curve flattening

[sle]

Quote from bone:

With the shorter duration instruments, you will notice than generally speaking the DV01 hedge ratios will change more frequently because the CTD changes more frequently and the lower number of coupon payments of course really amplifies things.

This is incorrect, you are misleading a lot of people.

 

[bone]

I got filled on the balance of my resting bids today to cover a short Dec 11 vs. Dec 12 Eurodollar position I have been nursing along for several weeks.

Some of my clients bought Shatz vs. Sept. 13 Euribor last week but I was not as clever.

 

[bone]

I have some clients buying the NoB - looks a bit overcooked to me at this point but they do not seem reluctant to keep pressing. Would be about the third time this week where clients took winning trades that I just preferred to stare at.

 

[sle]

Couple simple fin de monde plays in the short end of the yield curve:

(1) I am long March12 through June12 Fed Fund futures (500-1000-1000-500 contracts) against being short 5k of Mar12 Eurodollar futures (a futures-based proxy to FRA/OIS). It has done some already, but if Greece continues to be in the spotlight, it will go more.

(2) Another one is a long 5y bundle against short 2y bundle, duration neutral (100 against 250) plus a 5s against 2s spread duration neutral (long 1300 2s against short 1000 5s). This is a futures-based proxy for 2s/5s spread of swap spreads - it is historically rich (5y spread is too high vs the 2y spread is at 6, like 90th percentile of recent history) and in a crisis it will go negative (-12 in May 2010 and -45 in October 2008).

If you believe that Greece might blow these are fairly simple protective plays.

 

[bone]

SLE, do you have an Eonia data feed ?

 

[sle]

Quote from bone:

SLE, do you have an Eonia data feed ?

Well, I have a Bloomberg terminal - what exactly do you need?

 

[bone]

Quote from sle:

Well, I have a Bloomberg terminal - what exactly do you need?

Do you have direct access to EuroMTS ?

Please say yes.

 

[sle]

Quote from bone:
Do you have direct access to EuroMTS ?

Yes, I do. I presume you somehow care about their indices?

Quote from bone:
Please say yes.

I only say things like this to high convexity blondes...

 

[bone]

Quote from sle:

Yes, I do. I presume you somehow care about their indices?

No, I get the cash market quotes five ways from Sunday. I can clear New Edge and MF BUT because I am a bloody Yank the pricks will not let me actually physically for reals playa trade the cash - capitalization is NOT an issue, I can cash-and-carry positive basis into delivery for size.

I can look into the window, but I cannot touch.

 

[Martinghoul]

You can't have access to MTS proper unless you're a dealer, as far as I know. You can use BondVision, which is their client front-end.