I got filled on the balance of my resting bids today to cover a short Dec 11 vs. Dec 12 Eurodollar position I have been nursing along for several weeks. Some of my clients bought Shatz vs. Sept. 13 Euribor last week but I was not as clever.
I have some clients buying the NoB - looks a bit overcooked to me at this point but they do not seem reluctant to keep pressing. Would be about the third time this week where clients took winning trades that I just preferred to stare at.
Couple simple fin de monde plays in the short end of the yield curve: (1) I am long March12 through June12 Fed Fund futures (500-1000-1000-500 contracts) against being short 5k of Mar12 Eurodollar futures (a futures-based proxy to FRA/OIS). It has done some already, but if Greece continues to be in the spotlight, it will go more. (2) Another one is a long 5y bundle against short 2y bundle, duration neutral (100 against 250) plus a 5s against 2s spread duration neutral (long 1300 2s against short 1000 5s). This is a futures-based proxy for 2s/5s spread of swap spreads - it is historically rich (5y spread is too high vs the 2y spread is at 6, like 90th percentile of recent history) and in a crisis it will go negative (-12 in May 2010 and -45 in October 2008). If you believe that Greece might blow these are fairly simple protective plays.
Yes, I do. I presume you somehow care about their indices? I only say things like this to high convexity blondes...
No, I get the cash market quotes five ways from Sunday. I can clear New Edge and MF BUT because I am a bloody Yank the pricks will not let me actually physically for reals playa trade the cash - capitalization is NOT an issue, I can cash-and-carry positive basis into delivery for size. I can look into the window, but I cannot touch.
You can't have access to MTS proper unless you're a dealer, as far as I know. You can use BondVision, which is their client front-end.