AVERAGE MOVE IN 10 Year Note Futures

Discussion in 'Financial Futures' started by rmessner, Oct 16, 2009.

  1. rmessner


    Can anyone tell me what the average move in short time frame in 10 Year futures would be?
  2. I am thinking .100 to .200 or maybe even .300
  3. rmessner


    Is that 10 - 20 ticks?
  4. In what time frame? 10 mins, 30 mins, 1 hr, 3 hrs? 1 day?
  5. Lucrum


    As a general rule, not big enough when I'm on the right side of the move and way too big when I'm on the wrong side.
  6. rmessner


    A 10 Minute Time Frame.
  7. Assuming there's no data released (i.e. auctions, economic data, breaking news, etc.) lately it has probably moved from 2-6 ticks in an average 10 minute time frame during the busiest hours (7-10am cst).

    During the summer it would tend to trend significantly after certain treasury auctions but as of late not so much with seemingly conflicting viewpoints and some ambiguity as to what the fed's stance is.

    It moves most on FED or ECB rate adjustments and other fedspeak and also moves significantly after US economic data releases, the grand daddy being the NFP/Unemployment number but can we even say that anymore after seeing what the last couple NFP trades looked like?

    Hope that helps.
  8. John47


    That last guy described it well. Worth noting auctions may see more volatility as the fed stops buying treasuries. Only 3bl left to buy I believe.
  9. LOL, very well said.

    I would say 1/3handle-1/2handle is a usual daily range. Maybe a full handle on a real busy day. Average move on a 30min bar I would say is 10 half point ticks, so 10pts maybe.