Bond rally nearing an end?

[gharghur2]

Quote from ralph00:

Great thread.

There is no volatility in Euro$'s either. The Fed has become so transparent, that the market just sits and waits for surprising economic releases or surprising Fed-speak.

Other then selliing vol, I don't know how anyone can make a living trading Euro$'s anymore.

Just looked you're absolutely right ... Euro $$$ sleeps
Almost spring, time to awaken

 

[CoolTrader]

Bond futures have low volatility recently, could anyone explain this?

 

[mcurto]

Japanese are in buying puts in 30yr though, usually precedes a pretty big move. Has bought 10,000 May 109 puts and 5,000 April 110 puts. He is always right getting in but never takes profits and they expire worthless. Probably a cash hedge.

 

[gharghur2]

Quote from mcurto:

Japanese are in buying puts in 30yr though, usually precedes a pretty big move. Has bought 10,000 May 109 puts and 5,000 April 110 puts. He is always right getting in but never takes profits and they expire worthless. Probably a cash hedge.

He's right again, 30yr just broke finally!

 

[gharghur2]

Quote from mcurto:

Japanese are in buying puts in 30yr though, usually precedes a pretty big move. Has bought 10,000 May 109 puts and 5,000 April 110 puts. He is always right getting in but never takes profits and they expire worthless. Probably a cash hedge.

mcurto,

If we can count this break as the real thing, I have 30yr:

wave 1 115-12 to 112-04
wave 2 ending at 113-13
wave 3 should end around 110-05...

tony

 

[newbunch]

Quote from steveosborne:

Actually, if you're a Quant, the stock market IS more difficult.

Strangely, my reward vs risk ratios are nearly identical in the 10-yr bond and the S&P (the only instruments my ATS trades).

 

[steveosborne]

Quote from newbunch:

Strangely, my reward vs risk ratios are nearly identical in the 10-yr bond and the S&P (the only instruments my ATS trades).

Do you use general models that take into account intermarket relations or do you use separate independant models that are each specific to one market?

 

[mcurto]

As if it wasn't enough the Japanese buying huge size in the 30yr puts as we broke, we began to stabilize off the lows, as we traded to 107-09 this afternoon Goldman bank traders quoted the June 107-109 combo vs. 107-10.5 in June (a 66 delta on this thing). Boom, they come in during the last half hour and sell 30,000 of them at 29, selling put and buying call, covered against 20,000 futures short at 107-10.5. They essentially faded this whole move today by selling puts that went crazy bid and buying calls that got hammered. They could have easily sold 20,000 more of those combos it was so well bid in the 10yr options pit. Unbelievable the balls these guys have. I think its a brilliant play, slow steady grind back to 108 in tens by June expiration (maybe trade a bit lower before then though).

 

[gharghur2]

Quote from mcurto:

As if it wasn't enough the Japanese buying huge size in the 30yr puts as we broke, we began to stabilize off the lows, as we traded to 107-09 this afternoon Goldman bank traders quoted the June 107-109 combo vs. 107-10.5 in June (a 66 delta on this thing). Boom, they come in during the last half hour and sell 30,000 of them at 29, selling put and buying call, covered against 20,000 futures short at 107-10.5. They essentially faded this whole move today by selling puts that went crazy bid and buying calls that got hammered. They could have easily sold 20,000 more of those combos it was so well bid in the 10yr options pit. Unbelievable the balls these guys have. I think its a brilliant play, slow steady grind back to 108 in tens by June expiration (maybe trade a bit lower before then though).

You make it a very interesting market
Appreciate your input

 

[mcurto]

Who ever said bonds were boring? Haha, actually they are, until days like today.