27/08/2014

US tens have drifted off of lows overnight so I expect bunds to open around the 151.00 area, which means we wont be far from this weeks 151.09 hi.
Off the Eurex open is Gfk Consumer confidence and EUR import price index. Nothing too market impacting...Confidence is not high and there is growing sentiment that extra EUR stimulus is on the way.
After the bank holiday stop ups in European fixed income yesterday saw a minor consolidation. I expect we will see any downside brief and shallow this week as we prepare for the summer to end and get back to real volumes and activity for September.
Big question for us is - How will Draghi's asset purchase plan work???

EU curve. Only one direction(sorry)

Large stops in Schatz on Monday could have given you an opportunity to sell 2s5s...Its the one curve trade not on all time lows as Bobl appears to lack the upwards vigour of bunds and Schatz. In general tho I see these curves only continue to flatten. Although BTP's and OAT's
 may offer better value than bunds to buy.
 BTP-BUND spread

Teds
In keeping with strong stuimulus view the teds to continue to look strong. Look for stops in the bonds to give value in buying ted dips.....That said Euribor trading is drying up not much 2 way flow. So patience will be important.

Good luck
L

07/05/2014

No negativity out of Ukraine so the bid in bonds appears a little laboured. In fact we might well have been lower but for a poor performance of equities.
Decent Pmi numbers out of Europe and the UK lead the short end lower. Talk of UK acting to curb property bubble saw Short Sterling sold off heavily.


Bund 240 min

 

Bund 30min

US 10year Slightly higher over night. Should see the bunds test yesterdays high early this morning.

 

€ curve

 

I think Ger bond curve followed the Euribor yesterday morning as the front end got slammed on liquidity lower & maybe some hint of no rate hike this week given the PMI positives.

All positives so we witness peripheral bond tightening to German 10 year.

 

 

€ teds

 

With the positive credit situation in bonds I favour buying teds.....Once the liquidity story dissipates. But with ECB meeting around the corner and no reason for action I'd be careful of long Euribor especially whilst Ukraine still ignites buying in the bonds. I guess its just a case of which part of the Bor curve to trade versus which part of bond curve in the end.

 Theres a Bobl auction today. Could have a short term effect on boblteds & curve trades.

 

Will Yellen say anything of note this afternoon???

 

 

Good luck

 

 

 

 

 

 

24/04/2014

 

Ten year 30min

Largely ignoring the Euro fun today so far.

 

 

Bund 30min

Post Draghi comments (more of his"we have tools and arnt afraid to use them") saw a reversal of Nowotny's more hawkish comments last night coupled with positive IFO - Business climate 111.2 versus 110.5 expected . Brief rally back to 83s before dropping again, if we can get back above it we may see new highs for the week.

Bund 240min

 

€ curve...

Very choppy, light volume making execution risky along with contradictory ecb rhetoric! Bobl is being the main influence today after talk of yesterdays very large swap seller in that area.

 

€ teds

Back end bor doing a remarkable job of holding its correlation to the bonds whilst this down move see some slight strength of the fronts against Schatz.



Durable goods and Initial jobless to make sure todays fun continues.


Lee

23/04/2014

Very balanced day yesterday. Tested thru Thursdays low after a failed push up to 143.99 in the bunds. No news or data had an impact yesterday so it was just down good old fashioned dicking about.
JPM Treasury survey showed more net shorts...That has to be a warning for bond bears we seem to rally after these are released but the chart does look a little heavy to me.

10yr 30min

 

Bund 30min

Favour the downside whilst we stay below yesterdays hi but with very little conviction. Probably get better reward shorting US tens.

€ curve

Short term instant gratification in buying dips, but with tight stops as the big picture is still lower.

 

€ teds

Whatever form QE takes I think it will be credit positive. So happier to run longs whilst more aggressive in taking profit on shorts. 

 

Eu PMI today and BOE rate announcement (not that anything is expected)

 

Good luck

L

 

 

 

 

 

22/04/2014

A very slow day back from extended weekend.
I saw Thursdays bond sell off as optimism driven by Geneva talks on a deal to settle the Eastern Ukraine Hullabaloo. Some of the long end war premium coming out if you like.
Despite some skirmishes after the Geneva agreement not much reinstating of those long end positions occurred on Sunday nights Treasury market. Monday was dead too, so we looked forward to the European open to stir up some interest.

Well Bunds opened too high for me to be an aggressive buyer and didn't rally nearly enough for me to be short.


Ten year 30min

As I type this the U.S. 10s are beginning to test Thursdays low areas. No negative news out so main focus will be on FOMC next week. Last weeks shaky S&P price action has been shaken off so we can get back to the BTFD plan whilst we make a concerted effort to make new all time highs before the next Taper.
Mini S&P 240min

 

In Europe there is continued attempts by ECB members to talk the markets into doing their dirty work. Enabling them to actually do nothing at all. Just as long as we don't buy EURUSD above 140 we are ok. At some point someone is going to stick it to Draghi and his cry wolf! So best he either cuts rates or starts QE (in one way shape or form).

 

EURUSD cme fx futures 240min

 

In truth, I'm a little puzzled by the Euro strength. Maybe I haven't considered the real long term issues....answers on a postcard please.

 

 

Bund 30min

 

As the more proficient technical analysts have pointed out. Bund looks heavy. In my mind tho we needed to balance Thursdays sell off before looking lower. We have done that this morning so a break of pre Easter lower is likely. Especially if the US has anything to do with it. Being short outright bunds tho will always carry the danger of more QE BS from ECB members.

 

€ curve, Short term all eurex bond curves trading around the top of range. If bunds break lower we will see these continue to trend higher and maybe test the upper areas of the longer term down trend channel.

 

Whilst talk is still about loose measures in Europe I'm inclined to follow the long term down trend. Look to fade any large up moves in the spreads & run tighter stops on any dip buying.

 

€ teds

 

Bobl teds have continued to be well behaved, Schatz teds have pretty much done as expected too. As we draw closer to QE tho the shape of QE will be a large influence on teds so I'm keeping it light and agile in this arena.

 

Will try harder and be a more consistent poster. Although I sort of do this to have some form of accountability to my own trades. When I don't post its coz I'm "micro-trading" this stuff......And that is never a good thing, Unless you're my clearer!

 

Be luck

Lee

 

 

 

NFP friday

As the dust settles on ECB rate conference a QE type of affair appears to be looming closer. Maybe a rate cut too if inflation doesn't pick up soon.
With U.S. in taper mode the ten year showed very little sign of buying interest in front of non farm payrolls, so I'm gonna stick my neck out on the line and say new low for these today providing the data isn't terrible.
ty 30 min

Bund 30 min

After a breif post presser rally in bunds (influenced by the shorter end I think) this morning we are back to drifting lower. It will be interesting to see if we can break 142.60 again before the US employment data. I'm looking for bunds to get to that 142.40 region.

€ curve

 

Long term  these have now turned bullish and I feel comfortable buying dips. Bobl feels particularly strong.

 

 

€ teds

 

 

The prospect of more easing has light a fire under the Euribors right now & the reds and greens have been very strong....Especially considering the strength of the bobl vs othe eurex bonds. I'm reluctant to go against this trend just now.....Also wouldn't see any value buying them without considerable pullback. Sitting on hands and wait for a range to establish again.

 

EURUSD (CME fx futures jun14) 30min

 

The Draghi comments had the desired effect weakening the Euro. Whilst the investors of Eurostoxx 50 showed their approval after a the initial unch release blip.

 

 

Good luck

Lee

 

02/04/2014

TY 30min

A failure for 10s to get back into a 124. handle before the end of March sees an optimistic "risk on" start to April. Long end is now revisiting the FOMC lows after a brief spell of profit taking from Steepener positions.
This is ECB week, based on what Draghi has said in recent weeks I'm going for an unchanged on Thursday. Despite all the member chatter re QE and other tools, CPI wasn't bad enough to justify any immediate action and the member chatter is doing a decent enough job of weighing on the Euro when it gets buoyant.

Bund 30 min

This morning has seen us head for recent lows. I for one will not be considering going against this move until we test 142.90 area. Reasonable data out today that could influence direction around that level includes Eu gdp & from the US adp.


€ curve

 

Long term momentum has started to turn on Schatz related curve. Short term is very "buy the dips" plan at the mo. As Euro data improves( or just doesn't get worse) rate cut and special measures talk disappear. So on a rates front we look more at the US & UK for drivers. This will only add to steepener tone to curves. Don't get me wrong Europe is not out of the woods I just sense longer we go without any bumps in the road the more German Finance minister Shaeuble comments will spread through to ECB member voices. ECB will have to raise rates at some point.

€ teds

With the long end weaker the Schatz teds resume their trend higher...This despite the Euribor feeling rather heavy right now as rate cut bets get taken out. Doesn't look like too many wanna be long into Thursday. Bobl teds been in the sweet spot zone for a month now. Nice range trading to be had providing you're patient. Execution is tricky as we are all watching the same movie

 

 

Bobl Auction out this morning, could influence bobl/bund temporarily.

 

Good luck.

Lee