TFMkts: Best ideas Update

Posted by on Apr 22, 2012 in Uncategorized | No Comments


Short Nasdaq (ND futures, QQQ cash)

We initiated this position at 2734 on the ND futures on April the 10th in the pre-market. I had originally target 2,690 as a take-out, but expected ES to hit 1,359 first so focused on closing that trade first.

Short SPX (ES Futures, SPY cash)    

We set this short at 1,367.5 on the morning of the 11th. The target was 1,359 and while we were short both Nasdaq and SPX, we were more comfortable with Nasdaq. The target just missed a few times and currently the trade is out of the money at 1,375.5. We will be watching overnight closely, but given the lack of excitement over the firewall, and strange French first round election results, the target is now 1,350.

Short IG18 (short credit, bought IG18)    

Paid 102.75 on the 10th. It was briefly in the money, briefly much tighter, and has crept a little wider though still out of the money. Comfortable leaving this trade on, as went long HY18. Decompression not working yet, but like being short stocks and IG versus long HY18.

Long HY18 (long credit, bought HY18)    

As concern mounted that the markets were going to run away and the SPX and IG short were deeply against us, and even the Nasdaq short had given up a lot of gains, the trade was to buy HY18 at 95.5. Bad trade so far as it lingers at just under 95.

Short Spanish 10 year bonds (short credit)    

We started with a half short position in this around the 5.4% yield level, but turned it into a full short on the 5th at 5.73%. We could have traded it better, but still looking for a 6.5% take-out.

Long GGB PSI 2023 bonds (long credit)    

We started with being long these bonds at 24, and they are still around 24. If anything, have spoken with former Prime Minister Papandreou and other senior people in Greece, I think this may be a position worth doubling down.

Long HY17 vs Short HYG (rel val trade)

Had worked out well, but ended the week poorly. Still have it on, and considering outright short HYG as it seems very overvalued.

Long IG18 vs Short IG9 10yr (rel val trade)

Mediocre at best. Remains illiquid even after all the “whale” stories, but I think this relationship should normalize, and although I like some of the worst names in IG9, I think the spread is still too much.

Review of Closed Trades

So far the “best ideas” have worked out very well. Will send out a table of all trades that were closed, and any updated positions tomorrow morning.



Twitter: @TFMkts