Nope. Have been staying nimble and doing well playing the long side in futures the last few days. I think Dec 107 puts are somewhat cheap around 3 ticks into the number. Goldman prop bought 25,000 of them (they were short as part of short Dec 107 straddles, short puts and short calls) so maybe they think those will be going bid sometime soon. Pretty much a punt to be short at this point. Some HUGE dealer accounts are getting smoked trying to stay short and get short as of late. One of them sold about 25,000 10yr futures after the number this morning from 108-15 to about 12.5, working in about 2500 to 5000 lot chunks, got squeezed a bit on his position this afternoon.
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Bond rally nearing an end?
- Thread starter gharghur2
- Start date
It's been wild!
So tomorrow we get one of the most meaningless economic statistics (in terms of FOMC deliberations) - employment. Why? The BLS makes the case that unless the number is really large, it lies WELL within the margin of error. From the BLS report â
Statistics based on the household and establishment surveys are subject to both sampling and nonsampling error. When a sample rather than the entire population is surveyed, there is a chance that the sample estimates may differ from the "true" population values they represent. The exact difference, or sampling error, varies depending on the particular sample selected, and this variability is measured by the standard error of the estimate. There is about a 90-percent chance, or level of confidence, that an estimate based on a sample will differ by no more than 1.6 standard errors from the "true" population value because of sampling error. BLS analyses are generally conducted at the 90-percent level of confidence.
For example, the confidence interval for the monthly change in total employment from the household survey is on the order of plus or minus 430,000. Suppose the estimate of total employment increases by 100,000 from one month to the next. The 90-percent confidence interval on the monthly change would range from -330,000 to 530,000 (100,000 +/- 430,000).
These figures do not mean that the sample results are off by these magnitudes, but rather that there is about a 90-percent chance that the "true" over-the-month change lies within this interval. Since this range includes values of less than zero, we could not say with confidence that employment had, in fact, increased. If, however, the reported employment rise was half a million, then all of the values within the 90-percent confidence interval would be greater than zero. In this case, it is likely (at least a 90-percent chance) that an employment rise had, in fact, occurred.
So if the Wall St. spinmeisters make the case that employment matters for FOMC deliberations in Dec/Jan, probably best to fade them.
Statistics based on the household and establishment surveys are subject to both sampling and nonsampling error. When a sample rather than the entire population is surveyed, there is a chance that the sample estimates may differ from the "true" population values they represent. The exact difference, or sampling error, varies depending on the particular sample selected, and this variability is measured by the standard error of the estimate. There is about a 90-percent chance, or level of confidence, that an estimate based on a sample will differ by no more than 1.6 standard errors from the "true" population value because of sampling error. BLS analyses are generally conducted at the 90-percent level of confidence.
For example, the confidence interval for the monthly change in total employment from the household survey is on the order of plus or minus 430,000. Suppose the estimate of total employment increases by 100,000 from one month to the next. The 90-percent confidence interval on the monthly change would range from -330,000 to 530,000 (100,000 +/- 430,000).
These figures do not mean that the sample results are off by these magnitudes, but rather that there is about a 90-percent chance that the "true" over-the-month change lies within this interval. Since this range includes values of less than zero, we could not say with confidence that employment had, in fact, increased. If, however, the reported employment rise was half a million, then all of the values within the 90-percent confidence interval would be greater than zero. In this case, it is likely (at least a 90-percent chance) that an employment rise had, in fact, occurred.
So if the Wall St. spinmeisters make the case that employment matters for FOMC deliberations in Dec/Jan, probably best to fade them.
Goldman buying the Dec/March calendar in 10yr futures. They have paid -3 the last two days on probably 30,000. The pit is saying it is early roll for a customer. My guess is they are playing for spread product widening tomorrow in swaps and the 10yr calendar will follow. Does this make sense swap guys?
Ok, so Goldman prop completed their 107 conversion today now putting them flat that strike after getting smoked (even the best are wrong sometimes) being short the 107 straddles. Assuming they weren't cleaning up an old position they basically got short 40,000 Dec 109 calls vs. futures at 08.5 on the close. Thus, going into the number tomorrow they are short implied volatility at a little over 4% and if we trade lower volatility should follow lower as well. Not to mention there is another dealer desk that got short at least 50,000 futures over the past two days in the 10yr. Should be a fun one, dealers short, real money flat, if the number prints 150,000 to 200,000 it will be fun.
Today reminds me of that song;
GIMME SHELTER
Will those Bonds bulls finally go away now ?
GIMME SHELTER
Will those Bonds bulls finally go away now ?