Monday, 24 June 2013

US 10 Year Yields top 2.6%

If you thought Friday was volatile, today trumped the lot, with massive swings in the Bond Futures and STIRs. Short Sterling having the biggest move at one point being down 25 ticks represent a full 1/2 percentage rate hike.
Spreads today however were pretty stable which made trading a matter of nicking 1/2 ticks which there were plenty of opportunities to do so as the general volatile movements of Euribor and Short Sterling presented many opportunities.
Bunds traded below 140 for the first time in over a year as speculators bet on removal of Stimulus sooner rather then later, we are now trading 140.50 as we have bounced some what but still 100 ticks down on the day.
Personally I think this is way over done, such movement so quickly is what markets tend to do, so I think we are going to come back in Bonds at some point. Timing is the hardest part, so I was looking into buying 141.50 or 142 September Calls in the Bund, with the risk defined from the start.
As far as my trading was concerned today, it ended up being one of the busiest days I've had. Pretty much no time to take a breather. Euribors had the bulk of the action in the morning, but then Short Sterling had some mega moves in the afternoon as we had two 10 tick spikes lower on very thin trade. This provided opportunities to get out some of my longs that I had been accumulating.
Below is the composition of the trades done today:


Friday, 21 June 2013

Bond Madness

As the T-Note hit a Yield of 2.5% just before the European close, we had some serious volatility with Euribors Dropping 6 fat ticks in minutes, stocks getting heavily sold off, and some proper volatility all over.
The Euribor Spreads held within a nice range today, so as long as you didn't get caught in the execution, was an okay day to get some spreads on.
Bunds are trading 141.30, Dax has broken below 7800, the question is with this rapid correction, will traders step in to support the market, like they did so earlier this year?

With volatility like we are seeing today, I tend to play small cause the risk of getting caught on sudden spikes are much higher. I continue to hold a long bias as this is the trend at the moment, but it is very possible the market has over interpreted Bernanke's comments and are over cooking it slightly. Either way the signals are there that this exceptional period of monetary stimulus cant continue forever and we will get to more normal conditions sooner rather then later.

Thursday, 20 June 2013

Yield Curve Steepens on the back of Bernanke Comments

The FOMC meeting provided the first glimpse into possible tapering of monetary stimulus, and this in tern has led to some aggressive steepening in the whole Bond Yield Space across all counties.
Euribor Spreads on a 3 month basis have all pushed up 4 prices, and short sterling has seen some aggressive steepening also as we have pushed up 20 basis points on the Jun14Dec15 yield Spread.
I've personally cautiously shorting into this move up, as it is very aggressive, playing with small size Below is a look at Short Sterling Steepening.




We can see Dec15 off 24 ticks this morning, and Jun14 off 5 ticks. Looking forward, i think we will come off a bit but data will really dictate how these spreads continue. Further good data is likely to push these spreads up further as interest rate hikes will start to be put on the table. Right now I'm looking to buy dips, and short new highs if it reaches there. We have existing home sales and Philly Fed later on this afternoon, and more good data could push this up further.

Wednesday, 19 June 2013

Ebook

Thanks for all the offers for feedback on the book. I have got some good feedback so will be looking to improve it.
Many thanks

Wednesday, 12 June 2013

New Ebook - A guide to Spread Trading Futures

So over the past few month Ive been putting together a no BS guide to spread trading futures, with the core things that I look at and such things. Its around 50 odd pages worth of info.



If your interested in a copy you can purchase it for only $4.29 at https://payhip.com/b/bNTE

or in Ebook format from amazon:

Tuesday, 11 June 2013

Short Sterling the next to break out!

After the Lean Hog fiasco yesterday, we had a major steepening in the Short Sterling curve today, with 3 month spreads pushing up 3 to 4 ticks with the Jun14Dec15 Spread steepening by 15 ticks at one point which is a huge intraday move. As usual I was shorting into this move which wasn't really the best idea. However each time I got in looked to get out straight away trying to reduce my position as much as I could. Eventually the Spread turned and started going lower, much to my relief and managed to pretty much scratch it all. Either way good volume all round and although Trading today was super stressful, I'd rather have it like this then dead sideways BS. Below is the composition of the months I traded today in Short Sterling.


Monday, 10 June 2013

Spread Traders Nightmare - Lean Hogs Blow Out

Today was one of those days where everything just rose and no pull back yet. Euribor Spreads are all drifting higher, Short Sterling Spreads have pushed up a couple of ticks along all 3 month Spreads. But the big mover today was in the Agriculture space.
I don't often talk about my trades in Lean Hogs and Cattle, but its something that I have been trading more of over the past few months, and it has been going pretty well until today when we had a text book break out, and then every body exiting the Spread at the same time, and as every text book describes, the capitulation trade set in, getting out at market at which ever price, and low and behold ended up paying the high taking a huge loss.
Below is the chart of the Aug13 Butterfly with the 80 tick break out!




Lets hope for some normality from tomorrow!

Tuesday, 4 June 2013

Market Review

Below is a quick recap into what been happening in the Spreads and the Bund.

Short Sterling spreads nudge higher on hawkish Fed; Walmart blowout

As most must know trading Short Sterling is a bit of a bore, and has been for a while. Having managed to get out of my 2 month hold before,...