolled plenty of our inventory.
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In the 30 yr bonds:
We sold out of our longs in the 137 calls prior to the QE announcement.
In the March Euro Dollar:
We rolled our March 9925-9950 put spread out to the June 9925-9950 put spread. We executed near the highs of the move for a cost of 1 tick. This will provide us with 3 more months to catch the credit event we still believe is looming.
In the March and May trees:
We have covered the March and we're in the process of covering the May. We originally put the on for a credit to the 1 leg and we're now selling them for even money. This helped us finance our ED put spreads and we are actively looking for ways to get some more premium shipped in, ideally in the FFs.
The NOB is still at 25 year highs. The range on Wednesday was almost 2 points. {that's 64 ticks at a price of $156 per one lot} Though it settled off the highs, it was up over a point. At this point, we have no position on as we attempt to reload and find a position that will allow us the capture what we think is the impending flattening.
~LH
