Educational Sources for Interest Rate Futures

M

monty21

Does anyone know of a good educational site for interest rate futures? Or maybe you can recommend a introductory book. I'm interested in learning beyond just the basics. I want to better interpret price action.

I wish there was a measure in which one can better estimate the percentage of speculators to hedgers. That would make trading a little easier huh?


I've been tracking the following contracts from wsj.com:

Treasury Bonds (CBT)-$100,000; pts 32nds of 100%
Treasury Notes (CBT)-$100,000; pts 32nds of 100%
5 Yr. Treasury Notes (CBT)-$100,000; pts 32nds of 100%
2 Yr. Treasury Notes (CBT)-$200,000; pts 32nds of 100%
30 Day Federal Funds (CBT)-$5,000,000; 100 - daily avg.
10 Yr. Int. Rate Swaps (CBT)-$100,000; pts 32nds of 100%
1 Month Libor (CME)-$3,000,000; pts of 100%
Eurodollar (CME)-$1,000,000; pts of 100%
Euroyen (CME)-?100,000,000; pts of 100%
Short Sterling (LIFFE)-?500,000; pts of 100%
Long Gilt (LIFFE)-?100,000; pts of 100%
3 Month Euribor (LIFFE)-?1,000,000; pts of 100%
3 Month Euroswiss (LIFFE)-CHF 1,000,000; pts of 100%
10 Yr. Swapnote (LIFFE)-?100,000; pts of 100%
5 Yr. Swapnote (LIFFE)-?100,000; pts of 100%
Canadian Bankers Acceptance (ME)-CAD 1,000,000
10 Yr. Canadian Govt. Bonds (ME)-CAD 100,000
3 Yr. Commonwealth T-Bonds (SFE)-AUD 100,000
Euroyen (SGX)-?100,000,000; pts of 100%
5 Yr. Euro-BOBL (EUREX)-?100,000; pts of 100%
10 Yr. Euro-BUND (EUREX)-?100,000; pts of 100%
2 Yr. Euro-SCHATZ (EUREX)-?100,000; pts of 100%

I want to run correlation tests with instruments from other markets... look for anomalies, divergences or general relationships. These markets are so slow... I hope my results are not overly skewed.
 
How about books by Galen Burghardt? He has authored the two bibles: Eurodollar Futures and Options Handbook and the Treasury Bond Basis.

I also wish there was a way to estimate the speculative volume vs the hedgers, but I don't know of a way to do it in mkts other than Eurodollar.

What specifically do you want to understand about the various instruments you have listed?
 
Quote from Martinghoul:

How about books by Galen Burghardt? He has authored the two bibles: Eurodollar Futures and Options Handbook and the Treasury Bond Basis.

I also wish there was a way to estimate the speculative volume vs the hedgers, but I don't know of a way to do it in mkts other than Eurodollar.

What specifically do you want to understand about the various instruments you have listed?
More...

Thanks for the reply. I'm going to google that author after this post.

Just as some background info... I used to trade equities for a private fund in Stamford, CT for about a year. I feel like I was too narrow minded when it came to research. I have a belief that all markets are obviously interrelated... just not sure about how timely prices readjust to one another. Anyways, the FOREX and Bond markets are so much larger than the stock market that I thought I start following them more. Interest rates surely reign supreme for bonds and are very powerful on currencies too. I'm going to start trading for prop in July so I need to familiarize myself more so with these instruments. Formerly I just used the 20+ year Treasuries to gauge market sentiment... but that's it.

I don't really have very specific questions yet. Perhaps when I better understand them I will have some curiosities. As of now, I'm just basically trying to get the fundamental picture of how interest rate futures work and what the prices really mean. Which interest rate futures move together? Which generally diverge? How do the arbs work in these markets? What does growing open interest on much later expiration suggest? Relationships to the stock market? etc.
 
Well, I honestly applaud your intentions.

I think Burghardt will help with the understanding of the technical apsects of the mkt. As to the other, more general, market sorts of questions, I am not so sure you will find answers in books.

Best of luck in all your endeavors! If you have specific questions, let me know and I will do my best to help.
 
Quote from Martinghoul:

I also wish there was a way to estimate the speculative volume vs the hedgers, but I don't know of a way to do it in mkts other than Eurodollar.
More...

Last question... what do you use to gauge hedgers or speculators for the Eurodollar?
 
Quote from monty21:

Last question... what do you use to gauge hedgers or speculators for the Eurodollar?
More...
Didn't see this, Monty, sorry... As a rough guide, I use CFTC's data. It's published weekly and contains various data about speculative longs/shorts vs non-spec longs/shorts. I get that info from BBG, but it's apparently available from CFTC directly. I use it as just a loose guide, rather than a strong indicator.
 
Thanks phu780 and Martinghoul. I will look into both guides. I also think I have the STIR book on pdf.

Much appreciated.
 
Quote from TraderSystem:

One of the most powerful tools in trading bonds is the use of intermarket analysis. Please have a look at the following thread, it might help you:

http://elitetrader.com/vb/showthread.php?s=&threadid=55456&perpage=6&highlight=uty&pagenumber=12
More...

Thanks...

I just skimmed through the thread. Sounds very interesting.

The only set-back is that this seems more useful for swing trading rather than day trading. My logic also says that these pairs should be treated as hedges (bet spread will tighten if they diverge) instead of going long/short both.

I'm going to google some books on the subject.

Thanks again:)
 
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