Thursday, 31 January 2013

End of the Month: Tough Day

Was a tough day today, just eeked out a small gain for the day! My main priority really was to protect gains for the month. With lots of Data out tomorrow hoping for some good opps! Below is the break down of my trades today.

US GDP negative

I didn't expect that figure, -0.1% for quarterly annualized GDP out of the US! As you would expect the initial reaction was a pop up in fixed income products and a drop in Stocks. Spreads maintained there levels quite well but this morning we are seeing some pullback which was to be expected after the big run up in the front months the past few days.
Looking at Mar14Jun14 3 Month Euribor Spread, we see that its trading now mid range. So tough to really have a real bias around these levels. I've been shorting primarily on the move up, but I have been trying to scalp half ticks in the volatility also.

For the rest of the day going to look at playing it small, with not much data out today, and it being end of month we mite get some extra volatility in the out rights.

All in all its been a good January, hopefully this follows through to the rest of the year!

Friday, 25 January 2013

ECB Banks to repay EUR 137.2 Bln

I think Euribors have woken up big time this year, this is the fourth day of mega volume, with well over 2 million contracts traded along the strip. The burst of action was brought about by an ECB announcement that banks were to repay EUR 137.2 Bln of 3y LTRO on Jan the 30th. This is significant as it signals increased confidence among banks on conditions in Europe.

Bonds dropped off a cliff as the announcement came out with heavy volume accompanying the news. The ensuing volatility continued for a good 3 hours post the move, which provided many trading opportunities, although it was very tricky and easy to get done at the same time.

Below is the Jun14 Euribor chart.

As you can see the volume for the rest of the day was significantly higher for the rest of the day.
Although the obvious trade would be to short, I stuck to trading the spread today, as I wasn't too aware of the magnitude of the reaction of this data. Spreads on the most part were steady in the red months, but we rose in the front months before coming off again in the afternoon. Mar14Jun14, was trading 6s in the morning, went to as high as 7.5s before settling at 6.5s/7s. By sticking to the ranges it worked out well.

We also had poor UK GDP figures, which affected Cable primarily, as equities continue to go higher regardless!

Today was one of my most busiest trading days, with the continuous action meaning I didn't have time for lunch! After taking a loss initially on the move I manged to recover it.
I've attached a screenshot of the composition of my trades today in Euribor for those interested.
Lets hope for more of this volume!

Thursday, 17 January 2013

Big down day in Euribor

Euribor contracts were of the best part of 10 to 15 full ticks today on the back of some of the heaviest volume I have seen in a long time! With clips of 2k and above the norm today. As the chances of a rate cut and negative rates pretty much at zero, Euribors continued to fall from lofty highs as we are now trading 30 fat ticks lower then we were a month ago.
Despite the big down move spreads held very well implying that this was just a repricing of Euribor rather then a real shift in interest rate expectations. With this in mind it made trading to day great, as there was plenty of volume to fill you and it was a matter of nicking 1/2 tick all day long.
We also had very strong Initial claims and New Home Start numbers from US adding to the risk on sentiment, although we had poor Philly Fed numbers, which however wasn't enough to stop the continued ascent in Stock prices.
Looking forward if we continue heading down in STIRs I expect spread prices to continue going higher, but will be capped at the high of the ranges, as there is still no signal of any rate rises in the near future.
Tomorrow we have UK retail Sales, and Univ Michigan Consumer confidence, to lead us into the US 3 day weekend.

Thursday, 10 January 2013

ECB Leaves Rates Unanimously on Hold

In the previous ECB meeting we had a split decision on whether to cut rates further or not but today Mario Draghi said the council decided to leave rates on hold unanimously. This brought about a sell of in fixed income products, with the Bund dropping 20 ticks in the minute of the announcement  and Euribors falling 6 prices, along with some very nice volatility, which made it easier to leg in and out of spreads.
Although the spread prices didn't move that much, there was plenty of opportunity to get good shorts on to then cover them for the half tick. 
I sold 99.70 in Mar14 on the back of the comment, but as it didn't go down straight away I only took 1/2 tick which really left a sour taste in the mouth as it was trading at 99.66 a minute later. It was bad trading on my part, but I'm sure there are those who managed to hold on and make a nice amount on that down move.
That was the main real moment of interest in the meeting, the rest was all the usual chatter.

Looking to tomorrow hopefully we get some follow through in the morning, but with not much data coming out its likely that it will be a quiet one afterwards.

Tuesday, 8 January 2013

More Volume More Action

Its early days yet but the volume in STIRS over the first few days of this year has increased dramatically. It has helped getting filled a massive amount, and although I'm not making the money I used to, its still fun to trade. I have averaged 150 lots over the past 4 days which is significantly higher then what I was doing last year.
I guess its a new year, and new impetus, from fiscal cliff to debt ceiling. It all works out well anyways.
The big hope is that this remains, now if we continue to get better job numbers out of the US this will in turn start speculation on whether the FED will continue to be so accommodating. This in turn as you would expect will lead to new money flowing into STIRs as rate speculation will rise.

In terms of trading I have been shorting into this rally we have had in Euribor spreads, and since the first couple of days we have pretty much retraced back the whole move. In Short Sterling I'm still short, but hoping I can scratch out soon as this clearly didn't go as well... But hey at least its moving!

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