Guys,
I have been working on this trade. Obviously I would have to look at pricing on the puts. But what do you guys think of the logic for a macro strategy?
Trade: Short AUD/USD, Long AUD 10y IR Puts
Thesis: Long-term bearish AUD trend will continue after brief turnaround which offers ideal shorting opportunity. This view is predicated on slowing growth in China and Australia's close link to the chinese economy. Additionally, slowing growth in china and globally will reduce demand for oil and further negatively affect the valuation of the Aussie. Lastly, the view is predicated on the idea that China's recent rate cut will fail to stimulate the economy for two reasons: slowing global demand for goods and socio-political considerations which will weaken China's competitive edge (i.e. burgeoning middle class demanding higher wages). This slowing growth in China will in turn move the Reserve Bank of Australia to cut rates in an effort to stimulate their own economy, which explains the IR puts.
时间:6蒙特hs, January '13 Calls
Comments (8)
Just to clarify: "Australian National Bank" is incorrect, it's called the Reserve Bank of Australia. I think you've gotten it confused with the "National Australia Bank" or NAB which is a Big Four bank here.
^^谢谢男人。
Shorting AUD at this point is an extremely crowded, low sharpe ratio bet. The catalysts for rate cuts have taken place over the past 6 months and I fail to see the need for further rate cuts, or at least not by a significant amount. I too foresaw similar catalysts of an Asian slowdown, followed by RBA rate cuts and initiated the trade back in December 2011. Closed the position in May.
宏观：
从理解的角度来看，您认为这项行业还可以吗？IE。交易将表明实习生正在关注市场的运作方式？
You should also pay attention to how options on swaps work. For example, in this case you'd want to be long a receiver swaption.
Jack: They’re all former investment bankers who were laid off from that economic crisis that Nancy Pelosi caused. They have zero real world skills, but God they work hard.
-30岩
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The idea behind the trade is fine (in fact I hope u had it on tonight b/c AUD just printed a disaster employment #) but you have some details that could use work...firstly u mention oil...Australia doesnt have oil they have metals and coal. Also,tradingoptions on AUD rates is very difficult, they have a liquid futures and swaps market but not really a developed market for swaptions or options on rate futures. This may not matter to someone who isnt experienced in the market but if you are talking to someone who actually trades it they will know that. And if you are going to have a rate view, you need to know what you are betting on...the Aussie front-end has about 100bps of cuts priced into it. Do you think they will cut more then that? You need to understand the concept of forwards and what it means for a trade....ie just saying rates will go lower isnt enuff. Anything specific about the RBA that leads you to believe they will be more agressive? To really discuss a rate trade with someone who knows the market you also should learn the mechanics of the Aussie Bank Bill futures and the three and ten year futures....just saying "economy is bad, rates are going lower" is not really that outstanding. Ie how may futures will you buy and why? And also you dont say "puts on rates"...u buy a bond, receive in rate, or buy a receiver if u want to bet on lower rates.
其他问题...大多数想法都集中在中国，为什么不收到中国的费率呢？
- 您考虑在AUD中定位什么？
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Jack: They’re all former investment bankers who were laid off from that economic crisis that Nancy Pelosi caused. They have zero real world skills, but God they work hard.
-30岩