Six Relative-Value Futures Trades for the Week Ahead
A portfolio built around curve shape, policy divergence and the unwind of the energy shock (for now)….
The global macro backdrop has become less directional but more interesting for relative value.
The latest fall in oil has removed part of the immediate inflation shock. Brent dropped more than 4% on Monday as renewed US–Iran diplomacy reduced fears of further supply disruption. European energy shares fell, while autos, travel and other energy-intensive sectors outperformed. Germany’s DAX rose around 1.4%, materially outperforming the FTSE 100.
However, the policy backdrop remains unusually fragmented. The Federal Reserve held rates at 3.50%–3.75%, but three members voted to hike. The Bank of England also held, with three members favouring a hike. The RBA is already at 4.35%, with Australian underlying inflation still running well above target. By contrast, the ECB and Bank of Canada appear more constrained by weaker underlying growth.
The result is a portfolio focused on curves and cross-market spreads rather than outright global duration or equity beta.
The six positions carry a combined 1.80 units of planned risk, measured as the intended loss at the stop collectively, rather than the gross notional exposure.
Rates spreads are DV01-matched. Equity spreads are PV01-matched rather than established using equal notionals. Entries and stops are measured on the spread itself, not separately on the two legs (details below).
More details and thesis for each trade is explained below. Sign up to gain access a world class website for macro dashboards at www.globalmacromethod.com for paid sub only.
