FX UPDATE : The EURO remains VERY weak and a critical break in looming. “TRADE” has obviously never gone or going away, this adds to the EURO woes.

  • FX UPDATE : The EURO remains VERY weak and a critical break in looming. “TRADE” has obviously never gone or going away, this adds to the EURO woes.
  • ALL eyes on the EURO closing weaker into month end, the BIG DANGER is the current ranges are TOO SMALL. Buy SHORT DATED PUTS say EUR USD 1.1400 Puts 21.0/22.0 Currently (20/22) Ref Sep future 1.16885.
  • USD strength and EM LOWS in place.
  • The EURO could casually fail today for a few months!
  • USD EM has seen many BLOW OUT scenarios and TOPS now in on USD BRL, MXN, INR and ZAR.

         USD CAD continues a SLOW but effective GRIND.

 

 

ASTOR RIDGE : Independent Ideas, Research, Liquidity, Anonymity and Trusted Experience.

 

  • UK:         14-16 Dowgate Hill, London EC4R 2SU
  • US:          245 Park Ave, 39th Floor, NY, NY, 10167
  • Office:   +44 (0) 203 143 4174
  • Mobile:  +44 (0) 7980708683
  • Email:     chris.williams@astorridge.com
  • Web:       www.AstorRidge.com
  •  
  • •             I provide our research notification below for your convenience:
  • •            
  • •             Research Unbundling:
  • •            
  • •             Astor Ridge does not provide independent research. We have no dedicated or paid strategists, research portals, or research subscriptions. However, you may receive unsolicited marketing communications from our Introducing Brokers from time to time, which may refer to specific trade recommendations. These recommendations are based solely on the opinion of the author, and are not official research recommendations of Astor Ridge.We have considered guidance from ESMA, and any written material from our Introducing Brokers that might fall within the scope of the rules will be provided for free, and made publicly available on our website, to any EU Investment firm that registers for it.
  • •            
  • •             If you are a MiFID firm and do not agree with our approach, and instead believe that you must pay for written commentary or trade recommendations, then Astor Ridge will accept  payments determined by    you.
  • •            
  • •            
  • •            
  • •             I also direct you to our disclaimer on our email footer:
  • •             This marketing was prepared by Christopher Williams, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 
  • •            
  • •             You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 
  • •            
  • •             Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287
  • •             Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185
  • •             Astor Ridge NA LLP is a member of FINRA/SIPC:  CRD Number 282626
  • •             Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303
  • •             Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796
  • •            
  • •            
  • •             If there is anything else you require from us to continue receiving our market communications, or prefer a different medium for access (e.g. publicly available password protected access on the Astor Ridge website), please do let me know.
  • •            
  • •             Otherwise, if you are more comfortable to deem consent by simply acknowledging receipt of this email, and continuing our trading relationship under our updated terms of business below, without registering your disapproval, we are happy to proceed on that basis.
  • •            
  • •             Many thanks,
  • •            
  • •             Chris

 

 

 

 

pdf icon FX-UPDATE-The-EURO-remains-VERY-weak-and-a-critical-break-in-looming.“TRADE”-has-obviously-never-gone-or-going-away-this-adds-to-the-EURO-woes..pdf

by chris_williams

**PLEASE READ- US CURVE UPDATE : COULD THE FED EVENT RISK BE A REASON FOR MANY CURVES TO STEEPEN FROM MULTIYEAR 76.4% RETRACEMENTS?**

US CURVES : DECISION TIME, WE HAVE THE EVENT RISK.

THE MAJORITY OF CURVES ARE SITTING ON MULTI YEAR 76.4% RET, A FED BASE COULD BE LOOMING.

 

 

It now looks like we are finally close, nearly ALL monthly charts are hitting or hit MULTI year 76.4% ret dating back to 2000!

ALL daily RSI’s remain NEUTRAL and hence have been left off.

 

I still think this will be a BULL STEEPENER, correlation isn’t great having made this statement BUT preciously it took time to change the yield direction.

 

 

ASTOR RIDGE : Independent Ideas, Research, Liquidity, Anonymity and Trusted Experience.

 

  • UK:         14-16 Dowgate Hill, London EC4R 2SU
  • US:          245 Park Ave, 39th Floor, NY, NY, 10167
  • Office:   +44 (0) 203 143 4174
  • Mobile:  +44 (0) 7980708683
  • Email:     chris.williams@astorridge.com
  • Web:       www.AstorRidge.com
  •  
  • •             I provide our research notification below for your convenience:
  • •            
  • •             Research Unbundling:
  • •            
  • •             Astor Ridge does not provide independent research. We have no dedicated or paid strategists, research portals, or research subscriptions. However, you may receive unsolicited marketing communications from our Introducing Brokers from time to time, which may refer to specific trade recommendations. These recommendations are based solely on the opinion of the author, and are not official research recommendations of Astor Ridge.We have considered guidance from ESMA, and any written material from our Introducing Brokers that might fall within the scope of the rules will be provided for free, and made publicly available on our website, to any EU Investment firm that registers for it.
  • •            
  • •             If you are a MiFID firm and do not agree with our approach, and instead believe that you must pay for written commentary or trade recommendations, then Astor Ridge will accept  payments determined by    you.
  • •            
  • •            
  • •            
  • •             I also direct you to our disclaimer on our email footer:
  • •             This marketing was prepared by Christopher Williams, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 
  • •            
  • •             You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 
  • •            
  • •             Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287
  • •             Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185
  • •             Astor Ridge NA LLP is a member of FINRA/SIPC:  CRD Number 282626
  • •             Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303
  • •             Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796
  • •            
  • •            
  • •             If there is anything else you require from us to continue receiving our market communications, or prefer a different medium for access (e.g. publicly available password protected access on the Astor Ridge website), please do let me know.
  • •            
  • •             Otherwise, if you are more comfortable to deem consent by simply acknowledging receipt of this email, and continuing our trading relationship under our updated terms of business below, without registering your disapproval, we are happy to proceed on that basis.
  • •            
  • •             Many thanks,
  • •            
  • •             Chris

 

 

 

 

pdf icon US-CURVES-DECISION-TIME-WE-HAVE-THE-EVENT-RISK.-THE-MAJORITY-OF-CURVES-ARE-SITTING-ON-MULTI-YEAR-76.4-RET.-A-BASE-COULD-BE-LOOMING..pdf

by chris_williams

FW: Italy Trade opportunity - New Medium Cpn 10y offers cheap default option

 

Italian Trade Idea

 

New 10y Btps 2.8% Dec28 – Has value even to the High Coupon Curve

 

Italy launched today the new Btps 2.8% Dec28 – 4Bln first tranche

 

 

Trade Mechanics

Buy €115MM Btps 4.75% Dec 28
vs

Sell 973 contracts IKU8 (Ctd Btps 4.75% Sep28)

Low Coupon & High Coupon RVS (Relative Value Spread)

All cash-flows are discounted using a smooth, Italian discount curve

 

Green = RVS for Low Coupons, Blue = RVS for High Coupons

On a correctly discounted basis, the High coupons still have a higher (cheaper) cashflow RVS relative to the low coupons

 

Levels

Current: @ +3.5bp (has been out to +4bp)

Enter @ +4bp (initial)
Scaled additions to the trade: 15% @ +4bp, 25% @ +5bp, 25% @+6bp, 35% @ +7bp
Target @ -1bp
Stop @ +10bp

History
As we don’t have a history of the new 10y, see below a graph of the old 10y vs the contract

 

Rationale

  • The New issue trades cheap due to its higher coupon relative to older 10yrs
  • The boundary condition for buying new issue Italy is when the low coupons trade ‘fair’ to the high coupon curve – thereby getting the ‘default option’ at zero cost
  • The discounting process to assess value requires an idiosyncratic Italian discount curve – see graph above of RVS for Italian bonds (Relative Value spread)
  • No further Issuance in 10yrs until end of August – as per usual 3s, 7s and bonds for August are cancelled – current issue size only €4.0bln (pre non-comp)
  • Adjusting for coupon / bond price in a default scenario the bond still has value – see graph 2

 

Graph of default RVS spread – value of the bond after adjusting for some probability of default
Displays the RVS (Relative Value Spread) under the fitted default expectations implied by the yield curve spreads between Eonia and All Italian bonds

 

Roll & Carry (3mo)

Carry: -1.2bp

Roll: -0.1bp

 

Graph of Expected Probability of Default for Italy (used to derive the anomaly/RVS values above)

 

Risks

  • In a risk-on environment the BTPS 4.75 9.28 could outperform
  • The Btps repo could go special as a CTD to the Eurex Sep 2018 contract
  • The Btps Dec28 could remain under-pressure during August due to lack of buying interst

 

 

 

James Rice

 

cid:<a href=image001.jpg@01D21F13.B69A4950">

UK: 14-16 Dowgate Hill, London ec4r 2su

US: 245 Park Ave 39th Fl, New York NY 10167

 

Office:   +44 (0) 203 - 143 - 4178

Mobile:  +44 (0) 754 - 011 - 7705

Email:     James.Rice@AstorRidge.com

Web:       www.AstorRidge.com

 

This marketing was prepared by James Rice, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 

 

You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 

 

Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287

Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185

Astor Ridge NA LLP is a member of FINRA/SIPC:  CRD Number 282626

Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303

Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796

 

 

by James_Rice

UK 4q55s Cheapened since 1t57 tap..Time to buy vs rich3t52 & 4 60..

The UKT 4.25% 2055 issue has cheapened on the curve since the recent 1t57 auction & with the upcoming launch of a new January 2049s 3t52s are similar duration to that issue & rich so likely to cheapen & on the longer leg a fly selling 4 60 which remain stubbornly rich with the likelihood that next quarter issuance for over 15 years will be a syndicated reopening of 1f2071s & 2 likely auctions of the new January 2049s to beef that issue up & no 40 year issuance possible until 2019 ! Entry level around here +0.5bp.. Target 4bp. Carry & Roll flat for 3 months.. Chart below; History back to 2015!!!!! Please call if you agree or disagree,the fly has a small steepening bias...

This marketing was prepared by George Whitehead, a consultant with Astor Ridge. It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation. Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail. The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results.

You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP.

Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA): Registration Number 579287
Astor Ridge LLP is Registered in England and Wales with Companies House: Registration Number OC372185
Astor Ridge NA LLP is a member of FINRA/SIPC: CRD Number 282626
Astor Ridge NA LLP is a member of the National Futures Association (NFA): Firm ID Number 0499303
Astor Ridge NA LLP is Registered in England and Wales with Companies House: Registration Number OC401796

<< "The Past Is The Future Back To Basics" 02031434182-www.astorridge.com >>

by george_whitehead

US CURVES : Last week witnessed a consistent steepening and the END OF THE MONTH SHOULD confirm the BIG STEEPENER IS ON!

US CURVES : Last week witnessed a consistent steepening and the

END OF THE MONTH SHOULD confirm the BIG STEEPENER IS ON!

Hopefully we can close the month at the HIGHS to confirm a “BASE”.

It now looks like we are finally close, nearly ALL monthly charts are hitting or hit MULTI year 76.4% ret dating back to 2000!

ALL daily RSI’s remain NEUTRAL and hence have been left off.

At some stage this will steepen but do think it has something to do with the US  5yr re-entering the multi-year channel 2.7687.

I still think this will be a BULL STEEPENER, correlation isn’t great having made this statement BUT preciously it took time to change the yield direction.

ASTOR RIDGE : Independent Ideas, Research, Liquidity, Anonymity and Trusted Experience.

 

  • UK:         14-16 Dowgate Hill, London EC4R 2SU
  • US:          245 Park Ave, 39th Floor, NY, NY, 10167
  • Office:   +44 (0) 203 143 4174
  • Mobile:  +44 (0) 7980708683
  • Email:     chris.williams@astorridge.com
  • Web:       www.AstorRidge.com
  •  
  • •             I provide our research notification below for your convenience:
  • •            
  • •             Research Unbundling:
  • •            
  • •             Astor Ridge does not provide independent research. We have no dedicated or paid strategists, research portals, or research subscriptions. However, you may receive unsolicited marketing communications from our Introducing Brokers from time to time, which may refer to specific trade recommendations. These recommendations are based solely on the opinion of the author, and are not official research recommendations of Astor Ridge.We have considered guidance from ESMA, and any written material from our Introducing Brokers that might fall within the scope of the rules will be provided for free, and made publicly available on our website, to any EU Investment firm that registers for it.
  • •            
  • •             If you are a MiFID firm and do not agree with our approach, and instead believe that you must pay for written commentary or trade recommendations, then Astor Ridge will accept  payments determined by    you.
  • •            
  • •            
  • •            
  • •             I also direct you to our disclaimer on our email footer:
  • •             This marketing was prepared by Christopher Williams, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 
  • •            
  • •             You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 
  • •            
  • •             Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287
  • •             Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185
  • •             Astor Ridge NA LLP is a member of FINRA/SIPC:  CRD Number 282626
  • •             Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303
  • •             Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796
  • •            
  • •            
  • •             If there is anything else you require from us to continue receiving our market communications, or prefer a different medium for access (e.g. publicly available password protected access on the Astor Ridge website), please do let me know.
  • •            
  • •             Otherwise, if you are more comfortable to deem consent by simply acknowledging receipt of this email, and continuing our trading relationship under our updated terms of business below, without registering your disapproval, we are happy to proceed on that basis.
  • •            
  • •             Many thanks,
  • •            
  • •             Chris

 

 

 

pdf icon US-CURVES-Last-week-witnessed-a-consistent-steepening-and-the-END-OF-THE-MONTH-SHOULD-confirm-the-BIG-STEEPENER-IS-ON.pdf

by chris_williams

FX UPDATE : Another market of expectation followed by disappointment. Sadly I was expecting more from USD strength into month end, however there is still time given the BOJ, FED and BOE this week.

  • FX UPDATE : Another market of expectation followed by disappointment. Sadly I was expecting more from USD strength into month end, however there is still time given the BOJ, FED and BOE this week.
  •  ALL eyes on the EURO closing weaker into month end, the BIG DANGER is the current ranges are TOO SMALL. Buy SHORT DATED PUTS say EUR USD 1.1400 Puts 21.0/22.0 Ref Sep future 1.16885. (Now 15.0/16.0).
  • USD strength and EM LOWS in place.
  • The EURO could casually fail today for a few months!
  • USD EM has seen many BLOW OUT scenarios and TOPS now in on USD BRL, MXN, TRY and ZAR.

    USD CAD continues a SLOW but effective GRIND.

ASTOR RIDGE : Independent Ideas, Research, Liquidity, Anonymity and Trusted Experience.

 

  • UK:         14-16 Dowgate Hill, London EC4R 2SU
  • US:          245 Park Ave, 39th Floor, NY, NY, 10167
  • Office:   +44 (0) 203 143 4174
  • Mobile:  +44 (0) 7980708683
  • Email:     chris.williams@astorridge.com
  • Web:       www.AstorRidge.com
  •  
  • •             I provide our research notification below for your convenience:
  • •            
  • •             Research Unbundling:
  • •            
  • •             Astor Ridge does not provide independent research. We have no dedicated or paid strategists, research portals, or research subscriptions. However, you may receive unsolicited marketing communications from our Introducing Brokers from time to time, which may refer to specific trade recommendations. These recommendations are based solely on the opinion of the author, and are not official research recommendations of Astor Ridge.We have considered guidance from ESMA, and any written material from our Introducing Brokers that might fall within the scope of the rules will be provided for free, and made publicly available on our website, to any EU Investment firm that registers for it.
  • •            
  • •             If you are a MiFID firm and do not agree with our approach, and instead believe that you must pay for written commentary or trade recommendations, then Astor Ridge will accept  payments determined by    you.
  • •            
  • •            
  • •            
  • •             I also direct you to our disclaimer on our email footer:
  • •             This marketing was prepared by Christopher Williams, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 
  • •            
  • •             You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 
  • •            
  • •             Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287
  • •             Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185
  • •             Astor Ridge NA LLP is a member of FINRA/SIPC:  CRD Number 282626
  • •             Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303
  • •             Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796
  • •            
  • •            
  • •             If there is anything else you require from us to continue receiving our market communications, or prefer a different medium for access (e.g. publicly available password protected access on the Astor Ridge website), please do let me know.
  • •            
  • •             Otherwise, if you are more comfortable to deem consent by simply acknowledging receipt of this email, and continuing our trading relationship under our updated terms of business below, without registering your disapproval, we are happy to proceed on that basis.
  • •            
  • •             Many thanks,
  • •            
  • •             Chris

 

 

default icon FX-UPDATE-Another-market-of-expectation-followed-by-disappointment.-Sadly-I-was-expecting-more-from-USD-strength-into-month-end-however-there-is-still-time-given-the-BOJ-FED-and-BOE-this-week..pptx

by chris_williams

Equities : They continue to CHOP around but the latest TECH NEWS may serve to create a TOP, the RSI is of 2000 levels.

Equities : They continue to CHOP around but the latest TECH NEWS may serve to create a TOP, the RSI is of 2000 levels so let’s see.

I still see these as eventually having a good old fashioned “WASHOUT”. Similar to  so many bond yield charts, equities have the SAME long-term OVERBOUGHT RSI signals. Only a matter of time.

The difficulty is what will cause the FAIL, I think its trade wars and the TECH sector losing its shine.

Dax is one of the MOST over stretched European markets but does need to close the end of the quarter SUB 12611 bollinger average.

ASIA is also the one to watch as that is starting to make moves.

FTSE is currently a very positive chart but that will change on a close sub the 123.6% ret 7531.00.

US stocks continue to grind higher this DESPITE ALL quarterly and monthly RSI’s being 1896, 1999 and 2000 extensions.

** EQUITIES remain part of a BIGGER STOCKS down BONDS higher call, so not to be over looked especially if the EURO JOINS IN!

ASTOR RIDGE : Independent Ideas, Research, Liquidity, Anonymity and Trusted Experience.

 

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  • •             This marketing was prepared by Christopher Williams, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 
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pdf icon Equities-They-continue-to-CHOP-around-but-the-latest-TECH-NEWS-may-serve-to-create-a-TOP-the-RSI-is-of-2000-levels.-30.07.2018.pdf

by chris_williams

FX UPDATE : We have many FX ranges that are way TOO SMALL, the result will be a MAJOR STAMPEDE-LATE RUN of USD STRENGTH into month end!

  • FX UPDATE : We have many FX ranges that are way TOO SMALL, the result will be a MAJOR STAMPEDE-LATE RUN of USD STRENGTH into month end!
  • ALL eyes on the EURO closing weaker into month end, the BIG DANGER is the current ranges are TOO SMALL. Buy SHORT DATED PUTS say EUR USD 1.1400 Puts 21.0/22.0 Ref Sep future 1.16885.
  • USD strength and EM LOWS in place.
  • The EURO could casually fail today for a few months!
  • USD EM has seen many BLOW OUT scenarios and TOPS now in on USD BRL, MXN, TRY and ZAR.

        USD CAD continues a SLOW but effective GRIND.

ASTOR RIDGE : Independent Ideas, Research, Liquidity, Anonymity and Trusted Experience.

 

  • UK:         14-16 Dowgate Hill, London EC4R 2SU
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  • Email:     chris.williams@astorridge.com
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  •  
  • •             I provide our research notification below for your convenience:
  • •            
  • •             Research Unbundling:
  • •            
  • •             Astor Ridge does not provide independent research. We have no dedicated or paid strategists, research portals, or research subscriptions. However, you may receive unsolicited marketing communications from our Introducing Brokers from time to time, which may refer to specific trade recommendations. These recommendations are based solely on the opinion of the author, and are not official research recommendations of Astor Ridge.We have considered guidance from ESMA, and any written material from our Introducing Brokers that might fall within the scope of the rules will be provided for free, and made publicly available on our website, to any EU Investment firm that registers for it.
  • •            
  • •             If you are a MiFID firm and do not agree with our approach, and instead believe that you must pay for written commentary or trade recommendations, then Astor Ridge will accept  payments determined by    you.
  • •            
  • •            
  • •            
  • •             I also direct you to our disclaimer on our email footer:
  • •             This marketing was prepared by Christopher Williams, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 
  • •            
  • •             You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 
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  • •             Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287
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  • •            
  • •            
  • •             If there is anything else you require from us to continue receiving our market communications, or prefer a different medium for access (e.g. publicly available password protected access on the Astor Ridge website), please do let me know.
  • •            
  • •             Otherwise, if you are more comfortable to deem consent by simply acknowledging receipt of this email, and continuing our trading relationship under our updated terms of business below, without registering your disapproval, we are happy to proceed on that basis.
  • •            
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  • •             Chris

 

 

 

 

 

 

 

pdf icon FX-UPDATE-We-have-many-FX-ranges-that-are-way-TOO-SMALL-the-result-will-be-a-MAJOR-STAMPEDE-LATE-RUN-of-USD-STRENGTH-into-month-end-.27.07.2018.pdf

by chris_williams

French trade - Frtr Apr 26 old CTD rich vs HC curve (cpn adjusted)

 

France Sell Frtr 3.5 Apr/26

Vs Buy HC Oct25 and OATA Ctd

 

Bloomberg History and CIX

200 * (YIELD[FRTR 3.5 26 Corp] - 0.3 * YIELD[FRTR 2.75 27 Corp] - 0.7 * YIELD[FRTR 6 25 Corp])

 

 

Mechanics

Sell €114,4MM Frtr 3.5% Apr26 (€100k)
Buy €78,6MM Frtr 6% Oct25 (€70k)
Buy €29,9MM Frtr 2.75% Oct27 (€30k)

Levels

Currently: -4.9bp
Entry: @ -4.5bp (pay the spread, trade works as spread goes higher)
Add: @ -6bp

Target: -1.5bp

Stop : -8bp

 

Graph of French RV - *Z-spread to swaps

(Bonds on the Yellow data series)

 

 

Rationale

  • Frtr April 26s have richened since being a CTD
  • As a deliverable, during the pre-Macron era they traded cheap to the curve. The bond has come full circle and is now rich vs other high coupons (and Low)
  • The OATA contract CTD Frtr 2.75% Oct 27 is also a higher coupon Bond
  • The Frtr 6% Oct 25 have strong positive due to their high coupon
  • The Trade is on a low in spread Historically
  • The trade looks good in Z-spread terms – so we are not arguing with a structural move in the generic (swap) curve
  • Trade has a bearish fade in that it is a short of the belly vs wings

 

Carry & Roll (3months)

  • Carry: +0.4bp, (10bp repo spread)
  • Roll: -0.1bp

 

Risks

  • The Apr 26 could stay bid as a leveraged short
  • The Market could rally/Curve could flatten aggressively increasing the chances of the belly outperforming
  • The futures contract (Oct 27) could cheapen significantly

 

 

 

Best

 

 

Speak soon

 

               

 

James Rice

 

cid:<a href=image001.jpg@01D21F13.B69A4950">

UK: 14-16 Dowgate Hill, London ec4r 2su

US: 245 Park Ave 39th Fl, New York NY 10167

 

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This marketing was prepared by James Rice, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 

 

You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 

 

Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287

Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185

Astor Ridge NA LLP is a member of FINRA/SIPC:  CRD Number 282626

Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303

Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796

 

 

 

by James_Rice

US CURVES : We’ve had some steepening this week but yet to WHOLLY confirm the BIG STEEPENER IS ON!

US CURVES : We’ve had some steepening this week but yet to WHOLLY confirm the BIG STEEPENER IS ON!

It now looks like we are finally close, nearly ALL monthly charts are hitting or hit MULTI year 76.4% ret dating back to 2000!

At some stage this will steepen but do think it has something to do with the US  5yr re-entering the multi-year channel 2.7687.

I still think this will be a BULL STEEPENER, correlation isn’t great having made this statement BUT preciously it took time to change the yield direction.

ASTOR RIDGE : Independent Ideas, Research, Liquidity, Anonymity and Trusted Experience.

 

  • UK:         14-16 Dowgate Hill, London EC4R 2SU
  • US:          245 Park Ave, 39th Floor, NY, NY, 10167
  • Office:   +44 (0) 203 143 4174
  • Mobile:  +44 (0) 7980708683
  • Email:     chris.williams@astorridge.com
  • Web:       www.AstorRidge.com
  •  
  • •             I provide our research notification below for your convenience:
  • •            
  • •             Research Unbundling:
  • •            
  • •             Astor Ridge does not provide independent research. We have no dedicated or paid strategists, research portals, or research subscriptions. However, you may receive unsolicited marketing communications from our Introducing Brokers from time to time, which may refer to specific trade recommendations. These recommendations are based solely on the opinion of the author, and are not official research recommendations of Astor Ridge.We have considered guidance from ESMA, and any written material from our Introducing Brokers that might fall within the scope of the rules will be provided for free, and made publicly available on our website, to any EU Investment firm that registers for it.
  • •            
  • •             If you are a MiFID firm and do not agree with our approach, and instead believe that you must pay for written commentary or trade recommendations, then Astor Ridge will accept  payments determined by    you.
  • •            
  • •            
  • •            
  • •             I also direct you to our disclaimer on our email footer:
  • •             This marketing was prepared by Christopher Williams, a consultant with Astor Ridge.  It is not appropriate to characterize this e-mail as independent investment research as referred to in MiFID and that it should be treated as a marketing communication even if it contains a trade recommendation. A history of marketing materials and research reports can be provided upon request in compliance with the European Commission’s Market Abuse Regulation.  Astor Ridge takes no proprietary trading risk, has no market making facilities, and has no position in any security we discuss in this e-mail.  The views in this e-mail are those of the author(s) and are subject to change, and Astor Ridge has no obligation to update its opinions or the information in this publication. If this e-mail contains opinions or recommendations, those opinions or recommendations reflect solely and exclusively those of the author, and such opinions were prepared independently of any other interests, including those of Astor Ridge and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the those who receive it. The securities discussed herein may not be suitable for all investors. Astor Ridge recommends that investors independently evaluate each issuer, security or instrument discussed herein, and consult any independent advisors they believe necessary. The value of, and income from, any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results. 
  • •            
  • •             You should not use or disclose to any other person the contents of this e-mail or its attachments (if any), nor take copies. This e-mail is not a representation or warranty and is not intended nor should it be taken to create any legal relations, contractual or otherwise. This e-mail and any files transmitted with it are confidential, may be legally privileged, and are for the sole use of the intended recipient. Copyright in this e-mail and any accompanying document created by Astor Ridge LLP is owned by Astor Ridge LLP. 
  • •            
  • •             Astor Ridge LLP is regulated by the Financial Conduct Authority (FCA):  Registration Number 579287
  • •             Astor Ridge LLP is Registered in England and Wales with Companies House:  Registration Number OC372185
  • •             Astor Ridge NA LLP is a member of FINRA/SIPC:  CRD Number 282626
  • •             Astor Ridge NA LLP is a member of the National Futures Association (NFA):  Firm ID Number 0499303
  • •             Astor Ridge NA LLP is Registered in England and Wales with Companies House:  Registration Number OC401796
  • •            
  • •            
  • •             If there is anything else you require from us to continue receiving our market communications, or prefer a different medium for access (e.g. publicly available password protected access on the Astor Ridge website), please do let me know.
  • •            
  • •             Otherwise, if you are more comfortable to deem consent by simply acknowledging receipt of this email, and continuing our trading relationship under our updated terms of business below, without registering your disapproval, we are happy to proceed on that basis.
  • •            
  • •             Many thanks,
  • •            
  • •             Chris

 

 

pdf icon US-CURVES-Weve-had-some-steepening-this-week-but-yet-to-WHOLLY-confirm-the-BIG-STEEPENER-IS-ON.pdf

by chris_williams