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Bond rally nearing an end?
- Thread starter gharghur2
- Start date
Newbunch,
All of the bond mutual funds such as PIMCO, WAMCO, Vanguard, etc., etc., benchmark their returns to the Lehman bond indices. Therefore as the Lehman bond indices add the new 10s and 30s that were auctioned this month they will cause duration in the index to increase more than a normal month (around .08 or so usually). Since the aforementioned funds performances are based off the Lehman bond indices they need to match that performance. Thus they buy the same bonds or their futures equivalents that were added to the Lehman indices. Don't worry about the .21 number other than that it is much more than normal. Be careful getting super long into the close tomorrow, sometimes dealers will fade this end-of-month move and other times will just continue to bid it into and after the close. There will definitely be huge size on the last minute bell both in the pit and on the screen, so could be pretty fun if you are on the right side.
All of the bond mutual funds such as PIMCO, WAMCO, Vanguard, etc., etc., benchmark their returns to the Lehman bond indices. Therefore as the Lehman bond indices add the new 10s and 30s that were auctioned this month they will cause duration in the index to increase more than a normal month (around .08 or so usually). Since the aforementioned funds performances are based off the Lehman bond indices they need to match that performance. Thus they buy the same bonds or their futures equivalents that were added to the Lehman indices. Don't worry about the .21 number other than that it is much more than normal. Be careful getting super long into the close tomorrow, sometimes dealers will fade this end-of-month move and other times will just continue to bid it into and after the close. There will definitely be huge size on the last minute bell both in the pit and on the screen, so could be pretty fun if you are on the right side.
Thanks for the info. It's greatly appreciated.Quote from mcurto:
Newbunch,
All of the bond mutual funds such as PIMCO, WAMCO, Vanguard, etc., etc., benchmark their returns to the Lehman bond indices. Therefore as the Lehman bond indices add the new 10s and 30s that were auctioned this month they will cause duration in the index to increase more than a normal month (around .08 or so usually). Since the aforementioned funds performances are based off the Lehman bond indices they need to match that performance. Thus they buy the same bonds or their futures equivalents that were added to the Lehman indices. Don't worry about the .21 number other than that it is much more than normal. Be careful getting super long into the close tomorrow, sometimes dealers will fade this end-of-month move and other times will just continue to bid it into and after the close. There will definitely be huge size on the last minute bell both in the pit and on the screen, so could be pretty fun if you are on the right side.
I've been long since July 14th (105.39 on the ZN) and am staying long for now.
L
Lance Carson
Market Trying to Hold Bid: The market has been given a tame backbone boost by the tame inflation numbers, while the in-line initial jobless claims are little cause for drama. "The inflation numbers are a joke, they're fudged, we all know that," says a long time dealer, adding "we will all play along until it blows up, which it will," but he points out, until the dollar starts "into a free fall, we won't " worry too much about the situation. The euro is seeing a boost as the ECB indicates upcoming rate hikes, with the currency heading back to last week's highs. The day's later data should have little effect, unless the Chicago PMI is a huge miss, but that is unlikely. Either way, the bond market "has a bid, & even if the (payrolls report tomorrow) is better-than-expected, there will still be bids waiting in the wings."
Lance, excellent post. It looks like it may be a narrow range day today so the buy just off the low of today from 0805 to 0820 will probably be the trade of the day good for a quick test of the high, and then out for the day.
I think you called that yesterday. Still too early to tell for the whole day, but tradeable advice from you and mcurto for the first hour.
Edit: 0847 CST Is it just me or has the 10 year been telegraphing moves all week long? Look at it now busting past its high and the 30 year way behind. Tuesday 29 August 2006 did the same thing but for the down move.
I think you called that yesterday. Still too early to tell for the whole day, but tradeable advice from you and mcurto for the first hour.
Edit: 0847 CST Is it just me or has the 10 year been telegraphing moves all week long? Look at it now busting past its high and the 30 year way behind. Tuesday 29 August 2006 did the same thing but for the down move.
L
Lance Carson
The payroll rumors have started:
Auction Payrolls: The CME's derivatives auction on the payrolls report has been slipping. The auction results are now in at 113K from 120.6K on yesterday's session open. The first number was pretty much inline with economists' estimates, while today's report is heading closer to the "whisper" numbers coming out of the market.
Auction Payrolls: The CME's derivatives auction on the payrolls report has been slipping. The auction results are now in at 113K from 120.6K on yesterday's session open. The first number was pretty much inline with economists' estimates, while today's report is heading closer to the "whisper" numbers coming out of the market.
L
Lance Carson
The "whisper numbers" ( pit rumors ) comtinued lower this morning, looking for an excuse to sell or take profits( have seen this a thousand times before)
Bonds Dinged on Payrolls: The payrolls report hit trade as an upside surprise printed on the payrolls. The bar had been set pretty low, even as the CME guesstimate had bounced back a bit from 91.2K to 102.5K, from after the close yesterday to today's open, the market had a whisper number significantly lower
Bonds Dinged on Payrolls: The payrolls report hit trade as an upside surprise printed on the payrolls. The bar had been set pretty low, even as the CME guesstimate had bounced back a bit from 91.2K to 102.5K, from after the close yesterday to today's open, the market had a whisper number significantly lower
Lance and mcurto,
I'd like to personally thank you for your posts a couple days ago as well as recently.
Lance and mcurto are responsible for the extra bit of confidence I had in initiating large size shorts today as well as getting out at 110 24 (Dec ZB's).
No doubt about it. Today is an outlier day for me in terms of hitting on all cylinders and my compensation for that.
I'd like to personally thank you for your posts a couple days ago as well as recently.
Lance and mcurto are responsible for the extra bit of confidence I had in initiating large size shorts today as well as getting out at 110 24 (Dec ZB's).
No doubt about it. Today is an outlier day for me in terms of hitting on all cylinders and my compensation for that.
Quote from johnpinochet:
Lance and mcurto,
I'd like to personally thank you for your posts a couple days ago as well as recently.
Lance and mcurto are responsible for the extra bit of confidence I had in initiating large size shorts today as well as getting out at 110 24 (Dec ZB's).
No doubt about it. Today is an outlier day for me in terms of hitting on all cylinders and my compensation for that.
Hi johnpinochet,
What is your day target? are you going to hold for longer term? Does the fact that today is only half day trading and long weekend coming up affect your target and expectation?
Thanks,
Luc