Anyone remember the Eurex 5 yr bobl squeeze on the March 2000 expiry? An absolute bloodbath on a manufactured CTD squeeze. Bobl went up 90 ticks in 30 mins while the Bund went down 5 or so. The callendar spread was no help either. I got long the beginning and took a 6 tick winner, then it went up annother 85 or so in the blink of an eye. Been gun-shy around exp. ever since. Meanwhile, the callendar is 1 tick wide, 1 gazzillion a side. Success, CB
These moves are unbelievable, were just trading 10, down to 04 absolutely nothing, back to 10, in about 30 seconds. Hold on to your seat belts, and we haven't even had non-farm payrolls yet. WOW!!!!!!!!!!!!!!
Is liquidity on the floor looking better than the screen? I assume that because support/resistance levels on the 2-10 & NOB are so hard to figure out, it seems like some of the normal players are out of the market. P.S. any idea where there is significant support on the 2-10 and NOB?
Yeah, one of the bigger NOB locals left about the middle of the day. The pit basically will show you the size of the screen, but remember that Brumfield's guy is in there so it will always be more than you are shown by the phone clerk. I don't think anyone really has any resistance in the 2-10 year spread since everyone and their mother was short it (yield wise). I remember seeing earlier today that 20 or so bps was a moving average, but that was obviously blown through. As for the NOB, I would be extremely careful trying to trade this tomorrow, off the top of my head don't have any support/resistance levels. Also, if you trade the NOB in the pit locals will generally give you edge on the bond side more often than the ten-year side (Goldman always ends up paying up in the ten year leg).
And look at the volume on the ZN future today. I haven't been watching bond futures for long, but that's the highest volume I've ever seen.
saw this on Bloomberg tonight ... -Trading in Treasuries conducted through ICAP Plc, the world's largest inter-dealer broker, surged to $462 billion today, more than double the average of $204 billion over the past 12 months, according to the firm.-