Today's edition of the Saxo Morning Call features the SaxoStrats team discussing the continuing weakness of the US dollar as commodity prices recover ground and in the wake of key US equity indices hitting all-time highs Thursday.
Article / 01 May 2014 at 6:57 GMT

Saxo equity pair trades: Goodyear stuck in the mud

By Mads Koefoed

Continental has risen 1.5 percent this week while Goodyear has struggled to get any traction, resulting in a drop of 8 percent. This has caused to spread between the two to (more than) mean-revert to plus 0.7 from minus 1.9 initially. It is time to take a profit.
The same swift reversion to the mean is not helping the tenth pair, Delta Air Lines vs. Ryanair, which has seen the spread widen to 3.7 from 1.8 at the beginning of the week.

Continental vs. Goodyear

Source: Bloomberg and Saxo Bank
fxtime fxtime
Mads great stuff...thx. You mentioned you might be looking at other fields such as indices or even bonds/notes etc.....any news on that side of things?
Mads Koefoed Mads Koefoed
Hi fxtime. I'm looked into indices at the moment, but nothing useful so far...
fxtime fxtime
Hmm I am watching ZN against Nas and spx against T-bonds ! It is the rate of change that interests me and not necessarily the spread!
fxtime fxtime
Mads I notice that UK gilts have reached a 15yr high against the Bund ! UK gilts have a yieild 2.64% against 1.47% Bund....thus the UK gov't have greater borrowing costs. With Draghi forever suggesting a euro devaluation via negative rate deposits or even QE bond style purchasing there may be some arbitrage here?


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