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ftp://ftp.cmegroup.com/pub/settle/nymex_future.csv daily

i don't know how much of a point there is spreading when what's priced in is so close to 13bp already.

Time to bring the thread back from the dead. I am thinking these come into play for some great interest rate hedge trades... Oct '14 futures are at 99.81 versus 99.87 settles we're seeing right now. 6 basis points ($250 of risk) for plenty of upside just in case of nervousness of earlier...

before you get carried away with the trade, you should google the topic of stationarity and put some statistical measures together that can give you an idea of your likelihood of success entering the spread at various levels. The tools exist to tell your your probability of success (and even...

yea, but you're just saying he jumps the gun by something like 6 hrs. That is to be expected.

I love your calls ... (although he did guide for the 10th, right ? ) That reminds me of Rearden Metal; where did he ever go? This place was fun with him.

was just a chart showing intra-day on april 5 JGB... close at ~144.00. IRS?

Bump. I imagine bloomberg is what you'd need. JSCC has some stats, but no prices what I found on their website. Options were woefully underpriced on JGB pre-Thurs night trading, at ~2.5% annualized vol... now they are double... Any thoughts on this? Am surprised post-close buying (all...

hahah. i use matlab.... :)

Alternatively if you want to keep your size a little smaller, trade the SGB (JGB mini) on the singapore exchange (SGX) -- also available on interactivebrokers. 1 contract is ~ $155k notional (instead of $1MM for JGB)... No options available on that one though.

The JGB trades on the TSE. interactivebrokers can give you access to it. The JGB has futures options and they are liquid. You can buy ATM puts for ~.30 one month out (thats about $3K in premium) that let you control around $1MM of the cheapest to deliver on the 10 yr bond future. (which...

unless there's a Kerveil with $5B of S&P futures needing liquidated lurking somewhere overnight, that'll generally work.

following the "trend" everytime we got a selloff this past few weeks was wrong every time. I'm long (now). Good enough reason to 'fight' the trend.

That's good. Now are you are at least broken even (if you aren't long theta...). Tough game. EU handed you the recipe for a region wide bank run, but you still aren't printing $$$. You'll need the actual bank run to happen for that.

I'm not sure what your time frame is. My point is that unless there actually -is- a bank run throughout Europe, euro isn't going much lower on this news. And of course, if the worst happens, I have no doubt we go much lower. (but more likely: people forget about it 2 or 3 days later, just...

Let me put it another way: Gold is up about $3. Despite what you read, when every ibank strategist is telling you to position by going short BTP, long bunds, short euro, yada yada yada, you realize there are very few left to take the position. The greedy $$ knows the money is to be made...

For perspective, EUR is at where it was 2 trading days ago. Hardly material. NY and London hedge funds are already in position. Price is communicating ....

are you serious? All of retail can be engulfed by 2% of institutional volume. "retail" doesn't matter.

This is no crisis. EURUSD has had all of a 40 pip range since the open. If it was a crisis, EURUSD would be 1.27 already...

Sorry guy, but "pure price action" is a function of p(t-1), so it lags price as well. And so do trend lines, channels, S/R, etc. Those are indicators, just another sort (extrapolations). If you are reacting to changes in volume, bid/ask spread, etc.. you are still extrapolating t-1 ....