Eurodollar Futures (GE)--anyone else trading these?

mcurto · Nov 30, 2004

That's kind of cool with the counterparty thing on TT, only if they could show who is on the bid/offer before the trade occurs, probably will some day. Does TT do the same thing for CBOT treasury futures? I think the curve steepener the last few days was really just some of the big Asian accounts taking profits for month end. Is there really enough inflation and economic growth for the curve to continue steepening? Or is this just a small correction in the flattening trend. I guess if we get another huge payroll number on Friday then the flattening may be over. A lot of the mortgage guys are starting to roll their ten-year and five year options plays into lower strikes (like the march 111 puts into the march 110 puts for the ten year). And the last couple of weeks there was a huge buyer of march 108 puts, think he's long about 60,000 plus, so we'll probably be heading down there in the near future.

mcurto

dunleggin · Nov 30, 2004

That trade flow you're seeing in the note options is interesting. Contrasts with the large institutional trades reported in the ED options, which has been mostly call buying since last Wed. Aside from the profit-taking you mention, I guess there's the Bund/Note trades getting put on, and an expectation that the demand is going to soften even if ACBs hold on to their $ paper for a while.

Expectations already seem set high for the NFP. How much will your CBOT traders need to see to take the market lower?

mcurto · Dec 1, 2004

The floor guys (who trade the screen too) have been consistently looking for slightly under on the non-farm payrolls (and successfully pushed it higher for the most part) and were right until the last one, when we headed way lower in the long end. I think the last one they were looking for at least 25k more, so I suspect they will be looking for the same in this one. Interesting note, one firm purchased about 10,000 way out of the money (about six handles lower) puts today in the ten year, so maybe Wall Street is looking for a number kind of like last month.

trdinglife · Dec 1, 2004

Quote from dunleggin:

That trade flow you're seeing in the note options is interesting. Contrasts with the large institutional trades reported in the ED options, which has been mostly call buying since last Wed. Aside from the profit-taking you mention, I guess there's the Bund/Note trades getting put on, and an expectation that the demand is going to soften even if ACBs hold on to their $ paper for a while.

Expectations already seem set high for the NFP. How much will your CBOT traders need to see to take the market lower?

leggin, could it be that they are hedging their flatteners?...and we have seen that trade start to unwind a bit...

once again we had massive buying in the ED front months today...Jun05 rarely went offered all day....and every time Sep05 or Dec05 came off a bit, the buying into it was immense and rapid...all the big clips in todays action seemed to be up...JPMorgan, Morgan Stanley again...though I did see CSFB sell 4000 down in Sep near the end of the session...anyway, once again Non Farm looms large...it is amazing the difference between trader and economist expectations as mcurto pointed out...as I've said before there are reasons why analysts are not traders...

riskarb · Dec 2, 2004

Quote from dunleggin:

EDH5/FFH5 yield spread is quite wide right now, 34bps. There are the usual contract time/exposure factors, schedule of Fed meetings etc. to explain some of this, but...

I owe you one... sold it at 35 the day after you posted it, and large. It's come in a bit, thanks again.

sle · Dec 2, 2004

Quote from trdinglife:

anyone else notice that big institutions like jpmorgan and morgan stanley always seem to be on the bid at the end of the day in Sep05 and Dec05?

it's driven by their swap business

dunleggin · Dec 2, 2004

Quote from riskarb:

I owe you one... sold it at 35 the day after you posted it, and large. It's come in a bit, thanks again.

Not at all, I've garnered plenty of helpful insights from your posts. Hope it works out for a few more bps

dunleggin · Dec 2, 2004

Quote from trdinglife:

once again we had massive buying in the ED front months today......

Note sle's answer prior ...he's in the loop, and significant chunk of ED vol is swaps-related

dunleggin · Dec 2, 2004

Quote from trdinglife:

could it be that they are hedging their flatteners?...and we have seen that trade start to unwind a bit...

imo, the diverse motivations of players in the bond/money markets facilitates many hypotheses...i think it would take someone on a desk to yea or nay that

Seen heavy buying in the Jan 73 calls (which expire 1/14 into H5 positions) Prudential 40k, JPM 10k, for 1.5 ticks. Why? Perhaps a flyer bet on a Fed pause. H5 is trading almost fully-priced for a Fed hike to 2.75% at the Mar 22nd FOMC. H5 expires about a week before. A weak NFP tomorrow and/or Fed statement Dec mtg suggesting a pause at Feb's mtg, H5 can rally 25bps. Any alternative ideas?

nitro · Dec 2, 2004

Quote from dunleggin:

...Prudential 40k, JPM 10k, for 1.5 ticks. Why? Perhaps a flyer bet on a Fed pause. H5 is trading almost fully-priced for a Fed hike to 2.75% at the Mar 22nd FOMC....

Nah,

They are adjusting the duration and convexity of the position they already have.

nitro