The Bund Bobl Schatz Thread

Discussion in 'Index Futures' started by youngtrader, Feb 8, 2008.

  1. The DAX guys have their "short dax at 7740" . The 30yr bond guys have "anybody else short US 30yr bond" even the wheat traders have the limit up and minneapolis threads. Why can't the eurex fixed income traders have their own little thread as a place to gather and share thoughts?

    Anyway first item of business.......spoofer in the schatz this morning? I noticed this morning that somebody is spoofing 10,000 lots on both the bid and offer in the schatz. Did not notice it in the bund or bobl but they were in the schatz all right.

    Would be nice to hear some thoughts on this as well as anything else you guys want to say about eurex FI.

  2. Well we followed down on this worst auction yield since 1977

    Then dip bought as attention turned back to this adding in a little of the short term steepener unwinds to get things going.

    The steepening yesterday was huge hence buxl and bund now leading us back up whilst schatz is being sat on. 2-5-10 fly coming back some too so bobl no longer running the game in relative terms as it was yesterday Yield(DGH)-2*Yeild(DLH)+Yield(DBH). Fundamental changes to economic outlook will always influence th belly of the curve most hence after Trichet yesterday 5yr ran the show.
  3. Yeah steepening deffinantly seems to be the play today as the schatz is getting a huge bid so far today!

    Although we appear to be topping out (schatz) right now and we might retrace a little bit but overall I agree that the steepener is the trade to be in.
  4. Anyone know where I can find good implied vol and stat vol on eurex fixed income products?

    Does anyone out there trade spreads against options?
  5. Well nice day today over all guys. Was up pretty big earlier around 4:30am CST but started to give some away as I got caught up in that triangle congestion shit we had going on from 4:30-7am. From 6-7 is when it started having some false breaks imo and as soon as you went one way it just sucked the $ right out of your pocket. All in all not a bad day though and I was satisfied.

    Still im puzzled on the spoofer. He appeared to be most active when I first came in around 3am (I only trade from 3-7 usually). I only seen him in the schatz and he didn't appear to be in the bund or bobl. Was mostly spoofing 10,000 lots on either side of the market but nobody seemed to be leaning on that size. If anything they were hitting him for 2,000 of those lots. I have not been in this market for very long so maybe this isn't news to any of you but I sure havn't seen any spoofing of any size until today. What really suprised me was that it was happening in the schatz (of all markets). I thought if anything it would be in the bund because of the bigger tick size.

    Anxious to hear what kind of luck some other traders had today in eurex. Please share because that is what this thread is here for.

    Have a great weekend everybody!

  6. Grant



    As a novice to Eurex bonds, could you explain your equation, please:


    Does this refer to relative values between bund, bobl and schatz, ie any significant mis-alignment will be corrected via arbitrage?

    Although not relevant to bonds, and for what it’s worth, on the Stoxx future any size on the bid at a 1000 or more can be generally ignored (a spoof). I saw 5000 yesterday; any size at a 1000 or more on the ask is probably real around 75% of the time.

    Thank you.

  7. Okay is there anywhere I could find the delta of the 2/5/10 butterfly in terms of any of the base compents?

    For example the "30 day average delta of the fly in shatx terms is .35"
  8. It's just a suggestion for a chart of the 2,5,10 fly on CQG to give an idea of what's happening, I don't trade spreads but find this useful to understand how the bobl is reacting relative to schatz and bund. Quite often when this chart busts a pattern, the bobl which may have been the bund's bitch all day will suddenly take the lead and it's helpful to know not to fade it if you can see why it's moving first and equally to know when it's likely to stop leading, due to previous resistence or congestion in the fly.

    It can also indicate if a piece of news is fundamentally shifting the market outlook as the belly leads on such occasions, especially concerning fundamental risks to the economic outlook. If there's a terrorist attack this chart should spike up as paper will load long into the belly of the curve. You can get a similar picture by rebasing the bund bobl shatz and keep them plotting together on the one chart to see where the relative outperformance is. As I say I've never touched spreads so if you want in depth on this rather than an overview picture talk to a spreader.

    As for the 10k in schatz they are often just spread orders and if they can get hit on them before one of the other maturities move they'll be good for them, (careful around any bond auctions too the big size clips are genuine and will trade) when rollover comes assume no spoofing but algos sytematically placing and pulling orders relative to the curve, calendar spreads and the cash market too! Don't just assume it's some bloke and his ego, although I admit occasionally it is.

    You need to carefully watch the influence of that size being shown in the 2 year on halting movements or getting orders filled on the other maturities. ie if 10000 shatz shown on the offer gets someone to clip down 500 bund it might have been why he did it (or even for a hedge for bund spoof that went wrong and therefore will try to look like a fickle schatz spoofer by flashing it, when really he wants to get hit on the lot, in order to cover the accidental bund exposure - double or triple bluff!!?) and why it is then pulled, all part of the long road of reading the flow.

    Spoofs in the american treasuries will definitely be used to get bund fills, you need to watch a lot of markets at once for a long time to see these patterns. It's still tough to find an edge even then but if you only have a bund depth up and attempt to scalp you can fairly surely kiss goodbye to your cash.
    Good luck
  9. doublechin

    Excellent post and quite educational! Thanks for the explanation about the spoofs in the schatz. Should be interesting to see if it goes on this week.

    My thought heading into this week is that treasuries should take some heat, especially the front end of the curve.

  10. Also does anybody know where I can find some free euribor spread charts?

    #10     Feb 10, 2008