GLOBAL INVESTMENT STRATEGY, EXECUTION AND RISK MANAGEMENT FOR INSTITUTIONAL INVESTORS

Trades and Fades - more to follow

IF you prefer or would also like it dropped via a Bloomberg chat – please let me know

James

James Rice

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

US: 60 rumson rd, rumson, nj 07760

Office: +44 (0) 203 - 143 - 4178

Mobile: +44 (0) 754 - 011 - 7705

Trades-and-Fades-Sep-5th-1.0.pdf

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

BOND-YIELD-MONTHLY-AND-QUARTERLY-CHARTS-..-I-WOULD-NOT-NORMALLY-SEND-AN-UPDATE-SO-QUICKLY-BUT-TODAYS-NON-FARM-MIGHT-JUST-HAVE-BEEN-THEGUIDANCE-NEEDED..pdf

BOND YIELD MONTHLY AND QUARTERLY CHARTS : I WOULD NOT NORMALLY SEND AN UPDATE SO QUICKLY BUT TODAYS NON FARM MIGHT JUST HAVE BEEN THE GUIDANCE NEEDED.

BOND YIELD MONTHLY AND QUARTERLY CHARTS : I WOULD NOT NORMALLY SEND AN UPDATE SO QUICKLY BUT TODAYS NON FARM MIGHT JUST HAVE BEEN THE GUIDANCE NEEDED.

ADDITIONALLY THE CURVE STEEPENING AIDES THE CONVICTION LEVELS. (CURVE CHARTS INCLUDED). THE WORLD APPEARS TOBE "VERY" SHORT BONDS SO THIS COULD ASSIST GIVEN THE PREVIOUS YIELD RESISTANCE REMAINS.

ONE OF THE "BIGGEST" TECHNNICAL STRUGGLES IS THAT RSI LEVELS REMAIN SO EXTENDED AND YIELDS ARE MEERLY REVISITING PREVIOUS RESISTANCE. THIS MONTH WILL PROVE IF THE AUGUST YIELD RALLY HAS SUBSTANCE AND FOLLOW THROUGH?

PREVIOUSLY :

THESE CHARTS MIGHT BE TOO EARLY TO "JUDGE" THE NEXT STEP BUT WE ARE REVISITNG MANY PREVIOUS MOVING AVERAGE RESISTANCE. THE RSI DISLOCATIONS CONTINUE TO "COMFOUND" WITH MANY NEW HISTORICAL HIGHS.

CHARTS TO WATCH ARE US 30YR MONTHLY REVISITNG ITS 200 PERIOD MA 3.2868, US 5YR QUARTERLY REVISITING ITS 1962 LOW 3.5640, CAD 5YR QUARTERLY REVISITING ITS MULTIYEAR 23.6% RET 3.3657 AND UK 5YR QUARTERLY HITTING ITS 100 PERIOD MA 2.870 TO NAME BUT A FEW. SINGIFICANT MARKERS IN THE "SAND".

** WORTH A LOOK FOR THOSE LONGTERM PLAYERS **

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

UK: 14-16 Dowgate Hill, London EC4R 2SU
US: 245 Park Ave, 39^th 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:
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• Research Unbundling:
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• 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.
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• 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.
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• 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
• 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
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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.
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• Chris

US-AND-CAD-CURVES-...US-CURVES-STILL-LACK-IMPETUS-WHILST-SOME-CANADIAN-CURVES-MAYBE-APPROCHING-LEVELS-OF-NOTE..pdf

US AND CAD CURVES : US CURVES STILL LACK “IMPETUS” WHILST SOME CANADIAN CURVES MAYBE APPROCHING LEVELS OF NOTE.

US AND CAD CURVES : US CURVES STILL LACK “IMPETUS” WHILST SOME CANADIAN CURVES MAYBE APPROCHING LEVELS OF NOTE.

US CURVES CONTINUE TO “TREAD WATER” WITH VERY SIDEWAYS PERFORMANCE AT THESE DISLOCATED LOWS.

CANADA ON THE OTHER HAND HAS A FEW DISCIPLINED LEVELS OF SUPPORT.

PREVIOUSLY :

THE US 10-30 HAS HELD THE RECENT LOW, BUT 5-30 CONTINUES TO CONFOUND.

CANADA HAS BEEN A “LITTLE” MORE ORDERLY BUT TRADE CAD 2Y30Y MAYBE TOO CROWDED AS WE APPROACH THE 2000 LOW -56.00. THE RSI IS ALSO FORMING A “DISLOCATION”.

THE FOLLOWING CHARTS IMPLY TECHNICALLY A MAJOR STEEPENING BIAS FOR SOME TIME TO COME, THE IMPLICATION IS THAT IT WILL TAKE PLACE OVE THE NEXT FEW MONTHS.

CANADA, THERE IS A LESSER RSI DISLOCATION TO THE US BUT WE ARE HITTING KEY LEVELS.

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

UK: 14-16 Dowgate Hill, London EC4R 2SU
US: 245 Park Ave, 39^th 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

BOND-YIELD-MONTHLY-AND-QUARTERLY-CHARTS..-A-VERY-MESSY-QUARTER-ESPECIALLY-THE-UK-WHEN-DO-WE-SEE-AN-END-TO-THE-HIGHER-YIELDS.pdf

* PLEASE READ ** BOND YIELD MONTHLY AND QUARTERLY CHARTS : A VERY MESSY QUARTER ESPECIALLY THE UK, WHEN DO WE SEE AN END TO THE HIGHER YIELDS?

BOND YIELD MONTHLY AND QUARTERLY CHARTS : A VERY MESSY QUARTER ESPECIALLY THE UK, WHEN DO WE SEE AN END TO THE HIGHER YIELDS?

THESE CHARTS MIGHT BE TOO EARLY TO "JUDGE" THE NEXT STEP BUT WE ARE REVISITNG MANY PREVIOUS MOVING AVERAGE RESISTANCE.

THE RSI DISLOCATIONS CONTINUE TO "COMFOUND" WITH MANY NEW HISTORICAL HIGHS.

SINGIFICANT MARKERS IN THE "SAND".

** WORTH A LOOK FOR THOSE LONGTERM PLAYERS **

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

UK: 14-16 Dowgate Hill, London EC4R 2SU
US: 245 Park Ave, 39^th 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

HL coupon Italy

You asked to see analysis on H/L coupon pairs in back end of Italy

Conclusions

The market is relatively efficient at pricing the widening spread and the high low coupon differential in Btps in sub 10y space – notable exceptions would be v high coupons bought by QE such as nov26 And nov27

In the back end (>11 yrs) some pairs still have value in a default space – typically they are small neg carry in because the market recognizes the value of high coupons in a default free environment

Trades
Sell btps 49 to buy btps 45 – straight switch

Sell 44 into 41

Sell 39s into LC 37s

Both have avg location and would watch those spreads on index vs a 505 hedge in the exact swap dates for a good execution

Action points going forward
– just let me know if you want further work and/or to monitor some of these at what I think are good levels to get in
I haven't looked at idiosyncratic roll and carry here - , which if it was my book would be the 'edge' at which I would commit decent size to the theme

Method

Ran default model

Calculate the probability of receiving a cashflow or a default payment for all bonds over time

Regressed the bond and or bond swap relationships to test location

Results

Series 2 above is the theoretical yields using a default process – low coupons should trade richer

Rich Cheap relative to default Curve: red is rich

Obvious Pairs

Sell btps 49 vs buy Green btps 45 – coupled with the generic curve flattening this looks a decent stationary trade

Straight yield is

100 * ((YIELD[BTPS 3.85 09/01/49 Corp] - YIELD[BTPS 1.5 04/30/45 Corp]))

Regression is almost the same close to 1:1 (1:0.993)

Sell btps 44 to buy btps 41 – still great value but location not great

100*((yield[BTPS 4.75 09/01/44 Govt ]-0.974*yield[BTPS 1.8 03/01/41 Govt ]))

Regression form not quite so compelling

100*((yield[BTPS 4.75 09/01/44 Govt ]-0.974*yield[BTPS 1.8 03/01/41 Govt ]))

Sell btps aug39 into btps mar37

I've hedged this slightly differently – I hadged the bond spread vs a regressed amount of the exact swap dates

Basically a good hedge is to use 50% of the swap hedge to hedge it

(Cix looks duanting but it's just a hack to get the exact numbers from bbg)
(yield[BTPS 5 08/01/39 Govt ] - yield[BTPS 0.95 03/01/37 Govt])- 0.5*((yield[BTPS 5 08/01/39 Govt ] -0.01* sp210[BTPS 5 08/01/39 Govt]) - (yield[BTPS 0.95 03/01/37 Govt ] -0.01* sp210[BTPS 0.95 03/01/37 Govt]))

Again at the margin the 39s look a little cheap here in terms of history but it's a decent trade

James Rice

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

US: 60 rumson rd, rumson, nj 07760

Office: +44 (0) 203 - 143 - 4178

Mobile: +44 (0) 754 - 011 - 7705

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

US-STOCKS-...-TECHNICALLY-STOCKS-ARE-PERFORMING-AS-EXPECTED-HAVING-FAILED-THEIR-200-DAY-MOVING-AVERAGES..pdf

US STOCKS : TECHNICALLY STOCKS ARE PERFORMING AS EXPECTED, HAVING FAILED THEIR 200 DAY MOVING AVERAGES.

US STOCKS : TECHNICALLY STOCKS ARE PERFORMING AS EXPECTED, HAVING FAILED THEIR 200 DAY MOVING AVERAGES.

WE ARE NOW APPROACHING SOME KEY FINAL MOVING AVERAGES WITH MANY "SINGLE STOCKS" CLOSING WITH A "MAJOR" REVERSWAL MONTH.
THE SINGLE STOCKS PROMOTE MORE OF A NEGATIVE SITUATION.

THE "DECLINE" COULD PICK UP SPEED. THERE IS STILL NO "EVIDENCE" OF PANIC-PROFIT TAKING VOLUME ON MANY MAJOR SINGLE STOCKS.

PREVIOUSLY :
WE CONTINUE TO REMAIN SUB MOST KEY MOVING AVERAGES WHILST "ROLLING OVER".THE RUSSELL IS TESTING ITS 200 DAY MA 2012.
SINGLE STOCKS "SEEM" TO BE HOLDING BUT MANY REMAIN "DAMAGED" GOODS.
BITCOIN CONTINUES TO REMAIN HEAVY WITH LITTLE TO NO RECOVERY.
INTEL HAS RECOGNISED IT'S HUGE LEVEL 42.04, WE ARE THERE NOW! IF BREACHED IT SHOULD HELP SIGNAL MAJOR FAILURE ELSEWHERE.

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

UK: 14-16 Dowgate Hill, London EC4R 2SU
US: 245 Park Ave, 39^th 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

Trades & fades - James Rice

First few thoughts on next week – more to follow

James Rice

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

US: 60 rumson rd, rumson, nj 07760

Office: +44 (0) 203 - 143 - 4178

Mobile: +44 (0) 754 - 011 - 7705

Trades-and-Fades-Aug-29th-1.0.pdf

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

Gents: built a sheet to run swap spreads with delta

Method

1)I take bond yield

2) Then to calc the historical swap yield I take bond yield minus swap sprd (bp) /100 – this is a hack to avoid synchronisation issues on bbg data and allow me to regress the bond vs the exact swap date

TRade
I do like the theme of selling 3-7 yr buckets even adjusting for repo and roll they look flat C&R vs 1:1 to swaps

I ran the regression on the data series I created and get the following

UKT 1f28 bond yield vs approx 80% of the swap yield…

cix is a bit cumbersome but it's jut a hack to get over poor synchronisation of bond and swap yields…

YIELD[UKT 1.625 10/22/28 Corp] - 0.8 * (YIELD[UKT 1.625 10/22/28 Corp] - P2509[UKT 1.625 10/22/28 Corp] / 100)

Thoughts: - like it here, use trigger of -0.075 to add

cover half at +0.07 and run the rest into the ground as we believe in a paradigm shift

As another example here's 1 32 the on the run 10yr…

YIELD[UKT 1 01/31/32 Corp] - 0.89 * (YIELD[UKT 1 01/31/32 Corp] - P2509[UKT 1 01/31/32 Corp] / 100)

James Rice

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

US: 60 rumson rd, rumson, nj 07760

Office: +44 (0) 203 - 143 - 4178

Mobile: +44 (0) 754 - 011 - 7705

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

US-STOCKS-...HAVING-FAILED-THEIR-200-DAY-MOVING-AVERAGES-THE-DECLINE-COULD-PICK-UP-SPEED..pdf

US STOCKS : HAVING FAILED THEIR 200 DAY MOVING AVERAGES THE “DECLINE” COULD PICK UP SPEED.

US STOCKS : HAVING FAILED THEIR 200 DAY MOVING AVERAGES THE “DECLINE” COULD PICK UP SPEED.

THERE IS STILL NO “EVIDENCE” OF PANIC-PROFIT TAKING VOLUME ON MANY MAJOR SINGLE STOCKS.

PREVIOUSLY :
WE CONTINUE TO REMAIN SUB MOST KEY MOVING AVERAGES WHILST “ROLLING OVER”.THE RUSSELL IS TESTING ITS 200 DAY MA 2012.

SINGLE STOCKS “SEEM” TO BE HOLDING BUT MANY REMAIN “DAMAGED” GOODS.

BITCOIN CONTINUES TO REMAIN HEAVY WITH LITTLE TO NO RECOVERY.

INTEL HAS RECOGNISED IT’S HUGE LEVEL 42.04, WE ARE THERE NOW! IF BREACHED IT SHOULD HELP SIGNAL MAJOR FAILURE ELSEWHERE.

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

UK: 14-16 Dowgate Hill, London EC4R 2SU
US: 245 Park Ave, 39^th 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.
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• 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.
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• 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.
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• 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
• 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
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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.
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• 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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• Many thanks,
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• Chris