Bond Futures

The websites for both Eurex and the CBOT will list the cheapest-to-deliver instruments along with the conversion factor. These can change during the course of the contract expiry - especially after an auction, coupon stripping for one of the CTD issues, Fed buyback of one of the CTD issues, or if the repo rate changes. The on-the-run issue traded on Cantor is usually the CTD as well. The long basis, cash-and-carry trade is that you pay the overnight repo rate to buy a cash bond which is used as collateral for the repo loan, and you subsequently sell it to the exchange. It's essentially a butterfly spread. Dealers and banks love to squeeze these guys. As they say, no free lunch. All real basis traders own a Bloomberg. Indispensable. All of these clean and dirty prices are calculated for you.

All of this is totally inconsequential for you unless: 1. You are going to trade the basis, and/or 2. You are going to trade the calendar spread. Item 1 requires mucho capital or a good, solid line of credit from Cantor or Brokertec.

Don't fret about this. No arb for you here.
 
So it has been how many weeks since Greenspan's first day of testimony before Congress that collapsed the bond and refi markets. This week, it looked to me like we were going down again until Thursday when the clearest go long signal in the world was given well ahead of time, namely 4 (might have been 5)Fed Governors appearing in one day across the nation starting early in the morning and speaking until after 6PM EDT. Their mission was obvious to all but me anyway.. .


Well oh they just said it on CNBC. Guess that's it for me.... You can see what happened anyway.

Geo.:(
 
Quote from Walther:



Thanks,
I know that.
All I trade is 30 and 10 and this simple calculation is all I need.
Thanks,
Walter
More...

I can't help you with a calculation. However, if you'd like a spreadsheet with the interest rate (to four decimal points) for every possible price of the CBOT Treasury securities, you might want to take a look at this link from the CBOT website:

http://www.cbot.com/cbot/docs/36987.xls

Good luck,
-Eric
 
intraday

scalp or daytrade pivots , % of daily range etc

successfully without access to the big mortgage backed
securities cash data as well as cash note and bond info

other than the yield index ( 10 + 30 ) ?

in other words do the big shooters have a huge advantage
over me because I do not have a bloomberg?
 
Quote from SethArb:

intraday

scalp or daytrade pivots , % of daily range etc

successfully without access to the big mortgage backed
securities cash data as well as cash note and bond info

other than the yield index ( 10 + 30 ) ?

in other words do the big shooters have a huge advantage
over me because I do not have a bloomberg?
More...

I would not try to scalp Bonds on 1 min charts but % of range is a good tool combined with s/r .
I watch Dow , S&P and Nasdaq just to see if there is any major moves against what I intend to do . It is important to know recent intermarket pattern ( not always are Bonds moving in opposite direction of a stocks . )
Big shooters have advantage because they can huddle before they put positions on and they can push market into stops , not because they have a Bloomberg.
Walter
 
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