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-   -   The Bund Bobl Schatz Thread (http://www.elitetrader.com/vb/showthread.php?t=117124)

youngtrader Feb 8th, 2008 05:09 AM

The Bund Bobl Schatz Thread
 
The DAX guys have their "short dax at 7740" . The 30yr bond guys have "anybody else short US 30yr bond" even the wheat traders have the limit up and minneapolis threads. Why can't the eurex fixed income traders have their own little thread as a place to gather and share thoughts?

Anyway first item of business.......spoofer in the schatz this morning? I noticed this morning that somebody is spoofing 10,000 lots on both the bid and offer in the schatz. Did not notice it in the bund or bobl but they were in the schatz all right.

Would be nice to hear some thoughts on this as well as anything else you guys want to say about eurex FI.


YT

doublechin Feb 8th, 2008 06:33 AM

Well we followed down on this http://www.bloomberg.com/apps/news?p...d=anApWkUU0xDs worst auction yield since 1977

Then dip bought as attention turned back to this http://www.bloomberg.com/apps/news?p...d=aBJBTUw5SVhM adding in a little of the short term steepener unwinds to get things going.

The steepening yesterday was huge hence buxl and bund now leading us back up whilst schatz is being sat on. 2-5-10 fly coming back some too so bobl no longer running the game in relative terms as it was yesterday Yield(DGH)-2*Yeild(DLH)+Yield(DBH). Fundamental changes to economic outlook will always influence th belly of the curve most hence after Trichet yesterday 5yr ran the show.

youngtrader Feb 8th, 2008 07:44 AM

Yeah steepening deffinantly seems to be the play today as the schatz is getting a huge bid so far today!

Although we appear to be topping out (schatz) right now and we might retrace a little bit but overall I agree that the steepener is the trade to be in.

zf trader Feb 8th, 2008 04:46 PM

Anyone know where I can find good implied vol and stat vol on eurex fixed income products?

Does anyone out there trade spreads against options?

youngtrader Feb 8th, 2008 06:40 PM

Well nice day today over all guys. Was up pretty big earlier around 4:30am CST but started to give some away as I got caught up in that triangle congestion shit we had going on from 4:30-7am. From 6-7 is when it started having some false breaks imo and as soon as you went one way it just sucked the $ right out of your pocket. All in all not a bad day though and I was satisfied.

Still im puzzled on the spoofer. He appeared to be most active when I first came in around 3am (I only trade from 3-7 usually). I only seen him in the schatz and he didn't appear to be in the bund or bobl. Was mostly spoofing 10,000 lots on either side of the market but nobody seemed to be leaning on that size. If anything they were hitting him for 2,000 of those lots. I have not been in this market for very long so maybe this isn't news to any of you but I sure havn't seen any spoofing of any size until today. What really suprised me was that it was happening in the schatz (of all markets). I thought if anything it would be in the bund because of the bigger tick size.

Anxious to hear what kind of luck some other traders had today in eurex. Please share because that is what this thread is here for.

Have a great weekend everybody!


YT

Grant Feb 9th, 2008 07:41 AM

Doublechin,

As a novice to Eurex bonds, could you explain your equation, please:

Yield(DGH)-2*Yield(DLH)+Yield(DBH)

Does this refer to relative values between bund, bobl and schatz, ie any significant mis-alignment will be corrected via arbitrage?

Although not relevant to bonds, and for what it’s worth, on the Stoxx future any size on the bid at a 1000 or more can be generally ignored (a spoof). I saw 5000 yesterday; any size at a 1000 or more on the ask is probably real around 75% of the time.

Thank you.

Grant.


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