Monday, 29 July 2013

Euribor Spreads ramp up before FED meeting

The past week has been a difficult period to trade spreads, as the Yield curve is steepening in both Eurodollar and Euribor, Short Sterling has stayed pretty flat in this period. I had started shorting 6.5s in Dec14Mar15, and 7.5 in Mar15Jun15 last Wednesday, even though I was trying to maintain a long bias as I mentioned before. However we kept rising without any real retrace. Also there wasn't much volume, so it was a painful move up as there wasnt the volatility to help job in and out of the position. As always I averaged in this case at every price, and today I got my out, as we came back from 8s to 7.5 in Dec14Mar15, and I got out at 8.5 in Mar15Jun15 for a scratch overall.
In normal circumstances I would have held on a bit more, but with the FED decision on Wednesday evening, coupled with US GDP figures and Jobs data, the risk was too much for an upside push in the Yield curve so better safe then sorry.
Looking forward I'll be trading relatively light till the FED meeting is done then hopefully there is some volatility that pushes through with the STIRs to give some good spreading opps, and we also have ECB rates on Thursday which should provide more volatility!


Thursday, 18 July 2013

New Highs in US Stocks as Central Banks Maintain Easy Bias

So we hit a new high in the ES and Dow Futures yesterday, which saw a rally of 8.5% since the end of June. At the same time we have seen the Bund rally close to 500 ticks, as we are now in the 144s again. This is a case where taking advantage of an overreaction from the market worked out nice. Pimco the World largest Bond fund were saying they would be buying up 10 Year on the move down cause its an overreaction, and it worked out nice for them. Personally I didn't buy the Bund even though I was contemplating buy the 142 Bund Calls as I wrote earlier on the 24 th June. Sadly for me I never ended up buying them as the Option was too expensive, but in hind site it would have been a great trade :(

Either way in terms of STIR spread activity we have seen a massive fade from the push up, especially nearer the front end, which is what you would expect, and with comments from BoE and ECB stating that easing is here to stay for now, and if anything negative rates could be looked into in the case of the ECB shifted my stance to shorting any up move in the Spreads, and so far that has worked out. The Sep14Dec14 Spread have moved down from 8.5s down to 4.5s now, as we are moving back to pre FED levels, but at this stage I would be looking more at longs then shorts, as I think we getting to the bottom of the range in these Spreads, and they also held pretty well last time out.
All these central banks are saying data will be the key in terms of future policy, so its good to keep an eye out for the data coming out. Yesterday the good philly Fed number was the catalyst for the move up in Stocks, but after market we had the report that Detroit has filled for bankruptcy, as well as Google and Microsoft disappointing on earnings.

Looking forward, ill be looking at a long bias in the Spreads as they continue to come off from their highs, but at the same time volume has totally dried up as summer season is well and truely among us. Its about jus chalking up what ever profit you can from these slow markets and not pushing it too much when nothing is happening. Key data is the catalyst in this market and there's not much out till Tuesday as we get the flash PMIs out of Europe.
The Bund is up at 144.36 as I write, and it doesn't look like there's much in the way. But I think Buying the Spreads are the way to go, but I will be playing it with much smaller size as volume and general action is pretty low, which isn't the best conditions to day trade.

Tuesday, 9 July 2013

New Ebook: A Guide to Spread Trading Futures

So Ive completed a guide I have been working on regarding Spread Trading. Below is the list of things in the Guide:


Preface                          ……………………………………        2-3
What is a Future          ……………………………………        4
What is Spread Trading        ……………………………...        5
Different types of Spreads    ……………………………...        5-14
          Calendar Spreads         ……………………………...        6-9
          Butterfly Spreads         ……………………………...        9-10
          Condor Spreads           ……………………………...        10-11
          IntraMarket Spreads    ……………………………...        11-12
          Cash Equity Spreads   ……………………………...        14
Exchange traded Spreads     ……………………………...        15-16
Spread Matrix                        ……………………………...        16-17
Hedging Ratios                      ……………………………...        18-21
Case Study: EuroStoxx vs Dax  …………………………         22-23

Spread Trading Strategies   ..…………………………… 24-37
          Mean Reversion           ……………………………...        24-27
          Breakout                       ……………………………...        28-29
          Spread Strategies using the Spread Matrix ………. 30-32
          Cutting legs                  ……………………………...        32
Fundamental Analysis……………………………...         33-36
Technical Analysis       ……………………………...        36-37

Money Management             ……………………………...        38-40
          Cost of trading             ……………………………...        39-40

Commonly Traded Spreads and Ratios    ………………...        41-47
Typical Day                           ………………………………       48-49
Conclusion                            ……………………………...        50-51

Different Futures Platforms……………………………...          52

The price for this ebook is only $4.29
You can purchase this ebook through this link https://payhip.com/b/bNTE







Thursday, 4 July 2013

BoE and ECB say Stimulus still here to stay

Both the ECB and BoE were very dovish today to pretty much undo all the moves from the hawkish FED 2 weeks ago. The move upwards in both Euribor and Short Sterling was big, with short sterling pushing up some 10-20 ticks from lows across the curve and some curve flattening as you would expect. I was playing the back end of the curve more as despite the move it held up pretty well, and I took this opportunity to sell as much as i could in this spread, namely jun15sep15 and Sep15Dec15, and luckily it then came off nicely to book some nice profit.

On the Euribor front, we had a similar move, with a 40 tick move up on the back Euribor months as Draghi maintained that the ECB will continue to keep rates low for an extended period of time, and that they will remain accommodative for as long as needed. Again like short sterling, the Euribor curve went up in unison on the initial comments which gave some good opportunities to short the Spread, and later on they came off which gave some good profit potential. The volatility was immense so keeping the trading sizes small was the key as it was very easy to get it wrong. In fact I was initially caught short on the big move up and lost a bit but managed to make it back from after.

Tomorrow is Non Farm Payrolls, and this will be a big mover especially for Bonds as a good number would put the FED on notice for possible Tapering.

Below is my trade composition for the day:


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,...