bond futures

[SethArb]

I read recently that many large institutions

have been playing this game

I assume when the music stops

there is a chance there could be a spike
up in rates

 

[SethArb]

their might be some shuffling this month because of the

Lehman Bond Index ?

I admit I am clueless when it comes to yield curve and

advanced strategies .... heck I do not even look at the

mortgaged backed securites when I trade

just the notes / bonds and cash index's for them

 

[sle]

Quote from SethArb:

any fixed income traders out there

follow this market intraday with live prices

and can it sometimes lead the 10 yr notes

30 yr bonds in rallies and dips ?

not really - mbs lag a bit behind t's but not much (seconds scale, no arb there). i'd say swap prices sometimes lead the t's but change in swap rates can indicated both the change in the t rates and spread change, so it is difficult to use. some people use this to structure contingent asset swaps