London Calling by Unknown

Author:Unknown
Language: eng
Format: epub
ISBN: 9781911420552
Publisher: Canelo
Published: 2017-11-14T00:00:00+00:00

Chapter Six

Risk Meetings

Fed Fund Target Rate: 6%

As Fergal was wont to point out to him, the days were getting longer and the skirts were getting shorter. Easter 1995 came and went but Miles Ratner barely noticed. Even when he was in the Golden Hind with Al, Fergal and Imogen, his mind was on the job. The job meant everything to him. Markets had always captivated him but the complexity of working on the currency options desk with Nick Stevens was fascinating. Here, risk across a whole portfolio of options was boiled down to a set of Greek letters: delta, gamma, theta, rho, each describing mathematically different risks which were all interconnected. It was like trading in three dimensions. Miles was so focused on the intellectual challenge of trading the options book that he often found himself dreaming of managing short strikes, what was the real value of the strangle and how do you correctly hedge vanilla convexity?

Whereas others – Fergal and Al being two of them – were feeling their way into the markets and having minimal contact with research, Miles actively sought the opinions of David Welling, Trenchart Colville’s head of research. Miles enjoyed the debate between them and the mental challenge of having his opinions, instantly and without mercy, critiqued by the market.

At the start of May, Miles felt that the dollar was becoming increasingly undervalued. Fundamentally, dollar weakness made sense with a monstrous trade deficit and poor interest rate differentials that were likely to worsen as the market began to speculate that the Fed would cut interest rates. But for that reason, bulls were scarce and the market the world over was short. Miles sensed that a change in tone, albeit very slight, would be enough to trigger a vicious short squeeze. Technically, David and Miles had recognised that a break in dollar mark above the fifty day moving average would confirm the reversal and should lead to aggressive position reduction.

Miles obsessed over this idea and confident that he was onto something, he discussed it at every opportunity with Nick and David. What challenged Miles still further was that neither of them shared the same view, but they came to realise that the pain side for the dollar was higher.

At 9.35am on Tuesday May 9th 1995, Miles’s line rang. It was Nick.

'Miles, can you pop down to JJ’s office now please.'

'Sure.'

Miles punched the release key on the phone board and gently placed the handset back on the desk. In JJ’s office, the weekly risk meeting was underway. The heads of the trading desks met once a week with senior management to discuss markets and the risk positions of the bank. It was rare for others to be invited to join this senior cabal even as a one off.

As Miles pushed back his chair, stood up and made his way across the trading floor, he knew he was being watched. It was unprecedented for a graduate so new to the floor with only a few months’ experience to be invited to offer an opinion.

Download

Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.