So a milestone has been reached.
5k followers.
It feels weird as I still struggle with the idea so many people could be interested in what I have to say.
In a sense it is very humbling.
So maybe time for a couple background items.
I’n obv French (from the wine selection) and from the western region of Brittany.
Is there any reason to be proud? None. But nonetheless I do feel it is my home and love this land of mine.
I studied engineering in a grande ecole and finance. Amusingly I was specialising in AI before we called it such (optimal control).
Everything is a min max problem. Or a tropical algebra.
Grande ecole was fun and I meant countless people who inspired me.
I also got nearly expelled for creating the LGBT section of the school, so to all those who think “it should be a right”, many anonymous people worked for it.
I have started my career in finance as the assistant of a very well known Macro PM and it was a steep learning curve.
But it’s fantastic to be exposed to so much early on.
Just don’t complain if you’re working in xmas day. There’s a chinese restaurant open. You’re not alone.
I did a bunch of stuff after including working in commodities and running a macro book, and being a consultant. Now working as a sales person in an FX agency.
Fantastic exposure to a large array of macro people.
I am a lazy person by nature and as such I have realised automating was a great win. “Write a script that runs at 6am and you can wake up at 7am!”
Hard to beat.
I have worked on positioning a lot in my recent time because I realise it’s quite important to know what the other guys are doing.
It’s fine being the smartest guy in the room but if other guys don’t want to play with you...
I want to say that my experience i finance has been what you would expect. Exhilarating yet beyond tough.
Nobody cares who you are or how you feel. It’s about making money.
You want to do smthng meaningful? Be a garbage collector. Nobody moans as much as when they dont show up.
The reason I went into finance was because I loved math and heard some people were paying a lot for it. And I wasn’t good enough for a career in academia. Now working on AI maths on my spare time but it’s a luxury to do so.
If I can say anything to anyone is “be yourself”. We don’t need more sales people or experts in micro-payments. We just need people to listen to other ones.
If you have mental health problems talk to people around you.
You feel different? Talk to people around you.
You’ll be surprised to realise how many people around you can relate.
To conclude a few yeats lines:

Nor dread nor hope attend
A dying animal;
A man awaits his end
Dreading and hoping all;
Many times he died,
Many times rose again.
In all this I forgot to say a few people helped me along the way
@INArteCarloDoss if only for living the life while walking the walk
@MagnusMacro for the youthful yet knowledgeable presence
@bennpeifert because I wish I was more like him?
A tout le monde, a tous mes amis...
And because a thread is nothing without a boop

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More from @pauleluard

25 May
We’re starting to see some nervousness amongst market participants with regard to rates moves and the positioning.
All my positioning trackers continue to show market quite short rates, though there has been some decent change by some players.
1/x
In particular a couple things strike me:
CTAs are now NOT forced sellers. Ie a move higher in rates is not making them increase their FI shorts.
Here is the current positioning, and a move of 10bps higher in the next month will not force them to add to their shorts.
2/x
Here is how that would look like in Bunds :
a sell-off of 25bp (red line) brings positioning from -31% to -55%
a rally of 25bp (blue line) brings its from -31% to +20%.
3/x
Read 12 tweets
16 May
Listened to the latest OddLots with @econjared (thanks @BRzymelka for h/t).
The inflation discussion continues as the data keeps its variance. One thing is certain: the Fed will struggle like us to read any short term dynamics out of those prints.
1/x
I believe we can take two points out of this podcast:
a)The WH wants workers to get back bargaining power
b)Companies/Investors are cash rich but don’t invest in long term projects: taxes are a way for government to fix that
2/x
There has been a confiscation over the last decades of the bargaining power of workers by companies (same trend everywhere) as we moved into more services economies.
But the latest “gig economy” only amplified this issue.
3/x
Read 15 tweets
20 Apr
Quick thread here as I get a lot of questions with regards to “why the risk-off”.
• SPX Options expired last week dropping a huge amount of gamma which was protective of downside short term.
1/x
• CTAs are better buyers of US Bonds
To give you an idea the 30y UST signal is -50%.
If we sell-off 25bp in the next month that moves it to -62% but if we rally 25bp it moves it to -10%.

2/x
That evolution is only starting to be priced in the rates vol market.
Here you can see the tails for 3M expiry swaptions. The receiver vols (ie the ones for lower rates) have come back, but we're still far last month's vols esp 3M>10Y -25bp.
3/x
Read 7 tweets
15 Apr
So this bond rally looks like deleveraging. There's been strong paying since the start of the year, as we got into the reflation.
Now Powell is pushing against "fast" and the market is caught a bit too short. Hence strong flattening.
1/x
UK in particular is at risk because between Brexit and reflation and no negative rates, plus two smart BOE guys leaving (@GVlieghe and Haldane), market not sure of direction. And as you can see today even 2s got bid.
CTAs in gilts are also much better buyers of 10s and 30s.
2/x
Thing is, the latest data is strong and yes one can disregard the inflation risk for now but we cannot kill it entirely. But Fed pricing was already strong. Here I'm looking at 1y gaps in ois and we can see the risk reward for more hikes was not good.
3/x
Read 4 tweets
11 Apr
So I was talking about 1958 recently and @Fullcarry didn't know the link so I thought, if he doesn't know then maybe it's time to re-up as we say (because he's clever and knowledgeable but there are so many hours in the day you can use to play with your dogs).
1/x
So the thing is as everyone is posting (cc @pearkes), housing and car sales are on fuego in the US (and looking at prices in my London hood this morning, it's the same here).
Auto loans were crashing last year but we can expect a resurgence, and looking at sales in China...
2/x
And when I look at the JOLTs data (not that i like it but it's what we have to use to construct Beveridge curves a la @TimDuy , despite the fact that it's a bit weird for the average monthly job opening to be 0 per cohort).
Waiters and Nurses are needed. In the South. FAST!.
3/x
Read 15 tweets
6 Apr
So I've been a bit silent lately but Covid has hit me a bit both physically and mentally. Anyway let's be honest that Archegos story is quite interesting and though I think it's just a case of "mate it's never going to fall 25%" it begs some interest thoughts for after.
1/10
Prime brokers are likely to have to reduce the leverage they provide, or equivalently increase the margins they need.
Looking at a portfolio of 60/40 US Bonds and stocks, a move from weekly VaR (value at risk) from 95% to 97% is a 40bp increase in the risk of the portfolio.
2/10
Now you might think that's small, but when you're 10x levered (and some funds are especially in Fixed Income RV space), a 40bp increase over 10bn assets means 400m extra margin, and that's a couple desks which have to cut their positions.
3/10
Read 10 tweets

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