A simple estimate would be the yield difference between TIPS and the same term nominal Treasury bonds.
Depends on the prevailing bias and how other markets react.
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Bond rally nearing an end?
- Thread starter gharghur2
- Start date
Does anyone out there have any info on a correlation between the Japanese liquidity overnight and the price of Treasuries? I was reading in the FT that big spikes in overnight interest rates in Japan as banks are adjusting to borrowing from each other instead of the BOJ. I think this is one factor driving the hard to explain capital markets of the world.
While I am at it does anyone think SPAN and VAR models affected by increased volatility have created a self reinforcing cycle of increased volatility?
While I am at it does anyone think SPAN and VAR models affected by increased volatility have created a self reinforcing cycle of increased volatility?
I think maybe a couple basis points or so were priced into the 2yr cash ahead of CPI this morning. Greenwich Capital Markets has been saying all along the 2yr trading through Fed Funds in this cycle is way too expensive. They are looking for this thing to trade a bit higher yet toward 5.15%. Any bet on the Fed for June is now even money with July funds at 100% probability of a hike. Best trade may be to sell July funds and buy Oct funds to play too aggressive expectations for after August. The curve massively flattened right after the number and then the 10yr finally traded below high volume levels and ran into stops starting around 105-20, after that it was goodbye to the long end of the curve. Big hedge funds still loading up on Sep 104 puts in the 10yr, now long about 20,000.
Quote from moo:
So how much inflation is now priced in? If we get just "as-expected" CPI, will bonds jump higher? (and stocks too?)
The fact of the matter is that you will really never know for sure which way bonds will go after a report. All it takes is one time having the ZB jump 16 - 32 ticks against you as you stare at your screen, and then you'll learn your lesson, hopefully forever.
Lesson: Never, ever, ever take on a day trade in the ZB prior to a 0730 (CST) report. Never. If you are holding a position trade from days ago, that is a different matter.
Here is how I successfully traded yesterday.
First, I was ready with my 5 min and 60 min chart, my neural network indicator, and my market profile clone. I was prepared to go hours before 0730 but really all that mattered was to be ready at 0720.
Second, I set up an order ready to go on my IB TWS platform.
Third, I studied yesterday's and the past several days worth of price activities looking for highs and lows.
Fourth, I calculated my own price projection numbers both on the high side and the low side.
With all of the above in mind, my plan was simple, if the market takes a dive at 0730 sell any return to prices before the plunge. If the market spikes up at 0730, buy any returns to prices before the spike.
The above simple plan only works if you have the price support/resistance as well as the neural network confirming.
My play? Sold 2 ZB's at 108 06 and covered at 107 24. In addition, I sold more at the first return to 108 01 and covered together with the previous position at 107 24.
I would say that the above is a textbook example of what I consider the ideal trade on a report day.
Nice job!
I had a bad short coming in and sold more yesterday, went to sleep. I covered 1/2 before Dubleya spoke for break even and covered the rest 107 '19.
If I was any good "guessing" where these were gonna go I would have stayed short another hour.
The problem being wrong for a week, you start to be more defensive than believing in your position.
I had a bad short coming in and sold more yesterday, went to sleep. I covered 1/2 before Dubleya spoke for break even and covered the rest 107 '19.
If I was any good "guessing" where these were gonna go I would have stayed short another hour.
The problem being wrong for a week, you start to be more defensive than believing in your position.
I'm still on the sidelines waiting for a signal to get short. Even if <b>all</b> markets reversed yesterday I didn't get that signal because part of what happened yesterday and overnight was oil and stocks going up after a stronger-than-expected core CPI, which doesn't make sense unless you interpret the situation as a global correction.
The signal I'm waiting for doesn't not include oil and stocks going up at the same time. I might be missing the boat this time but that's a chance I'm willing to take to correct this nasty tendency I have to get in one or two weeks too early.
The signal I'm waiting for doesn't not include oil and stocks going up at the same time. I might be missing the boat this time but that's a chance I'm willing to take to correct this nasty tendency I have to get in one or two weeks too early.
Quote from johnpinochet:
My play? Sold 2 ZB's at 108 06 and covered at 107 24. In addition, I sold more at the first return to 108 01 and covered together with the previous position at 107 24.
I would say that the above is a textbook example of what I consider the ideal trade on a report day. [/B]
I can see your logic in entering at 108.06. How do you come up with 107.24 to cover?
Can you share more about your methodology in day trading bonds?
Thanks.
Luc
luckyhonda,
Visit my Bond Trader 2006 post to get a feel for my methodology. I haven't posted there since February, so don't ask questions there. This message thread is the only one I read now due to the intelligent folks posting on this thread.
107 24 was pretty obvious given the chart activity over the previous few days.
Finally, examining Thursday, you'll see that my after report trade plan from Wednesday worked as well. The only difference is the magnitude of the move.
I sold short at 107 06, added more at 107 03, and got out of everything at 107 00. Price activity at 107 00 was weak compared to Wednesday's activity at 108 00.
I've written extensively about the dangers of the 00's. That was my rationale for the exit. Later in the morning when we went back to test 107 04, I sold a single contract at 107 03 and I'm sitting on it overnight as I think 106 16 is a possibility for tomorrow.
Visit my Bond Trader 2006 post to get a feel for my methodology. I haven't posted there since February, so don't ask questions there. This message thread is the only one I read now due to the intelligent folks posting on this thread.
107 24 was pretty obvious given the chart activity over the previous few days.
Finally, examining Thursday, you'll see that my after report trade plan from Wednesday worked as well. The only difference is the magnitude of the move.
I sold short at 107 06, added more at 107 03, and got out of everything at 107 00. Price activity at 107 00 was weak compared to Wednesday's activity at 108 00.
I've written extensively about the dangers of the 00's. That was my rationale for the exit. Later in the morning when we went back to test 107 04, I sold a single contract at 107 03 and I'm sitting on it overnight as I think 106 16 is a possibility for tomorrow.