My TA says the uptrend has already reversed.
But 110 is probably a good level to shake the loose leaves.
Bond rally nearing an end?
- Thread starter gharghur2
- Start date
My TA says the uptrend has already reversed.
But 110 is probably a good level to shake the loose leaves.
It sounds like they have already started reducing their mortgage portfolio (thus not having to worry about convexity hedging). They said they will look to expand their loan portfolio (syndicated/lev loans). Maybe do more in sub-prime. They did say that they are NOT expecting rates to come down, and would not be surprised at another increase. Apparently they have bought a lot of puts (taking advantage of cheap vols) and are well hedged over the next year if rates rise.
Sounds like they are taking advantage of these strange markets to reduce risk. BTW, today I read that it is possible to buy a bond, buy the corresponding CDS, swap the fixed into floating and still have positive carry on the trade after financing at swap rates! All this is possible because of the huge demand for CDO-squared product. So the yield on corp bonds are being driven down by the CDS market insanity? They may have to rewrite the finance textbooks after the bubble bursts.
L
Lance Carson
The trap door is still open for da Bears, oops I mean for da Bulls...
Goldman prop selling Dec 107 straddles versus futures from 106-22 to 106-26 over the last two days, total of 20,000+. New position, against long some March 107 straddles, probably 10,000 of those. Ideally they would like a spike down to the 106-22 area, to scalp back out of those short futures, and then for us to settle at 107-00 give or take a few. Ultimately it seems as if these guys are looking for nothing different from the Fed and the market to cover a few shorts regardless of statement.
L
Lance Carson
did you get my drift...
We got our short covering and Goldman to add insult to injury sold another 1,000 Dec 107 straddles at 55 ticks to mark their position for the close. Unbelievable trade ahead of the Fed, but ended up going there way so far, and a lot more time left with that straddle, expiring end of November.
Riskarb,
Someone is buying the March 106 puts covered vs. futures in the 10yr options at 3.85% vol, about 15,000. Also, there is someone already long 35,000 March 115 calls vs. futures in the 30yr options around 6.00% vol. Do these strikes look cheap at all according to your models? The 10yr strike was one that mortgage were long outright and correspondingly killed the volatility when they puked their position.
Riskarb,
Someone is buying the March 106 puts covered vs. futures in the 10yr options at 3.85% vol, about 15,000. Also, there is someone already long 35,000 March 115 calls vs. futures in the 30yr options around 6.00% vol. Do these strikes look cheap at all according to your models? The 10yr strike was one that mortgage were long outright and correspondingly killed the volatility when they puked their position.
Bonds are downtrending.
This bounce is probably the last good shorting opportunity.
But as they say with the Lottery
Ya never know
Sounds like a lot of mixed currents ...
e-cbot Bulletin #143 of 2006
Five-Year Treasury Futures: Reintroduction of FIFO Match Algorithm Nov 5.
I guess the drop in volume and lack of depth caused this. It should have never been changed in the first place.
Five-Year Treasury Futures: Reintroduction of FIFO Match Algorithm Nov 5.
I guess the drop in volume and lack of depth caused this. It should have never been changed in the first place.