June '15 ZB

[JamesL]

For those that trade this or follow religiously, why is front month (JUNE) priced 15 pts more than March (current 161.xx vs 146.xx). Never seen rollover gap that wide some; must be some history I'm not aware of.

Appreciate the insight. Thx.

 

[globalarbtrader]

For those that trade this or follow religiously, why is front month (JUNE) priced 15 pts more than March (current 161.xx vs 146.xx). Never seen rollover gap that wide some; must be some history I'm not aware of.

Appreciate the insight. Thx.

Change in delivery basket

http://www.cmegroup.com/trading/interest-rates/files/mar-15-jun-15-roll-analysis.pdf

 

[Martinghoul]

Aye, there have been all sorts of shenanigans in the roll and, more generally, in that area of the curve.

 

[JamesL]

Change in delivery basket

http://www.cmegroup.com/trading/interest-rates/files/mar-15-jun-15-roll-analysis.pdf

Thx. barely remember the talking heads going over this a few weeks ago. Wasn't paying attention. Now I see what they were saying.

 

[Handle123]

Was waiting on Ten Year for FOMC report to see if I could get a Report signal off(have this system automated following many markets and many different reports 24/5.5), saw the Quad bottom, like a gift and FOMC another gift. Chart is 5 minutes but on reports I trade off one/two minute charts.