these cats have the ching to back it up
Anybody else short US 30 Bond
- Thread starter richard_m
- Start date
Yep
Quote from Martinghoul:
Nah, it wasn't him... 49% indirects. More likely, one or a few of these guys:
I'll go with the one in the middle.
"There were reportedly some whispers in advance of the offering that "a large Asian concern" was sniffing around"
Nice educational piece:
http://ftalphaville.ft.com/blog/2009/06/04/56648/living-with-negative-repo-rates/
http://ftalphaville.ft.com/blog/2009/06/04/56648/living-with-negative-repo-rates/
can somebody please tell me how the 2-5-10 Fly level is calculated in basis points. My understanding is that its 2-5 yield spread minus 5-10 yield spread.
One report reported 34.3bp with 2,5 10 yr yields at 1.23%, 2.72% & 3.71% respectively for 16 Jun09.
Any thoughts, educational material, thread on treasury butterflies, please do tell
Thnx
Naveen
One report reported 34.3bp with 2,5 10 yr yields at 1.23%, 2.72% & 3.71% respectively for 16 Jun09.
Any thoughts, educational material, thread on treasury butterflies, please do tell
Thnx
Naveen
No, it's calculated by most practitioners as 2 * 5y - 2y - 10y. Sometimes people also use (2y + 10y)/2 - 5y (aka avg fly spread) or 2y + 10y - 2 * 5y (aka gross fly spread). I, and most people I know in the mkt, still prefer to use the first formula, so to me the numbers you have given imply the fly at 50bps.
Tuckman's 'Fixed Income Securities' has a small, but very nice section on flies.
I am trying to make sense of the ZN T&S. Who trades 1000/2000 contracts per order?
Today I have this:
8:35:37 sell 1101 at 115 11
8:37:18 sell 1000 at 115 11.5
8:38:14 sell 1104 at 115 11.5
Can some one verify that this data from IB is accurate?
Then I have
8:57:09 buy 1253 at 115 17
This is basically buying on the top for today. Does this make sense?
Today I have this:
8:35:37 sell 1101 at 115 11
8:37:18 sell 1000 at 115 11.5
8:38:14 sell 1104 at 115 11.5
Can some one verify that this data from IB is accurate?
Then I have
8:57:09 buy 1253 at 115 17
This is basically buying on the top for today. Does this make sense?
before Lehman, Bear, Merrill blew out people used to clip 5K+ they are programs/big traders designed to make you puke. High today was 25, I guess it was 17 when you wrote that someone could have been short and covered a position who knows. Someone today did an off ladder 25K five yr note today (CME block trade) people trade size in treasuries bro, you know that by now.
Just got back in after being out for a few hours. Today is a no news day and I wasn't going to trade. Had I been trading I would have bought and sold a range.
Right now (1029 EST) I see the 10 year is up to almost reach its 0825 EST high. Any news that I missed? I was going to take today off, but this jump up to 114 and change at 1029 EST is very tempting to short. The one thing preventing me from doing this is that this has all of the signs of what I call a classic "V" day. Make a killing on the way down, and lose it all shorting on the way back up.
My DVD copy of "The International" is calling. Perhaps I should stick with the original "no trading today" plan. ;-)
Right now (1029 EST) I see the 10 year is up to almost reach its 0825 EST high. Any news that I missed? I was going to take today off, but this jump up to 114 and change at 1029 EST is very tempting to short. The one thing preventing me from doing this is that this has all of the signs of what I call a classic "V" day. Make a killing on the way down, and lose it all shorting on the way back up.
My DVD copy of "The International" is calling. Perhaps I should stick with the original "no trading today" plan. ;-)