Marco Serra

Trader in London

[Marco Serra @Serramagno]

@LiberoPetrucci Lo dissettano come una F1

[Marco Serra @Serramagno]

@Brad_Setser Got it, thx

[Marco Serra @Serramagno]

@Brad_Setser Bank flows does have a definition by international standard or can be kept "opaque"?

[Derivatives Don @DerivativesDon]

What Treasury announced today does not fix a problem

It simply doubles down on the bad trade they have been running since November of 2023

[Alex @AlexanderKim120]

I can feel the heated debate surrounding buybacks. Honestly, I fully understand the underlying intentions behind the complaints being aired out. Objectively speaking, I think Bessent attempted a sort of recalibration. I don't call that manipulation.

Trading based on normative logic (how things should be) carries a very high probability of leading to massive mistakes.

I felt a similar emotion and vibe in the past when the Fed debated whether to pause the pace of QT. At the time, I viewed a QT taper as the most rational approach, but the majority were talking about a temporary QT pause. Even then, I found it bizarre. It seemed like they were fixating on too fleeting of a phenomenon. I noticed this again in the frantic behavior of people looking for hints about coupon increases during the QRA announced in early August. I maintained a very conservative stance that it wouldn't be possible until after Q2 2027, but various sell-side economists and market commentators combined plausible normative logic with partial context to excessively worry about a violent spike in long-term yields. It felt like they were taking the criticisms of the previous administration(what Bessent previously called ATI) too naively.

Another trade that gave me a similar feeling was the JPY long position. The underlying driver of that trade was definitely yen weakness. It was an undeniable weakening trend. The problem is that the trend became overly excessive and amplified. A continuous barrage of market news and commentators' remarks came out, pushing it beyond manageable levels.

Another one was the excessive weakness of the KRW. This was an incredibly interesting trade. A massive number of people were spreading literal fear-mongering everywhere, claiming that USD/KRW could surpass 1550 and head toward 1600. Honestly, listening to the logic and rationale of the people making those claims at the time made me feel like I was taking a heavy blow to the head. To my ears, it sounded like they were arguing that 1+1 = 1.1 instead of 1+1 = 2.

The fact itself that the buyback technique is working in the market is what's important. We call it market intervention, but the actors involved don't execute it haphazardly. They don't deny that there is upward pressure on long-term yields. They acknowledge it too. However, if the magnitude and speed are too steep, they can deploy a recalibration. And this isn't being done with some new tool created in 2026; it's simply utilizing an existing method.

This action carries a few implications. First, they share a sense of urgency that being passive could lead to an even bigger problem. Second, when excessive speculative forces congregate, it is the easiest way to temporarily mute those forces. Third, it merely buys time.

This action will be talked about for just a few weeks, but I feel it's more important to look at the more fundamental trend. I have an intuitive feeling, supported by various event schedules, that fiscal dominance will begin in Q3. I know well that this term is highly complex and prone to misunderstanding. Nevertheless, the reason I continuously use this term is that we are increasingly witnessing supranational, collective behavior.

And while many people focus on 'spending' and 'borrowing', I believe there is clearly a need to think one layer deeper. That is the fiscal multiplier. I don't have strong conviction on this yet, but I am continuously monitoring it. As I've kept mentioning recently, if the net effect of borrowing and spending differs from the past, I am paying attention to whether the countless narratives pouring out right now could be reversed.

I still think the fair value level for the US10y is 4.50-4.75% and for the US2y is 4.10-4.25%. Honestly, whenever there has been a concern about a significant deviation from these ranges, I have traded it. The US30y has moved beyond that dimension. It had an incredibly high long appeal. So, I just took a position in it. I think 5.05-5.15% is the fair value level for the US30y.

And I absolutely do not think RMP has ended. I have a strong conviction that RMP will return. And it will return with the intensity of that powerful figure reaching $40 billion...

[Jessica Nutt @JessicaNutt96]

Scott Bessent running another Looney Tunes scheme to get yields lower while annual deficit is 6% of GDP

[Marco Serra @Serramagno]

@EffMktHype Mate, how do you do 3 correlations tab in BBG? Which function is it? I know just one in HS

[Marco Serra @Serramagno]

@Crowded_Mkt_Rpt Is that the sum of CFTC for all currencies against USD? Or only big ones?

[Marco Serra @Serramagno]

@TraderBillyAU Why so?

[Marco Serra @Serramagno]

@michaelxpettis Where do they recycle their CA??

[Anyon @AnyonCurve]

Victor Niederhoffer - may his memory be a blessing.

The effect of this great man's early work on quantitative trading cannot be measured. His track record for some 20 years was unmatched. He told me over lunch circa. 2014 at The Harvard Club in NYC about all his mistakes - not a word about his wins.

He taught me it was almost always better to catch the 'other side' of the distribution [IYKYK]. He chastised me at times for not going for the kill when the edge was strong and growing. He taught that each speculation stands alone and the conditions that created it would never precisely repeat.

My favourite two sayings of his:

"..The mouse with one hole is quickly cornered.." - Have more than one way to exit a trade.

"..When you take into account the bid-ask spreads on out-of-the-money options, the edge is thousands of times less than zero.."

Goodbye. I love you.

[Marco Serra @Serramagno]

@darioperkins It is in line with this administration

I mean, POTUS selling monthly subs to his truth social for HF hedge fund is it transparency?

[Marco Serra @Serramagno]

@darioperkins We get another early August 2024-style

[Marco Serra @Serramagno]

@DeShindig IL GENERALE

[Marco Serra @Serramagno]

@puckrin @market_sleuth An af african country is more clean LOL

[Marco Serra @Serramagno]

@Cinguetterai Comunque il fatto che il problema italiano dell' estate é la telecronaca tecnica di un mondiale in cui non siamo qualificati la dice lunga su quanto stiamo bene in Italia:)

[Marco Serra @Serramagno]

@jturek18 gbp was rallying hard also when Starmer won the election btw

[HFI Research @HFI_Research]

3-2-1 crack spread just hit $68/bbl.

Congrats Bessent and BOJ 👏

You guys really fucked it up. Now if crude rallies, refining margins won’t fall. You hit the wall sooner and faster.

[Marco Serra @Serramagno]

@grande_flagello Grande Tardelli, respect🤛

[Marco Serra @Serramagno]

@Gamma_Blast_ Oh I see
Thanks