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Bond "Bubble" discussion 2012
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Created: by GridKing Attachments:10

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Bond "Bubble" discussion 2012

  #21 (permalink)
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drop today

Nice drop today with the meeting notes release from the Fed. I thought about taking some profits off the table after scaling into a ZN short over the last week but we might see a bit of a sell-off next week depending on employment numbers for March. Maybe the market isn't entirely convinced QE3 is off the table and still giving it a 50/50?

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  #22 (permalink)
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zn contract

GK -

I've started scaling into a SHORT position on ZN that will be a longer-term trade that I'll start to unwind as 10-year rates approach 3.5% - hopefully later this year. I am betting that an improving (albeit slowly) economy will put and end to lingering hopes of QE3 at some point and that prices will start heading lower once the Fed stops their efforts to flatten the yield curve with op twist (due end of June), etc.

I don't have a crystal ball but it seems like we are fairly close to a floor on the 10-year with yields around 2.2% and core inflation at the same level... A black swan event (or combination of events) could push rates back to a century low of 1.7% but to me that would seem to present a great opportunity to scale into the trade since you can quantify your downside (one of the tails is capped). Real rates can go into negative territory but how much?

Timing of course if tricky but as long as you roll the contracts the right way and have a stomach for the potential DD then I think this is a good opp. I also need to look into ZB to see if I should incorporate into this strategy?

BTW, do you have a reference site where you look up/confirm DV01's for different contracts or do you calc on your own?

Rico


Last edited by rico42; April 5th, 2012 at 10:45 PM.
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  #23 (permalink)
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Bond vigilante - Wikipedia, the free encyclopedia

http://www.barbicanconsulting.co.uk/bpv

http://www.cbe.wwu.edu/hall/MBA542/valuation_of_bonds.htm

http://www.ehow.com/how_5135437_calculate-dv.html

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Last edited by GridKing; April 28th, 2012 at 03:40 PM.
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  #24 (permalink)
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Still have a lot of flow into bonds ,"U.S. Bond Flows Strong as Investors Exit Europe"

U.S. Bond Flows Strong as Investors Exit Europe - Income Investing - Barrons.com


Quoting 
Fixed income investors huddled closer to US fund groups during the week ending April 25, with nine out of every 10 dollars they committed going to US Bond Funds, as they waited to see if Europe’s debt crisis will flare up again in one of the continent’s bigger markets. High Yield Bond Funds did pull in over $1 billion for the 12th time in the 17 weeks YTD, but all of that money went to funds focusing on US debt.

The one exception was Emerging Market Bond Funds, which pulled in a health $540 million for the week with Hard Currency Funds absorbing twice the fresh money as their local currency counterparts.

Europe Bond Funds had their worst week since early December as the prospect of socialist Francois Hollande as France’s president and the collapse of the Dutch government fueled fears that Europe will veer away from the reforms needed to get its debt crisis under control. Dedicated UK and Germany Bond Funds did extend their inflow streaks to five consecutive weeks but Global Bond Funds, which on average allocate over a third of their portfolios to Developed Europe, posted outflows for the first time this year.

Maybe summer will be ripe , see if get's another leg up and after equities correction?



Monthly

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Last edited by GridKing; April 28th, 2012 at 03:57 PM.
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  #25 (permalink)
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Bonds keep on going up and those that fight the trend are losing a lot of money, PIMCO is one, for a second time.

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http://www.mcoscillator.com/learning_center/weekly_chart/full-on_panic_into_t-bonds/

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  #27 (permalink)
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Dr. Doom


Bloomberg Video

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  #28 (permalink)
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Bond Bubble Dismissed as Low Yields Echo Pimco?s New Normal - Bloomberg

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StreetInsider.com - Bond Bubble Threatens to Destroy U.S. Financial System

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