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Why is it that after 2yr & 5 yr auction this week , next day yields on 2yr & 5yr NTR increased significantly during asian session whereas other maturities were unchanged, Does that have anything to do with auctions?

10yr NTR & CTD basis

2s5s with ZT ZF ratio5_4 overlaid

2s5s with ZT ZF ratio1_1 overlaid

You are correct the ratio is inaccurate , but 0.82 ratio will mean buying 100 ZT & selling 82 ZF, the smallest ratio will be 5 ZT & 4 ZF, See attached chart. What i have observed is that changes in basis for NTR & CTD are very close for 2yr & vary as maturity increases so 10 yr NTR basis may...

Ok, I will wait for other responses, was also wondering does anyone use technical analysis like support/resistance, trend, breakout when trading yield spreads because they look & behave like outright, maybe lot more trendier than many equity futures.

ZN basis chart

Have been following basis for both cash OTR & CTD bonds direction & magnitude of change is very close for ZT & ZF but for ZN the variation is more this is yesterdays chart ZN CTD & Cash OTR basis in dollars for 1 contract. Next chart is US OTR yield spread( in %) with ZT ZF spread in ratio...

Can some one guide me how to get intraday US on the run Yield spreads data. I have looked at following options but things seem muddy at best 1 . Bloomberg has a ticker GGR for generic rates as per my chat with help it is OTR yield & one can get intraday data. 2. Bloomberg also has ticker...

Hi Martinghoul, Did some research on basis & calcualted that for OTR US bonds. The idea here is simple , someone trading curve using futures should be aware that futures maybe out of sync with cash, if we track the changes in gross basis for OTR bonds with futures , we can atleast have a...

Funniest post, Sums up the current environment Thanks for the laughs

Agreed that there is not much participation maybe because not many find common threads in their trading. You have given some very useful information to me, I am all ears here. I cant find this information from anyone here + any wrong notion about markets may one day ruin ones career. I am...

Here are some noob opinions on bond futures, cash & basis 1.Bond futures have a deliverable basket of cash bonds, CTD keeps on changing( How frequently i dont know) & this possibly gives rise to basis trade. 2. For 2, 5 yr futures basis risk should be low since deliverable bond maturity is...

Can you elaborate on the possible reasons for the above. My point was to compare US cash with german cash. If the Bid/ASk spread is as wide then one maybe losing 1-2 bps when doing curve tradeslike 2-10s in German cash. Also whats the average daily turnover in german bonds, for US i could...

Got your point, but in case of US benchmarks Treasuries the spread is only 1/2 to 1 tick. What i want is to be able to follow yields of german benchmark bonds on 2- 5 & 10 yr maturity. My simple idea is that futuresbased spreads should reflect changes on cash bond yield spreads. Do you...

I see the following Bid/Ask on Bloomberg page BBT currently for german bonds, the spread seems high compared to futures 2yr 100.085/100.105 5yr 98.665/98.695 10yr 101.190/101.225 Whats the closing time for german cash bonds?

Can somebody tell me which of the following options is better for Eurpean fixed income cash quotes. 1 Bloomberg Cost is high , on blommie Bid/Ask spreads on cash bund is as high as 4 ticks, i dont know whether such is the case in actual interbank market. 3. Reuters 3000 Fixed income ...

FOund some good literature on Treasury market structure on new york fed site for noobs like me, on auction http://www.newyorkfed.org/research/economists/fleming/pub.html

Thanks , sorry i was not being clear, specifically what hours should one consider as active hours for cash bonds trading during US hours, i understand that being a OTC market like FX no opening or closing hours are set. What is relative value trade, does trading 2-10 treasury yield spread...

I primarily trade by looking at whats happening in cash yields & cant imagine any other way, its very discomforting trading bunds, bobl schatz butterfly without having a look at cash but thats a very stable mean reverting trade. So here are my questions 1. If we look at the ladder of any...