Thursday

Dax vs FTSE Discrepancy Trade

Post a Comment April 16, 2009 – 2:26 am |   | Permalink |  Print This Post |

Our discrepancy trade for FTSE and DAX is down as the gap widens - now 620 points at the time of writing. This gap makes the DAX (4625 at the time of writing) 15.4% higher than the FTSE (4005 at the time of writing). We open another $5/point short DAX (4625) and $5/point long FTSE - a discrepancy of 620. Our next anchor is 800 points and 1000 points at 200-point intervals - and to double our leverage to average up. The Euro/GBP fell sharply to 0.875 as we predicted 10th April (0.89-0.90 then) - here is the link for new readers.

Our Euro/GBP positions are still open - we are expecting a very sharp fall technically to pull the 30 day MA towards the 60 day MA.

We closed our China position (entry at 7876) at 9400 - booking a profit of $3008 (after spread). We feel that this rally may pull back from here. Instead of shorting naked, we hope our discrepancy trades will pay dividends (ie for DAX to crash relative to the FTSE). If markets decide to rally further, at least our exposure is hedged to a certain extent with our long FTSEs.