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.