Advantage Futures bought almost 10,000 5yr notes in the pit today from 25 the whole way up to 29.5. Think it was maybe Citadel buying them, not sure though. Interesting rally today, the longs have been very nice the past few days, BUT the dealers remain fairly cautious of the market internals. They think the rally is purely led by external factors such as relief in the commodity rally, some strength in JGB's and the bund, but not really extremely positive market internals to warrant this huge bounce off the lows. I agree with them, have done well on longs last two days but flattened out on close today. At this point looking to get small short the 10yr into PPI, risk/reward seems best for shorts around these levels, but would have to push back below high volume area of 105-04.5 and 04, so maybe kind of tough.
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Bond rally nearing an end?
- Thread starter gharghur2
- Start date
I would note that seasonal charts indicate notes/bonds have a consistent habit of retesting lows at about the end of May before rallying. From this point I would be cautious with longs as well until we get into June. Of course earch year is different ...
I would note that seasonal charts indicate notes/bonds have a consistent habit of retesting lows at about the end of May before rallying. (What catalyst might drive that, I'm not sure ...) From this point I would be cautious with longs as well until we get into June. Of course earch year is different ...
Quote from Surdo:
HI FIVE to whomever called the Tuesday rally in Bonds due to Options Expiration, I believe Tony or Steve called it!
Actually you both did!
from CBOT:
Options cease trading on the last Friday which precedes by at least two business days, the last business day of the month preceding the option month.
The 30th & 31st are the last two business days so that makes expiration on friday 5/26
Since you're bringing it up again I would like to ask you over which period was the seasonality calculated? If the period is something like ten years and you break up the period in roughly three different parts corresponding to the last three phases of the economic cycle since 1996, you should see different seasonality corresponding to different phases.Quote from BlueHorseshoe:
I would note that seasonal charts indicate notes/bonds have a consistent habit of retesting lows at about the end of May before rallying. (What catalyst might drive that, I'm not sure ...) From this point I would be cautious with longs as well until we get into June. Of course earch year is different ...
Quote from steveosborne:
Since you're bringing it up again I would like to ask you over which period was the seasonality calculated? If the period is something like ten years and you break up the period in roughly three different parts corresponding to the last three phases of the economic cycle since 1996, you should see different seasonality corresponding to different phases.
A pie can be sliced a million ways, no great insight there.
While these 10 year and 18 year charts only address a period with falling rates, I've found the general shape to still be informative:
http://www.spectrumcommodities.com/education/commodity/charts/ty.htm
The link appears to be invalid.
I looked at the sector breakdown this morning and inflation passthrough is still limited to Transportation.Quote from landboy:
Not good CPI numbers for the longs today, bearish engulfing erases yesterdays gains, looks like it'd be premature for the Fed to pause...
Apparel inflation was high for the second time in a row but is still low overall for the past 12 months. Health Care inflation is high but has been so steadily regardless of what else is going on.