28/03/2014

tya 30min

Yesterdays hi is not far away so we could still reach 124.08 area today. Bunds failed to break beyond current contract hi. Made a good attempt in the morning but it was up to the short end to drive prices higher in the afternoon. Lots of talk of large Schatz buyer against US 2s. Skewed the curve a little into the close.....Is there someone out there who knows what Draghi is going to do in next weeks ECB meet?????
Bund 30min

Trend is your friend, can we stick around these levels and build a strong support base before breaking through 1.5%?
Plenty of data out this morning in Europe consumer confidence, economic sentiment & cpis. UK GDP could be a big influence. Yesterdays very strong UK retail sales was shrugged off after an initial spate of selling in the gilts the market turned higher.

€ curves
The late afternoon Schatz buying saw an uptick in curve spreads. The short term trend lower in line with the longer term lower trend means we have an opportunity to fade and sell Schatz v Bund & Schatz v Bobl. Providing the bund stays above 143.45/50 area this is a decent trade, would be more encouraging if we can see an early break up in the bunds past 144.00.

 

€ teds...Broken record, Schatz strength weighing on teds, I see that a long end rally would negate this in terms of curve. For the teds tho I don't see this as happening so I'm reluctant to fade the down move in Schatz ted. If the long end goes higher it will drag the Schatz higher not so sure the front Euribor will keep pace. Boblteds continue to behave nicely, although very tough to get filled as your competing with piggy backing algo Market makers(LOL, market makers)

Good Luck

 

 

27/03/2014

U.S. Treasuries finally popped above the post Yellen range. Decent 5 year auction helped the rally along with some poor stress test results for the U.S. banks.

 Bunds set the tone with an early drive to 143.44. Momentum with the upside now and would look to fade any move down 143.25 area today.

€ curve
The longer term trend wins out as we continue to flatten. Continue to fade any rallies in spreads Looking at the bunds to stay above 143. Bobl showing some strength, so the easier trend trade would be to sell schatz vs bobl although Selling bobl vs bund could offer value.

€ teds As the bund rally gathers pace, the bonds begin to outpace the Euribor....well at least that's what I would expect.. It hasn't really happened yet, just seeing signs that the Schatz ted could be turning over having reached the top of March range. Bobl teds doing as the say on the tin.....Sure the overall bobl strength is the factor here.

UK retail sales, and US GDP to look out for today.

25/03/2014

Yesterday was a bit weird. Overnight Eurodollars and bonds on their Yellen is a catalyst for a weak European open. Then we spend the whole trading day grinding higher through my 124.68 and 124.90 areas up to and currently 143.15.
Ten year 30min

bund 30 min

With month end & quarter end approaching, a possible rate cut next week and Russian situation still bubbling away I guess its prudent not to have too much of a "risk on" position just now.

€ curve
One way traffic from the open. Reinstating curve flattening as the way forward. In the short term I would fade this move if we see any fast rally from here in the bunds. The current grind is very hard to fade tho, so it might be wise to continue sitting on hands till we get the panic spike or a break below 142.90 in the bunds. Playing from steepener perspective I would buy spreads on a bund test of 142.90 with a tight stop and reverse.......Clear as mud! LOL, plan your trade, trade your plan. Been a tough month so its all about shekel retention.

 

€ teds.

Just to add to the weirdness for me in this up move we see short Euribor climbing higher quicker than the bonds. So maybe this is more rate cut than Russia uncertainty. Bobl teds still behaving nicely both sides of the range.

 

 

 

 

On the data front we have IFO at 9 then bunch of UK figures, main one to look for is CPI I think.

 

 

Good luck

 

24/03/2014

tya 24032014Strange start to the week. I'm still not aware of why the U.S. rates & bonds were so heavy overnight. Saw some ramblings about possible China fiscal stimulus.....I'm gonna consider the possibility that after a Friday cover of post Yellen positions, just to lighten the load into a weekend. We could have seen some uncertainty arise from the Russian sanctions. So Sunday night arrives and no war starting, lets just reinstate those hawkish positions.
U.S. 10 year 30min

The overnight market weighed heavily on the Eurex open we did see a little punch below 142.25 on the back of a stronger than expected French PMI. No one rushing to change positions after the German and European PMIs So its been up to Liikanen to remind us the Europe can still be cutting rates in the very near future.

Bund 30 min

I still expect 142.70ish to be the first test of any real upside move in the bunds.The real concern for bund bears is if we break above 142.90 area tho. Downside Support for me - 142.25(Honest I had it there previously),142.06 & 141.81.  

 

€ curve As we approach month end and quarter end the short term chart is a little mid range and I look to my bund levels to give me clues as to what I wanna play. Long term tho, testing the upper area of a downward trend. Should be cheap stops putting on longer term flatteners

 

€ teds Bobl ted nicely range bound, whilst Shcatz ted appears to be drifting in a downtrend short term. A bit "corridor of uncertainty" for the Schatz ted. I guess European rate cuts and big LTRO repayments keep the waters muddy on Bor front end direction. I'm likely to sit on hands here.

 

Good luck

 

Vernal Equinox Day

As the dust settles on little Yellens big mouth and we've all decided rates are going up half a year after QE has ended we can now enjoy a peaceful Friday. No data of any note (unless you trade Canadian stuff) Ukraine/Russia situation appears to have lost market impact but for some tit for tat sanctions. Hand bags at dawn!
Quadruple witching might throw up the odd burst of activity....but i won't hold my breath.
Oh & its Vernal Equinox Day in Japan, so we all have an excuse to chill, take stock of whats been going on and maybe reassess this years themes.
But for now I'm just gonna look at what I see today.

U.S. 10 year

I'm not sure the market has enough energy to break Post Yellen low today but the risk/reward does appear to be skewed towards fading rallies. I wont be doing that too aggressively until we test 123.19 I see 123.19 to 25 a reasonable spot for consolidation as shorts look to take profit.

Bund

Same story in bund. I see 142.68 as an area that could meet resistance, but as the bearish bond news is US driven there no reason why we can't break through that and test 142.90s.
€ curve

Impressive steepening this week has meant we have reached the top end of my longer term trend channel. Short term we have already given some of that back so I see us as mid rangey. Not an area here to put a position on in either direction.

 

€ teds

Bob teds nicely trading each side of the range whilst the Schatz ted has been heavily effected by the large steepening situation taking place. Schatz pulled down by general market moves whilst front Bor still has an eye on EUR rate cut....I'm likely to push the bor I use along a bit. Sep14 probably isnt going to move enough now.

fomc day 19/03/2014 hey Janet.

Uneventful Europe morning.
No Ukraine tape bombs.
Good bund auction taken in its stride.
Still on a fade bund rallies theme.

Ten Year 30min

 

bund 30min As I type this bonds start to make new lows on the day. I'm reluctant to step in front just here despite have a congestion area in bunds ~142.90. I'm not likely to position against this until we get down to 70....The speed that it makes it down there also to be considered. This slow grind is using no energy. I need to see some speed to the move, then watch for momentum to slow back down again.

Current down move I suspect is related to the budget with Gilts leading the way.

€ teds

Been trending lower, shortend story must be driving this as bonds off from fear buying but Bor seems to be drifting more so. However as the bonds now making new lows the bor stands still. So the move I expected yesterday is now happening. For a quick tic these maybe worth selling right now. Although short bor long bonds will not be a good starting point for this afternoons FOMC. So if I get any on I'll be aggressive in getting out.

 

 

€ curve, Current down move could give us a chance to place longer term bets on more curve flatteners, whilst short term trend is to continue steep. Obvious 10b taper likely to encourage more curve steepen. So I wont be selling these spreads infront of Fomc as any knee jerk over selling in long end could give better value.

 

Will be interesting to hear about the Forward guidance and what that does to the 14s 15s 16s in Eurodollar.

 I can't look at everything so here is a couple Eurodollar things i'll keep an eye on.

 

 

 

Good luck

 

 

 

 

 

 

 

 

 

 

 

 

18/03/2014

Crimea past military fears as the global economy turn to financial sanctions to tell off that naughty Putin. So bonds drift aimlessly with a slight weaker tone there is a clear eye on FOMC Wednesday evening.

Ten year 30min

 

bund 30min

I see plenty of room down for bunds but with another disappointing CPI and an ever strengthening currency the short end is likely to stay a little bid. Draghi may be dragging his heels but a rate cut must be coming.

€ curve

Timing and size are everything....Too much too early is frustrating at best, expensive at worst. I will look to fade bund rallies and put steepeners on small. The short term trend has clearly turned. Only time will tell if it can crack through the longer flattening trend.

 

€ teds

 

Look out for ZEW this morning. Along with listening for Russian rumblings obviously.

Good luck.

17/03/2014

Uncertain open in bunds today as we struggle to measure the impact of this weekends referendum on confidence. I think the outcome of the vote was not a surprise and therefore priced in. Nevertheless this is not a good thing for Goepolitical landscape so i feel risk off is the big play. This weeks FOMC will muddy that play quite some, With improving U.S. data and weather the fed at least will continue with taper. Next stop talk of rate rise!
Bund 30 min. Momentum has been heavy today we broke fridays low straight off but the rally to mid 50s was a bit of a curve ball. So far a failure to break 26 with any force today could signal a quiet mid range afternoon with a smattering of Russian sanctions thrown in to spook weak shorts out.

 

€ curve

Early strength in  the bobl has lead to an exaggerated up move in the bobl/bund spread. As it is in line with the 2s10s & 2s5s curve steepen it would be fool hardy to step infront of it....Unless hedging with a Schatz effectively putting on the Fly. Personally I'd like some bund rallies to fade into steepener positions.

€ teds

After the extreme FTQ bid in bonds and the failure to find any liquidity in the 17s expiry. I've decided to shuffle a bit in on bob teds. Some of the "risk Off" sentiment now dissipated. Ill start playing these from both sides looking for relative value again.

 

14/03/2014

U.S. tens has continued to drift higher since the Eurex close, only by a couple of tics but enough to ensure that bunds are likely to test above yesterdays hi early this am.

ty 30min

Dax appears to have been hit by the Ukraine situation harder than other indices which makes sense given the business ties Germany has with Russia.
Dax Daily

 

 

 Ukraine/Russia conflict, Chinese economy struggling and Japan not looking too good. Draghi starting to voice minor concerns regarding Euro strength all seem to amount to buying German bonds and Euribor.
bund 240min

I can imagine we'll get a pull back at some point maybe just ahead of Lavrov's meet with Kerry. If nothing solid is dealt with during these talks make sure you're not selling bunds for the weekend!

We also do have some data to contend with. Ger CPI, EUR employment change this am before  US PPI & Michigan Consumer Sentiment. US data has started to shrug off the spectre of Polar Vortex  so these may give some respite to the up moves in bonds. (probably good opportunities to buy dips!)

 Bund 30min

 

€ curve

As you would expect, lots of aggressive flattening. If my memory serves me correct tho these type events do usually see more aggressive buying in bobl. This clearly hasn't happened as the bobl/bund spread has flattened quite a bit and previous lows are in sight. If i buy any of these spreads today it will only be on the back of a huge bund up spike......And I'll be making sure i'm out very quickly. That said. I wont be adding to any short spreads without a significant pullback. This all despite Draghi's semi Dovish tone last night.

 

 

€ teds,  shortend teds begin to come under pressure as expected during these occurrences. Draghi concerns about FX has added a little support to the Euribor. So the down move has been relatively gentle. In the back reds and greens we are witnessing quite some strength versus Bobl. I guess the lack of liquidity has meant that the bids are chasing very nervous offers. Can't see a market maker offer for miles!

 

Good luck

 

13/03/2014

 

Bund 240 min,

No improvement in Russia situation and the drama in New York building collapse all add up to bonds higher yesterday.

 

 

So the momentum is still higher right now. Look for around 68s for first strong support but could also see minor around 78/81 area.

Resistance could be around 143.14 then 26. ECB monthly report could be influential today...especially on curve trades.

With the up move in bonds yesterday we witnessed the 5s10s follow in the flattening trend although it still hasn't reached its lows of early march whilst 2s5s & 2s10s are making new ones. I see the Schatz has not yet recovered from the big sell off post ECB meet last week.

Euribor on the other hand seems to have shrugged that disappointment off quite impressively. As Teds continue in their up trend...particularly in the greens vs bobl.

I feel that the Bobl teds appear at the peak of the up trend which is quite impressive in the context of the bond up move.

Host of U.S. data to look forward too this afternoon. So we might get action especially if bonds continue to move up for new highs.

12/03/2014

bunds
Choppy mid range...ECB members commenting on market "misinterpreting" last rate conference gave a bid tone in the late morning just as the Ukraine news started to lose its FTQ bid.
These comments helped the bund to make a hi of 142.68. However no attempt was made at filling the 6th march opening gap to 74.
Bund 30 min

Despite being someway from its highs the bund is still in an uptrend long term, in the mid term the trend was clearly lower since making the high on the 3rd. Short term is very choppy just now so we are at an interesting point as the 2 trend start to meet.

 

bund 240 min

 

€ curve

Only 2s5s appears to be in strong trend, both long term and short term charts trending lower.

2s10s long term still lower although the shorter timeframe shows plenty more sideways chop. Whilst 5s10s has bounced quite someway from low and on both timeframes looking midrange.

€ teds

After modays higher ltro repayments and fixings gave dip buying a scare especially after no rate cut on Thursday. Since then its been biz as usual as the uptrend had reasserted its self.

Ukraine issues still not over so maintaining a tight defence on any ted longs or bond steepeners.

 

BTP/BUND spread on bottom of uptrend moving average right now..After early march push higher I wouldnt be surprised if this has a minor correction. It would scare my dip buying approach to teds tho.

Schatz auction should be worth watching today. French non farm, Spanish & Portugal CPI and EUR Industrial Production all out this morning.

Nothing of any note US this afternoon tho.

SnP showed a moment of weakness yesterday. Keep an eye on that this afternoon.