I've been hemming and hawing over whether to start this blog or not. I decided to take the plunge and thought it would be wise to begin with a trade I am currently in. I hope this blog provides thought provoking ideas and value to any and all visitors. That being said, here goes.
The chart above represents the Year-to-Date (anchored from Dec 31, 2010), Basis Point (bps) difference between ES Emini S&P500 futures and FESX EuroStoxx 50 futures. As you can see, it has been a wild ride from the first trading day of 2011 on Jan 3rd. The spread has exhibited and range of ES +200bps over FESX to ES -450 bps under FESX for a YTD range of 650bps. Portugal and Spain had their 1st successful auction of the year on January 11th, albeit at expensive levels, which precipitated the extremely strong bid in the European Indices. EuroStoxx 50 outpaced the ES by 450bps on Jan 21st and has since recovered as the world realized that Europe is still in a very tough position with the PIIGS. I have been long (Long ES, Short FESX) this spread for the latter part of January, have taken profits on 80% of my units as we regressed back to -100 bps difference and beginning to scale back into the trade between -200 and -250 bps. Stay tuned as I update the progress of this trade.
Be Well
