ses

@Credit_Junk Whats the macro momentum factor?

I integrated the global macro momentum inside the factor approach for G10 Fx investing. I talked of it some days ago. The signals: Long: EUR, SEK, GBP Short: NOK, AUD, NZD

@parrmenidies How do you construct this spread?

What Counts Now.. What will happen at the FEB 23 FOMC. Call it More than Likely that its 'just" 25 Bp's or Less... 60% prob of 25.../40% 50 bps..

@deverehu Whats the BBG function for the right chart please?

Chunky trade of 7.2K in 5s futures FVH2 traded at a price of 120-22...appears to be a buy that will play out if we see a downside surprise in tomorrow's CPI YoY data.

@686Prism Worth the hassle to have it on excel with exactly how you want it vs doing it on Reuters or BBG? Very nice work!

when u decide to clean up the watchlist a little and this happens:

@EffMktHype What are the diamonds?

ES' prior day vwap has been a good entry in this lethargic uptrend into month-end

@macrotool Would you mind sharing the papers titles please?

@MrBlonde_macro How do you define regimes? Great thread, thank you

5/5 IMHO we are in expansion but can feel like slowdown at times. lean long equities, short duration, balanced exposure b/t growth & value w/ less ‘risk’ and more profitability. carry cyclicals, but more selective. short vol>long equity. just a guide good judgement still required

1/5 With PMIs on tap this week, calling “peak” rate of change in growth from current levels is not a bold call given current levels vs history. an aggregate of indicators to measure macro growth offers a roadmap for defining the regime…

@MacroStratChris How do you use these 2 lookback z scores ?

@mostovic Does it respond well to other futures as well?

orderbook bot today (still testing on 1 mes but its alive!) much better than yesterday even thou sideway action. still happy about it so far

@ALBACapMgmt @choffstein 🤣🤣

@choffstein Collect term premium. Watch tv. Drink beer ✌️

My average day as a quant PM: 💹 Check markets/news 🤖 QC model output 📨 Send trade orders 📚 Read research (i.e. Twitter) 🧑‍💻 Coding (operations + research) 📲 Due diligence/client calls ✍️ Client commentary 💥 Risk analysis 🧾 Reconcile trades What’s your day look like?

@NicoGladia 😂😂😂

Hedge funds adding a slide about machine learning...

@INArteCarloDoss FAN TA STIC thread. Thank you!

Property names saw significant selling pressure while China IG and HY also squeezed lower. Conclusion: The size of the maturities makes this one of the largest credit events in Asia of late and the signs of Huarong restructuring + haircut are spooking everyone. End

China credit systemic risks. A thread. Before I start I would like to make sure everyone acknowledges and understands that China credit worries have been lingering for a long time now and there has been lots of legacy and excess leverage. But even for China this is big 1/N

@INArteCarloDoss How do you time these adds and trims? ST macro narrative? Technical levels? Thanks a lot

This seems to have confused some. Am still bullish € up to > 1.25. But my trading style is always the same: I scale up if there are retests and scale down on rips. I posted almost live that I went v long @ 1.17 - am now scaling down. Will add on retest (1.18-1.185)

@volmagorov Look forward to it.

@volmagorov Great thread, thanks a lot. Suggestion: it would be fantastic to have a very advanced options trader take on how to best select strike and structures to maximise payoff for directional trading. Thanks again

@fiducia_invest Are these short and long options? Results are looking nice for a not so easy Q1! Well done

@MarkGutman9 🤣🤣🤣

<-- Won't be posting a topless selfie

@UreshP can you disclose who they are? Thanks

@iv_technicals I guess you are pretty long gamma

my (very rough) roadmap for #gold

Gold with a solid double bottom on the daily. Let's see how far it goes this time. Enjoy the ride $GC_F $GLD

@EffMktHype @sukhoiConvexity Makes sense, thank you.

@sescourrou @sukhoiConvexity Those aren't YTM, that's average maturity of issuance which has been getting longer. This is Yield to Worst for both 👇

You guys will like this one - the dilemma and risks at play. IG is at record duration, maturity & spreads HY is at lower duration, avg maturity but record tight spreads. If the curve continues steepening from growth, inflation and tsy issuance, which is more at risk here?