Friday, 28 May 2010
Weekly pnl review
Flat on the week after trimming my TLT and short Cable on Monday/Tuesday. Plan for next week is that I will fade any rally above 1140 by switching from long delta to short delta on my DTN/SEF pair trade. Will also take any move in the 10 year to the vicinity of 3.40 to re-build my long Treasuries after the recent TLT selling, albeit with a shorter duration. Will consider adding short S&P if there is a strong bounce off the 1140 level suggesting the downdraft of the right shoulder. However given that this pattern seems so obvious I don't believe it will actually happen. Will also continue to reduce short Cable as it seems to be bottoming and GBP vs a trade weighted basket is threatening to break out of its downtrend.
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