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Strategies & Market Trends : January Effect 2003 -- Ignore unavailable to you. Want to Upgrade?

To: Londo who wrote (327)	4/11/2003 5:24:46 PM
From: RockyBalboa	Respond to of 666

Umm, yes. That reminds me when I executed mental stops in "pizza" winning T-Bond trades when much more was in the cards while the correct execution of the idea called for keeping the position (see the recent short over 112). I did nothing, but in the end, that doing nothing (ie most importantly, not covering the NDX 1050 gap open) helped a lot. I should have had the guts and replayed last friday. It was, and even the timing was the pattern from last friday replayed. Just go back to the posts a week ago. I still wonder why I have not recognised it early today. The T-Bond recovered,.. the Euro changed course. Perhaps I was too tired. The arb situation, GBL vs. TN worsened over the day, so all I could do was to add there before the close (at GBL 113.50): The GBL did not recover its losses ... so it "has to" make some gains on monday to the tune of 25 to 40 pips. In other words, I'm in the strange situation of being long bunds now. But I can live with that. Statistically, the bund does not drop on mondays in over 70% of the cases, with emphasis on those ones where the overseas market closed weak.

To: Londo who wrote (327)	4/11/2003 11:34:08 PM
From: RockyBalboa	Read Replies (1) \| Respond to of 666

In support of the EUR Bund vs. TN trade: >>> The PPI rose 1.5% (core PPI +0.7%) and was noticeably above the consensus estimate of 0.3% (core 0.0%)... The sharp increase was the result of the spike in auto and crude oil prices... <<<<< In Europe, we don't have this kind of PPI surges - thanks to the strong Eur all external price effects are muted. Therefore and thanks to the slow economy, Germany is compared to Japan and we are in deflationary pressures rather than in a "stagflation". Thats my take and the prime broker gave me some heads up on institutional bond purchases, later the day. This quarter, or perhaps even this year is not the right time for a massacre in bonds (at least not in Euroland - I have slightly different views for US bonds). After some time, I begin to like the spread trade idea - it is a continuation from the spread trades which have done by stat arbs at the end of 2002 when they drove the EUR rates closer to the USD rates. They have no idea to exit a winning position as well, in particular as the fundamentals support the movements. A reminder to my self - "keep the net exposure low... (and trade the same maturities)"!