obviously my objectivity leaves a lot to be desired!!! :eek: ive been looking at the spreads again this weekend to see if there are any opportunities for the week i should be keeping my eye on. interestingly, the far out spreads like z6z5 are showing strong continuation of the trend that reflects the feds current policy. closer spreads around the front months (h5h6) show the beginnings of a reversal. im putting this 'reversal' down to a technical correction as these front spreads are frequently more volatile than the backs. this gives me 2 options - go for the continuation in the back spreads or wait for a more profitable move (?) in the fronts - as/when the technical correction reverses. as an opportunist, i may well take both! i could get an opportunity on the backs before the fronts anyway. any other opinions on this? (ok - i appreciate that a lot of u guys are trading the ontrights intra-day - but that just shows what a great vehicle ge is that it can be skinned in so many different ways ) lets watch ol fred get hammered
finally some real selling...but again it was lead in large part by the long end...specifically the 30yr as talk of those flatteners are unwinding (apparently a big japanese bank)...but we did see some decent selling in the ED early on...but again it completely evaporated at the end of the session...anyone else notice that big institutions like jpmorgan and morgan stanley always seem to be on the bid at the end of the day in Sep05 and Dec05? sorry I can't be of much help on your spread ruminations bloggs--but if I were a gambling man (which actually I'm not) I would be long the Mar05/Dec05, or actually any steepener spread for the next few weeks...since I don't actually trade spreads this will be kind of interesting to see if this plays out...
how are you able to identify which institutions are bidding? is their appearance end of RTH or close of Globex? I felt Z5 took a disproportionate beating yesterday, since its proxy TUZ4 stayed well-anchored in the T-curve Spread steepeners trading the view that Asian central banks will cease or diminish their support for the belly of the T-curve (which was the sector hardest hit on Monday) would need to have the back leg further out, though, 4th Red or the Greens.
yep - thats the 'technical correction' (ok im sure there are valid reasons for its current state - but i just tend to trade price cos i am no analyst or economist believe me!!!) i was talking about. I want to see a correction followed by a resumption before taking my position though. I think the safer side will be to wait a bit though and short it (z5h5) when the trend resumes - the further out in spread 'width' and back months you go, the more bearish it looks. Im trying to get on board a massive trend and play it for as long as poss (weeks/months?) adding to it on the corrections. very lazy way to trade if u have the patience but the $$$$$ can be big
Consider that a spread anchored by the front month (and H5 is almost that) is very market-directional, and as it draws closer to expiry, you're pretty much trading outrights.
yep this is true. as i am spreading though, i obviously get reduced margins and so can afford bigger size than if i were trading outrights - downside is more costs obviously - but thats not really a real concern for positions of this duration is it!!!
Hadn't realised that the margins on spreads had tumbled so much. The margin for a front month 1yr cal vs. outright now as compared to a year ago is maybe 30% lower.
leggin, I use TT and on my Fill window I can identify who my counterparty is...I can't tell who is literally just bidding and offering...but sometimes I will up tick or downtick to find out who is there...not terribly scientific, but the big clips up and the big bids at the end of the trading sessions over the past few weeks has seemed to be generally those two institutions.