Video

Jacob Pouncey
Hype among retail investors drove the 2017 crypto bull market to feverish highs as newcomers sought quick and big profits. But a raft of regulatory changes as well as the launch of futures mean those days are long gone and the story of 2018 so far is of depressed sentiment and prices.
Short term
/
Sell
Trade view / 30 May 2018 at 8:11 GMT

A tactical short in Jan 2019 Fed Fund futures

Global Macro Strategist / Saxo Bank Group - Singapore Hub
Singapore
Price target: 97.70
Market price: 97.9250
Background

This outlines a tactical short in Jan 2019 Fed Fund futures given adverse moves over the last few trading days, with the market price at 97.9250 in Asia on Wednesday morning, the market is implying 1.5x hikes between now and the end of 2018. We have gone from warming up to expecting four hikes since 2018 to now expecting only a total of 2.5x for the whole of 2018.

The tactical thesis here is that this has been a overshoot, driven by position clearing out, risks in Europe, EM and the Korean Peninsula, etc... 

Management and risk description

The key risks are of course... the storm is still building up and we could have:

  • A lot more pain on the position clearing that we’ve been seeing in the Fed Fund futures (i.e. more noise)
  • Italy/Spain/Europe risks have a bigger spillover effect into markets 
  • And of course the biggest risk of them all – the Fed does not hike on Jun 13… which would cause the mother of all expectations to be repriced…

Parameters

Entry:

97.9250

Stop:

200bps risk with a stop at 98.200 (which would imply 0.40x of a hike for rest of 2018)

Target:
Targetting circa. 97.70/75, yet as always with an option to close down the position earlier if we feel the need to.

Time horizon:

2-3 weeks (14 days to potential Jun 13 Fed Hike)


Chart: 10-year US benchmark bond
chart
 Source: Bloomberg

Non-independent investment research disclaimer applies. Read more
A compiled overview of Trade Views provided on TradingFloor.com is found here
1y
Kay Van-Petersen Kay Van-Petersen
(From Thu Asia Mrn Chat & Email)

Thursday, May 31, 2018

KAY VAN-PETERSEN
09:05:31 BOOM!

Early days... but the tactical shorts on the FFF 2019 & 2020 that we put out early doors Asia morning yest... have reversed sharply in our favor...

As per email yest:

Short Jan 2019 FFF
Entry: 97.9250 [ZQF9]

Risk: 200bp risk with a stop at 98.200
=>Implied position c. $71m

Targeting: c. 97.75

Short Jan 2020 FFF
Entry: 97.6350 [ZQFO]

Risk: 300bp risk with a stop at 97.900
=>Implied position c. $111m

Targeting: c. 97.34

The contracts closed at 97.8450 & 97.4950 respectively...

Adding a TOTAL return to the the MM Book of 217bp... this is phenomenal for just one trading session...

If it was not for the Jun 13th Fed hike, KVP would normally bank this & run... however I still think over the next 11days... the mkt focus will start to ease back to US monetary policy...

I may wait till we get to the targets or close them off earlier if we got another sharp move lower...
1y
Kay Van-Petersen Kay Van-Petersen
Charts...

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