Just wanted to shoot this out before the open. We will look to put on hedge structures in equities early on this week for downside volatility protection. We will send a subscriber note when we uncover the correct program instrument to do that. For now here is the GFBP Positions Tracker for week ending July 10th 2020:
Please note the new Bond position swapping into Short the 30Y future and Long the Ultra-Bond Future to take advantage of Magnelibra’s proprietary yield curve metrics showing a continued steeper trend.
We are working on a longer note and will hope to have it out shortly. As far as the settlements for Friday July 10th 2020 of the futures and cash markets we follow:
