If you want to play a "flight to quality" spread bet on the side you could go long ZT and short EDU7. I think that would be a proxy for 2yr swap rates. By the way, the one-year mid-curve put options are another way to short EDU7. See http://www.cme.com/html.wrap/wrappedpages/end_of_day/daily_settlement_prices/e0.html
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Bond rally nearing an end?
- Thread starter gharghur2
- Start date
If you want to play a "flight to quality" spread bet on the side you could go long ZT and short EDU7. I think that would be a proxy for 2yr swap rates. By the way, the one-year mid-curve put options are another way to short EDU7. See http://www.cme.com/html.wrap/wrappedpages/end_of_day/daily_settlement_prices/e0.html
Quote from newbunch:
It's still in Excel. Why should I convert to other software when I already have it working in Excel? Also, I use fundamental data which some software doesn't support or makes it more difficult to do. If it was only price data (a technical analysis system), I probably would use something else since it would be so much easier. But with fundamental data, there'd be manual work to do either way.
Additionally, it's an end-of-week system with about 50 years of backtesting. Another thing that isn't too common with off the shelf software.
I am actually thinking about getting some software merely to help with idea development and testing, but continuing to use Excel. Any suggestions about which to try out?
I use Interactive Brokers and trade straight through their API and Excel spreadsheet. I have 3 spreadsheets: IB's TWSDde.xls, my system, and a portfolio spreadsheet keeping track of my account (actually, I have four of these spreadsheets for 4 accounts I trade).
Thanks for sharing. Very interesting setup you have. I admire your confidence....and wish you great success.
Best way to profit would be to short the 2yr note futures, Fed funds, or Eurodollars.
Good call, mcurto. I shorted August Fed Funds at 94.83 after nonfarm payrolls came out at 75K, then covered at 94.76 after Bernanke reiterated his commitment to fighting inflation. Looks like I got out a little early, though - it went as low as 94.74 today.
What are your thoughts about the 30-year bond? I agree that there's probably more bang for the buck in the middle of the curve, but do you think that both the 10-year note and the long bond will continue to rally?
The Fed's hawkish stance ought to be good for the 30-year bond - from the perspective of a 30-year bond holder, if the Fed hikes aggressively and kills the economy, that would be great. A dovish Fed (which might fail to contain inflation) should be a 30-year bond holder's worst nightmare.
What's PIMCO doing now?
Bernanke is waiting until the CPI numbers and hoping it will either be low or high and make the decision for him. If we get a moderate number, he is damned either way. Either he'll be too soft on inflation or he'll be killing the economy and stock market.Quote from daddyeaux:
Bernanke has fired 2 warning shots so far.......
some folks heard them, some didn't......
don't know what will happen if FF goes to 5.25 and the 10 year sits at 5..I'm not sure Ben knows or cares either
Quote from daddyeaux:
Bernanke has fired 2 warning shots so far.......
some folks heard them, some didn't......
don't know what will happen if FF goes to 5.25 and the 10 year sits at 5..I'm not sure Ben knows or cares either
EXACTLY... I think BB is still clearly leaning at a hike, mostly to save face from that disaster with Bartoromo (sp)...
Whether he will be the reason the curve goes inverted I don't particularly think he cares, coz he can always spin it back to Asian demand, as did he predecessor...
The flight to quality is clearly on... whether that means bonds will get a prolonged bid i dunno... Checked out the VIX for the past couple weeks and we're going crazy, i'm sure lotsa money to be made by the smart people...
Il Principe
Guest
When charting the spread prices, not yields, I do the following:
TUT : ZT-ZN
FOB: ZB-FT
Correct?
TUT : ZT-ZN
FOB: ZB-FT
Correct?
its the Treasury's job to reshape the long end of the yield curve - all they need to do is shift issuance to longer maturities, gradually - not the Fed's...Quote from daddyeaux:
Bernanke has fired 2 warning shots so far.......
some folks heard them, some didn't......
don't know what will happen if FF goes to 5.25 and the 10 year sits at 5..I'm not sure Ben knows or cares either
Quote from 2cents:
its the Treasury's job to reshape the long end of the yield curve - all they need to do is shift issuance to longer maturities, gradually - not the Fed's...
True, but doesn't look like they're gonna be shutting off the supply any time soon... auctions coming up again soon, which have been dismal as of late, let's see the bid to cover...