Is the TNotes market allright?

Of all the reports that hit the tape on the Ten yr Note futures market, which ones really jack up the volatility, also IV on the options ???

Anyone ??

Thanx,
J-Law

 

I have been told employment numbers bring in the volatility

 

And if the Fed does anything unexpected tomorrow, or even has unexpected "language" in their statement, that'll move the market.

 

These are fungible contracts. Sellers get first notice. Sellers get to choose the deliverable from the exchange basket to include the exchange conversion factor. Buy a cash bond in the cash market, sell it to the exchange.

Why this rant?? CBOT volume flips about the first trading day in the delivery month, and EUREX about the fourth day. This is usually a gradual transition lasting about two days, as these are fungible contracts. Eurodollars are indexed, so you can hold them for the final settlement value.

Keep your eye on the open interest and the cheapest-to-deliver issue.

 

How often does one have to be able to calculate cheapest to deliver to compete?

 

CTD may not change over the life of the contract, or it may change once or a few times. The CTD bond is almost always the most expensive cash bond issue to buy. These are typically the on-the-run Cantor Fitzgerald issues. A few slightly off-the-run issues are also specified by the exchange for delivery into the futures contract - and these issues will have larger conversion factors.

 

Which is the better market to trade? and why?

 

If you're a one, five, or ten-lot speculator, either one is adequate.

 

Notes moves in 1/2 32's bonds are full points. Bonds also have a higher margin. Impt. if you're new, on a budget or want to keep a tight reign on losses.

 

Take a look at Bunds on the Eurex too.