Bond Trader 2006

Discussion in 'Journals' started by johnpinochet, Jan 25, 2006.

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  1. To get the timestamp, I sold:

    25 January 2006 (CST)
    0622 hrs 1 ZB 114 01
    0659 hrs 1 ZB 113 29
    0724 hrs 4 ZN 109 080
  2. Bought:

    0825 2 ZB 113 27
    0819 4 ZN 109 065

    Existing Home Sales due out in 30 minutes. Better to lock in profit.

    Day's range will be 114 03 to 113 22.

    Outlier on high side: 114 10
    Outlier on low side: 113 10
  3. My thoughts are that the market will head lower, at least to 113 22, however, anything is possible with a report, hence my exit with profit.

    After the report:

    Breakdowns below 113 22 are probably could for a very quick 6 ticks to 113 16.

    Breakouts above 114 03 may be good for a quick 7 ticks to 114 10.

    My bias is towards shorting today so I probably will not take any long trades.
  4. I hope the information was useful.

    My trades after the above don't really count as there is no timestamp to prove, however, what I did is I sold 2 ZB 114 23 a few minutes after the report, and I sold 4 ZN 109 055.

    Bought ZB's back at 114 28, and ZN's at 109 020.

    Great day!
  5. That was "bought back the ZB's at 114 18", not 114 28.

    Yesterday was very good to me.
  6. Today we have two economic reports to deal with:

    Durable Goods Orders 7:30 CST 8:30 ET

    Jobless Claims 7:30 CST 8:30 ET

    Of the two above reports, traders will probably pay most attention to the durable goods report.

    Another fundamental note to make on yesterday is that yesterday's two-year note sale did not go off well. Apparently there is concern about the next FOMC meetings as well as supply coming in next month.

    Yesterday, I was surprised to see that we hit a low of 113 01. This indicates rather aggressive selling, obviously. Just look at the chart to see. Yesterday falls into a classic pattern that I call a stair step down trend day. There really is no choppiness to see in yesterday's activity in the 5 minute chart. For an example of a choppy day see Monday's and Tuesday's chart.

    Initial important price levels for today:

    Right off the bat I must emphasize that 113 01 is very important. Watch this number closely. If we bounce off of it, there may be a long trade to 113 10 => 113 16 => 113 22.

    If we break through 113 01, there may be a short trade to 112 30 => 112 21.

    Based on yesterday's chart, and based on the fact that Monday and Tuesday traded in a fairly narrow range, I'm going to go with another downside day today. Initial morning trades for the first 1 - 2 hours will be biased to the downside. If possible I'd like to go short anywhere on a move up to 113 10, with the exception of the minutes preceeding and immediately after the report. You have to be incredibly quick to trade immediately after a report.

    In conclusion, on the highside:

    113 22
    113 16
    113 10

    And on the low side:

    113 01
    112 30
    112 21

    Outlier high:

    113 25 => 113 28

    Outlier low:

    112 09
  7. Risky trade and not recommended:

    My personal experience is that the day after a rather signficant down day on the 30 year bond (and a 32 tick plus down move is signficant), any spike rally off of a report number will be short lived.

    In other words, if the bonds run up to 113 22 or higher within 5 minutes, I'm sure there will be a lot of sellers there.

    Is the reverse true? Well, given the fact that the direction of the market is already down, I would never take a counter trend trade, i.e. go long at a key support number if the economic report came out supporting the downward move.

    In other words, if bonds were behaving poorly yesterday, and the report numbers are bad at 730 CST, don't buy if prices move sharply downward and stop at a support number. You should look to selling at the next support number above where prices stopped. I just gave you one of the keys to the kingdom. Good luck!
  8. I've noticed that volume has picked up on trades starting at 0100 hrs CST. There have been 8 to 10 tick tradeable moves recently. I don't recall seeing this these past few months.
  9. long ZN 108 ^ 24

    108 ^ 31 exit on number
  10. fader


    from my limited experience, i think this is applicable to many markets - my guess is that in particular with liquid electronic markets, like the bonds, size players use a limited liquidity window during the report release to engineer a counter-trend spike and run stops / shake out weak hands and then put on real size and bring the market back down - great journal, all the best.
    #10     Jan 26, 2006
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