Anybody else short US 30 Bond

Youngtrader

Bernard 111

Inverted Curve


My exposure to US debt market trading is limited to trading the TLT (the equity ETF that tracks the longer-term treasuries)

I am thinking of either moving from trading the TLT or trading the TLT shares and the 10 year debt futures as well.

I know that one 10 year futures contract = approx. 1200 TLT shares in market value.

How many contracts are typically on the bid and ask in the 10 year futures ? (I am only asking about the day session).

20 contracts (bid) by 20 contracts (offered) typical?

I am also guessing that the contract is liquid enough where the spread is very rarely more than two tics. Correct?
 
6 months ago the TY book had about 3000-5000 contracts at every tick (sometimes I would see over 10K!) now it is about 250-1000 usually being around 400-600 the US Treasuries have gotten very thin over the last 6 months and trade like the Spooz used to. It still is a good trade; the ZB which I trade a lot sometimes is untradable the book looks like the Mini-Dow with 30-80 contracts at each price. Sometimes it appears to have come back but that is with 100-200 at each price but people pull their $hit and someone sells 700 and the thing moves 6-10 ticks in one second the treasuries now are the violent market the Spooz used to be. To answer the other question spreading (Cash vs. Futures) is near impossible now due to execution risk and most people in my group are trading outright now along the curve unless they are in a huge winner and want to put a hedge on the other side to lock in their profits. There is never a spread there is always a bid and ask. You really thought the bid and ask was 20 are you serious or you have never looked at a futures ladder I guess? US Government paper being only 20 deep?!
 
Yeah - I have never seen a quote screen for debt futures.

The TLT ETF is like 2000 to 3000 shares on the bid/offer right now.

That's like 2 or 3 10 year futures contracts.

So, yeah - I thought 20 contracts would be really "nice" :)

But 500 ! :D
 
Quote from Chevy_Chase:

Yeah - I have never seen a quote screen for debt futures.

The TLT ETF is like 2000 to 3000 shares on the bid/offer right now.

That's like 2 or 3 10 year futures contracts.

So, yeah - I thought 20 contracts would be really "nice" :)

But 500 ! :D
More...

500 sucks bro like I said 6 months ago there were 3000-5000
 
If you have time - what is your opinion as to why the liquidity dropped over the past 6 months?

My newbie guess would be the increase in volatility. Looking at the implied volatility for the TLT - mid-May of last year it was just over 6%. Now it is just under 18%. Almost triple. Is this the reason - or is it something else?
 
Quote from Chevy_Chase:

If you have time - what is your opinion as to why the liquidity dropped over the past 6 months?

My newbie guess would be the increase in volatility. Looking at the implied volatility for the TLT - mid-May of last year it was just over 6%. Now it is just under 18%. Almost triple. Is this the reason - or is it something else?
More...

Volatility combined with increased margins and tighter risk controls with firms. Oh, and the tick reductions didn't help any (lack of spreaders).
 
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