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zb daily
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Created: by tbondtrader Attachments:356

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zb daily

 
Elite Member
Houston, Texas, USA
 
Trading Experience: Intermediate
Platform: Dorman
Favorite Futures: ZB, ZN
 
dano0726's Avatar
 
Posts: 25 since Nov 2010
Thanks: 0 given, 21 received

Nominal Equivalent Yields for ZN/ZB Prices

Rico:

PM me, and I'll send you both Excel spreadsheets...it's a little Old School (from my MBA days), but you can convert the ZB/ZN prices to yields to approximate any yield you want. It's close enough for my kind of trading...

Your CTD computation is/was somewhere on the old CBOT website -- it's gotta be somewhere (CMEgroup.com?) on the 'net to download...

Dano

 
 
Elite Member
Houston, Texas, USA
 
Trading Experience: Intermediate
Platform: Dorman
Favorite Futures: ZB, ZN
 
dano0726's Avatar
 
Posts: 25 since Nov 2010
Thanks: 0 given, 21 received

Old School ZN/ZB Yield Spreadsheets

NPV of Treasury Note.xls

NPV of Treasury Bond.xls

The following 5 users say Thank You to dano0726 for this post:
 
 
Elite Member
Houston, Texas, USA
 
Trading Experience: Intermediate
Platform: Dorman
Favorite Futures: ZB, ZN
 
dano0726's Avatar
 
Posts: 25 since Nov 2010
Thanks: 0 given, 21 received

ZB/ZN


Chop, Chop, Chop said ZB/ZN this morning..........you retracement traders are catching the falling knife today. Triple tops and quadraple bottoms

Closin' up shop until afternoon when everybody goes Weekend Flat.

 
 
Elite Member
detroit, mi
 
Trading Experience: Intermediate
Platform: nt
Broker/Data: IB
Favorite Futures: CL
 
rico42's Avatar
 
Posts: 80 since Jan 2012
Thanks: 61 given, 51 received

DV01's for ZN (TY symbol on open outcry)

updated daily with prior-day info:

Treasury Futures Empirical Duration Tool

The following user says Thank You to rico42 for this post:
 
 
Zb Trader
midwest
 
Trading Experience: Intermediate
Platform: ninja trader+tws
Broker/Data: amp/cqg
Favorite Futures: zb and es
 
tbondtrader's Avatar
 
Posts: 424 since Jul 2009
Thanks: 916 given, 460 received

zb 5 min

this is what zb looks like on smaller timeframe.........enjoy....

Attached Thumbnails
zb daily-zb-06-12-5-min-4_17_2012-projection.jpg  
 
 
Elite Member
Houston, Texas, USA
 
Trading Experience: Intermediate
Platform: Dorman
Favorite Futures: ZB, ZN
 
dano0726's Avatar
 
Posts: 25 since Nov 2010
Thanks: 0 given, 21 received

ZBM12 since Feb-2012

Here is the ZBM12 longer term perspective (since late Feb-2012)...approaching the life-of-contract high

Attached Files
Register to download File Type: docx ZBM12 on 20120417.docx (13.7 KB, 24 views)
 
 
Zb Trader
midwest
 
Trading Experience: Intermediate
Platform: ninja trader+tws
Broker/Data: amp/cqg
Favorite Futures: zb and es
 
tbondtrader's Avatar
 
Posts: 424 since Jul 2009
Thanks: 916 given, 460 received

zb 5 minute final picture

all you need is 3ticks



enjoy

Attached Thumbnails
zb daily-zb-06-12-5-min-4_17_2012-final2.jpg  
 
 
Zb Trader
midwest
 
Trading Experience: Intermediate
Platform: ninja trader+tws
Broker/Data: amp/cqg
Favorite Futures: zb and es
 
tbondtrader's Avatar
 
Posts: 424 since Jul 2009
Thanks: 916 given, 460 received

30MIN ZB CHARTS POSS PATHS

POSSIBLE paths........

Attached Thumbnails
zb daily-zb-06-12-30-min-5_1_2012-possible-paths.jpg  
The following user says Thank You to tbondtrader for this post:
 
 
Zb Trader
midwest
 
Trading Experience: Intermediate
Platform: ninja trader+tws
Broker/Data: amp/cqg
Favorite Futures: zb and es
 
tbondtrader's Avatar
 
Posts: 424 since Jul 2009
Thanks: 916 given, 460 received

followup 30min zb part 2

reports tomorrow /thursday.. and ..friday ...the mkt will"should" have increase in daily range

Attached Thumbnails
zb daily-zb-06-12-30-min-5_2_2012-arrows.jpg  
 
 
Elite Member
Houston, Texas, USA
 
Trading Experience: Intermediate
Platform: Dorman
Favorite Futures: ZB, ZN
 
dano0726's Avatar
 
Posts: 25 since Nov 2010
Thanks: 0 given, 21 received

Average Daily Range for ZB


tbondtrader -- do you calculate/track the ZB average daily range? ZB is giving me flashbacks to 2006 (or 2007) when we had 8-10 ticks for an entire day (I'm probably exaggerating some....) I don't have my charts/calculations on me now, just thinking the choppy action is getting more concentrated.


 



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