Bond Futures

[trade4succes]

Quote from trade4succes:

-as the treasuries open earlier than the equities:

Question for the bond traders/scalpers:

Are the treasuries in the early morning any active before the equity index futures open? Or do you have to wait untill the equity index futures open to meet the same kind of action as I associate with the market open for equity futures?

Cheers,

t4s

I'll make this into a new thread.

 

[sammybea]

Has anyone noticed block trades that get done in this fashion, 300, 358,500, 700, 1003, 1194.. etc. Are these trades done on the floor? Who is taking the other side of these trades?? Is this in conjunction with T-auctions? So many questions.. lol These types of trades always throw me off. Another reason why equities for some are more transparent.

 

[spreadem]

Both 30yr and 10yr bonds are approaching overhead resistance.

Ah what to do, what to do?

I think I'll sell a couple; while looking for a slight pullback or at least some sideways action.

 

[EricP]

You may already realize this, but I'll point it out for others that may not be familiar with it. On the bond and note futures, trades are reported with the cumulative total size traded at that price, until a new price is printed, in which case the size resets to only the size of the new trade. In your example, the trade sizes for each print after the first was: 58, 142, 200, 303 and191 contracts.

Put another way, assume the following trades are recorded with the given price and trade contract size:

112.0 15
112.0 10
112.0 150
112.0 2
111.31 15
111.31 4
112.0 1

These trades would appear on the Time and Sales as follows:

112.0 15
112.0 25
112.0 175
112.0 177
111.31 15
111.31 19
112.0 1

Again, this may already be clear and may not answer your question, but hopefully it will be helpful to someone.

-Eric

Quote from sammybea:

Has anyone noticed block trades that get done in this fashion, 300, 358,500, 700, 1003, 1194.. etc. Are these trades done on the floor? Who is taking the other side of these trades?? Is this in conjunction with T-auctions? So many questions.. lol These types of trades always throw me off. Another reason why equities for some are more transparent.

 

[spreadem]

Late-afternoon rally fizzles to close near opening range ... a sell sign for me

Count me in short one ZBH4 at 110-08 with a stop just above today's high.

 

[sammybea]

Hey thanks Eric.. that helps me a lot.. Not sure of the logic, versus time and sales.. It doesn't seem as transparent as the ES. Thanks again though.

Quote from EricP:

You may already realize this, but I'll point it out for others that may not be familiar with it. On the bond and note futures, trades are reported with the cumulative total size traded at that price, until a new price is printed, in which case the size resets to only the size of the new trade. In your example, the trade sizes for each print after the first was: 58, 142, 200, 303 and191 contracts.

Put another way, assume the following trades are recorded with the given price and trade contract size:

112.0 15
112.0 10
112.0 150
112.0 2
111.31 15
111.31 4
112.0 1

These trades would appear on the Time and Sales as follows:

112.0 15
112.0 25
112.0 175
112.0 177
111.31 15
111.31 19
112.0 1

Again, this may already be clear and may not answer your question, but hopefully it will be helpful to someone.

-Eric

 

[SethArb]

who trade futures looks at cash prices at the same time?

I only have access to TYX and TNX yield data

but think I do not have the edge someone with

access to Cantor Market Data or ICAP data might have

 

[msoszynski]

Quote from spreadem:

Okay I'm calling my shot.

It looks like the head of a head and shoulders pattern has formed in Sept Bonds. The left shoulder and the head has formed. The neckline would be the 118 area.

So I'm looking for a bounce up from this 118 area and then the right shoulder will be formed for the larger scale selloff in the Sept Bonds contract.

Any comments?

So, when all was said and done, did you do it? Where did you enter, and how did you exit?