skew locks

Pardon my ignorance; but what do you mean by "COB"? Also reverse engineered by whom, the brokerage?

I am also intrigued by the number of strikes by looking at your screenshots. My rudimentary readings into swaps suggest that you need a lot of strikes. You seem to be managing to structure them with lot less. I have not started modeling them so probably missing the finer details.

Thanks.

 

COB = Current Open Book

It would be reverse engineered by other traders who are looking closely at the open orders.

@destriero is very protective of his trade secrets... as most people are

 

No. Complex Order Book. If you have TOS, look under Scan -> Spread Book

 

Thank you both for the explanation. Learnt something new.

 

See, w've got to enlist the wisdom of the crowd to figure out what that wily coyote is doing, lol.

 

You can embed one spread(combo) into another. It allows you to quote it as a complex order but I don't fill them that way.

 

I see what you mean. Very helpful. Thanks you.

 

Pivot is in. Rate moves (somewhat) independent of labor mkt. Up 4% on the day (all skew/switch locks). If you can't see it then you're in the wrong biz.

 

Wow. Excellent results. Assuming that you are banking in on the realized volatility due to news, when do you put it in and when do you take it out? Thanks.

 

Nice job. What is a switch lock?