Swing Trading Futures Spreads

Here is the link to a recorded CME Webinar on the Eurodollar versus Fed Funds exchange traded futures spread. As far as esoteric interest rate topics go this wasn’t terribly long or boring.

This is essentially a proxy for unsecured commercial debt (GE) versus unsecured bank debt (FF). This spread is heavily traded in the cash market because there is a better edge in the bid-ask. For my purposes the futures provides far greater capital margin efficiencies.

http://pages.cmegroup.com/index.php...1YjhHa3VWNTM0UUlLTnZPcm5cLytLcUtYcXgyTlZzIn0=
 
Here is a Eurodollar Condor that I shorted late in September and got taken out of it last week. Not sexy, quite pedestrian and very low margin ( maybe $100 for a 1x1x1x1 ). To take several full tics out of a really timid low vol position works just fine. Somewhat unusual for me in that I never really had a drawdown on this particular longish term swing trade. This is about as low vol as it gets for me.

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CME (and a few FCM’s) has a downloadable SPAN margin calculator for inter and intra market futures spreads.
 
bone said:
CME (and a few FCM’s) has a downloadable SPAN margin calculator for inter and intra market futures spreads.
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PC-SPAN? That thing gives me a headache. Less painful to calculate it in the head.
 
Hey bone, what do you think of the NOB spread going into 2018. Long notes. Short bonds. That section of the curve steepened nicely late last week. More room to run in 2018 given relatively low rates ? Unlike many on this site it seems to me that you actually may actively trade!!!
 
contango321 said:
Hey bone, what do you think of the NOB spread going into 2018. Long notes. Short bonds. That section of the curve steepened nicely late last week. More room to run in 2018 given relatively low rates ? Unlike many on this site it seems to me that you actually may actively trade!!!
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I was personally short ZN versus ZB but reached my target second week in November. Personally, I think they have four 2018 rate hikes already baked into the cake, and I am sitting on my hands as far as the US long term Treasuries are concerned and only have on a few STIR spreads at the moment.

CME Treasury ICS Ratios here: http://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html

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I have noticed over the years that some traders are strongly predisposed to a personality trait that has them consistently fading any market. They want to fight the market.

In the 1990's there was a very big, quite prominent 30 Year Treasury Bond independent local futures trader by the name of Chip Kenyon. He gave a brief seminar talk at a CBOT event in Chicago, and I made sure to attend. He told the story of himself building up his account to the point where he was ready to stop leasing his Full Membership and buy it outright. It was a big goal and milestone in his career. In essence, he went on to explain how he gave back his year to date (and the seat purchase amount) in basically one horrific day "cannonballing" the market. [cannonball is an idiosyncratic term for fading everything for size. Just because.] He went on to call the behavior a "disease", and vowed to never do that again. He was just going to stop fighting the market. In several weeks time since that vow, he had quite impressively recovered his account from that disastrous day. He went on to buy that Full Seat, and he concluded that since that quite painful lesson his trading really took off to the next level. He was still at the time of his speech very bitter about 'the complete waste' that horrific day was. At the time of that speech, he was known around the pit as a trader who would take a 2500 lot. If there was a floor broker looking to move serious size and assure a fill for his client with the least drama then Chip Kenyon had the reputation of being one of the few locals that a floor broker could count on. And there were only a few locals like that around.
 
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bone said:
I was personally short ZN versus ZB but reached my target second week in November. Personally, I think they have four 2018 rate hikes already baked into the cake, and I am sitting on my hands as far as the US long term Treasuries are concerned and only have on a few STIR spreads at the moment.

CME Treasury ICS Ratios here: http://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html

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hi Bone:

When you enter your ZN/ZB trade are you trading 3 ZN's for every ZB. Would other ratios still look trendy (like 2 ZN per 1 ZB)?

Another question. I trade GE spreads in my account. Given that Libor is slated to be retired in 3 years, do you think there will be another exchange traded contract to replace GE?
 
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