i got crushed in some zt-zf-zn fly's i put on as the auction came out and i saw us rallying- anyone have any idea why they were so weak? i can't remember them getting that weak before, even during 08-09 i don't remember the fv getting that far out of line.
2s5s10s (or 7s) is bowing out like mad everywhere... You should have seen bobl today. At any rate, not 100% sure, but there's been a lot of profit-taking on steepeners, so that might be the reason for some of the underperformance.
yeah that was the one idea i had, usually at the top or bottom of a medium-to-long-term range they blow out the fy to get more liquidity in the long end because they know in the end that'll be a winning position anyways (ie. short fits will be a winner if this is a med/long term bottom and we rally a point or two- a ginormous winner if we really have a rally, on top of the fact that selling all those fy's induces the crowd to sell ty's into the beginning of a rally). that being the case i'd call a retest of 3% or maybe even 2.75% in the ty now, but i trade curve and not outrights so i won't be putting any money on that anyways. edit: but still i haven't seen the fv blown out that far in the last 6 years that i remember (although maybe i wasn't there some day that it was or just forgot) edit edit: the fv move is actually a fractal on any time frame i've ever watched
What makes Treasury Futures move in either direction? I initially thought that /ZB would move divergent to the Dow: money coming into treasuries when the market sells off and leaving treasuries when the market rallies. But looking at the charts for the past few days, I'm not able to find a pattern. Could someone clarify for a new trader. Thanks in advance.
If I knew a 100% right answer to your question, I'd be sipping pina coladas on my yacht in the Caribbean, surrounded by a bevy of scantily-clad nubile beauties. Generally, many things can affect UST prices and much depends on the sort of horizon you're looking at. However, one thing is always true and that is that it's hard to generalize.
"If I knew a 100% right answer to your question, I'd be sipping pina coladas on my yacht in the Caribbean, surrounded by a bevy of scantily-clad nubile beauties".... I love that line...the stocks go up trade bonds go down happened back in 2007 and previous years when everyone was printing money trading bonds. Those fun times are over and its been a battle for 3 years straight and counting....
A few notes that may or may not add some color: In terms of the yield curve in general, for the past three or four months we have resorted to increasing the sampling timeframes in our charts in an effort to filter out some of the 'false' breakouts. We are really stepping back and trying to get a bigger picture of things, and we are also trading smaller size and hanging on to positions for days instead of hours without adversely impacting P&L metrics. Another note; we think that the Eurex curve has been "better behaved" in general than the CBOT curve as of late. All of these spreads go through periods where they seem to 'behave', and periods where the price action is downright mystifying. This is where we will also be looking at grain or metals or energy spreads for some action - and in the end, in a twisted and convoluted way, it ends up making us better curve traders in the sense that we end up being more selective about the curve trades we do take.
Martin, as I was writing that post yd I hadn't traded in several days and won't until the new year arrives - personally I have never had much success to speak of during the month of December. Bank desks and funds are out of the market, and I prefer to wait for the better order flows typical of January. No model IMO can account for crazy order flows in thin markets. In fact, I was clearing Griffin for my own account here in the States a dozen years ago when Chan Ho Park had his fun in the Bund right about now. Personally, I have never known a trader who could consistently make money in December, and as of two weeks ago I assured my clients that taking holiday in December can save you alot more than the purchase price. Another point is that I don't like to take trade signals outside "prime time" trading hours for that market because I want to make sure there was some 'player' order flow behind the move.
Well for my sins, I am in the mkt in Dec... There's a bright side to the illiquidity and choppiness of Dec. Sometimes really nice opportunities happen in Dec, so if you're careful, willing to take the other side of some price-insensitive flows and are willing to xfer some money into the next year, Dec is a very good time. Obv, all this in moderation.