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ZF, 5-Year T-Notes notes
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ZF, 5-Year T-Notes notes

  #21 (permalink)
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ZFH6 5 Year T-Notes Week of Feb 8-12

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  • At the end of last week I noted that if the 5 year extends above the balance high of 121'7.75 I'd like to see some volume build here for a continuation even higher. After the close of NYSE Tuesday we've seen just that. I however think this could be a temporary high and the high of the week firmly in place.
  • Prices rose strong Monday but the spike we saw after hours above 121'18s was just a puff of smoke. Nothing really traded up there and as we have witnessed today prices came right back down in the morning.
  • Sellers were more aggressive today than what we've seen recently (seen on the Cumulative Delta) but buyers put a floor in @ the 121'15s. This level could hold going into tomorrow but I have the feeling that the bids here might pull and we'll see a drop in price.
  • Regardless of what may happen, trading is in a bit of a balance phase up here and we have strong volume being traded around 121'17.00. Im seeing this price action as some resistance at the moment.


I'd love to hear some thoughts on the 5 year or any Treasuries!
- Alexander

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  #22 (permalink)
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RielA View Post
ZFH6 5 Year T-Notes Week of Feb 8-12

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  • At the end of last week I noted that if the 5 year extends above the balance high of 121'7.75 I'd like to see some volume build here for a continuation even higher. After the close of NYSE Tuesday we've seen just that. I however think this could be a temporary high and the high of the week firmly in place.
  • Prices rose strong Monday but the spike we saw after hours above 121'18s was just a puff of smoke. Nothing really traded up there and as we have witnessed today prices came right back down in the morning.
  • Sellers were more aggressive today than what we've seen recently (seen on the Cumulative Delta) but buyers put a floor in @ the 121'15s. This level could hold going into tomorrow but I have the feeling that the bids here might pull and we'll see a drop in price.
  • Regardless of what may happen, trading is in a bit of a balance phase up here and we have strong volume being traded around 121'17.00. Im seeing this price action as some resistance at the moment.


I'd love to hear some thoughts on the 5 year or any Treasuries!
- Alexander

Keep up this great work! It takes a bit for a thread to really take hold. Once I return from vacation I will be posting about ZF and ZN even ZB a ton as well as over all market.

Just curious have you considered becoming an Elite member of FIO one of the best trades one can make?

Ron

It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
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  #23 (permalink)
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ZFH6 5 Year T-Notes Week of Feb 15-19

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  • Minutes: The lack of economic performance globally has slowed anticipated inflation levels in the US, leaving the chances of more rate hikes unlikely at this time.
  • Prices have fallen to the lower end of February's balance along with the 10s and 30s. I still expect the lack of performance in the US stock market will keep us at these higher prices.
  • Id consider the uptrend, or a more bullish outlook, resumed if prices can punch above 121'23-25s. Note that this is short term outlook for the rest of the month.


- Alexander

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  #24 (permalink)
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From 1988 to 1995 I was VERY successful. After '95 through 2000 I was unsuccessful by my own standards at the time (mid 6 figures but that was a pretty big decline in performance). After 2000 I pretty much lost the ability to make money in the pit and I left for the screen in mid '02. By '04 I was making some money again but then automation really took hold and made it pretty tough to make money. Execution was the problem, not trading ideas. I was trading mostly the NOB using TT autospreader but about half the time it would miss a leg and I'd either lose money or really scramble just to scratch the trade.

Greetings. I'm an energy trader not a Bond trader but I like to continually learn as much as I can about every market, hence I found myself reading this thread and particularly found your post interesting. As such I know what NOBs are but have never traded them. I do trade a large amount of energy spreads, and butterflies though, which made me think. Did you ever look at trading NOB Butterflies?

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  #25 (permalink)
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SMCJB View Post
Greetings. I'm an energy trader not a Bond trader but I like to continually learn as much as I can about every market, hence I found myself reading this thread and particularly found your post interesting. As such I know what NOBs are but have never traded them. I do trade a large amount of energy spreads, and butterflies though, which made me think. Did you ever look at trading NOB Butterflies?

Okay answering my own question. Should have looked at this before I ask. Both ZF and ZN only have 3 listed months and only 2 of those have liquidity, hence Butterflies arent viable. Too used to trading energy where we have dozens of listed months.

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  #26 (permalink)
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ZFH6 5 Year T Notes Feb 21
Going into the last full trading week of the month.

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  • Looking at the longer term chart on the right, it's clear that for the moment prices are in balance. Im expecting prices to range from the first major support zone around 120'125s up to the Monthly DVAH around 121'17s.
  • A change in market sentiment would require a break out of this balance.
  • US GDP at the end of the week. 0.4% increase revised from an initial of 0.7%. Equities may take this negatively. If stocks fall off a bit this week i'll still expect Treasuries to hold in this higher balance area
  • As the premise of the Fed increasing rates any further in a slowing economy seeming more unlikely, and the idea of a "risk off" trade occurring with money leaving the stock market and potentially flowing into bonds. This all looks bullish for Treasury prices at the moment.


- Alexander

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  #27 (permalink)
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Turning out to be in love with all 4 interest rate CME products..... ZF ZN ZB and ZT. After some brief study I find they all move so well in sync I will be doing research on all 4 now. I would have guess as much but never took a hard look....shame on me....lol

Ron

It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
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  #28 (permalink)
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Blash View Post
After some brief study I find they all move so well in sync I will be doing research on all 4 now.

Yes, courtesy of arbitrage algos.... same thing that's been happening on Eurex... I read somewhere that before algos you could buy one of them (the slower one) when the other moved... and then wait for the one you bought to move as well.... it was basically free money, until the algos that is... now they keep most correlated products pretty much in sync, which I understand can have its advantages anyway.

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  #29 (permalink)
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xplorer View Post
Yes, courtesy of arbitrage algos....

Before the Algo's it was the locals.. same process different people.

xplorer View Post
I read somewhere that before algos you could buy one of them (the slower one) when the other moved... and then wait for the one you bought to move as well.... it was basically free money

Still can and still is. Difference is now it's a single tick profit (maybe two depending on the move) in milliseconds instead of a handlful of ticks in seconds.

This is more pronounced in contracts like energies, where there are dozens of forward months. Hence there are front-to-back's to keep in line as well as inter-commodity spreads like Brent-WTI, Crack Spreads etc etc.

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  #30 (permalink)
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The high correlation between all three is nice for anticipation of breakouts or downs. Technically for example, when watching a swing high or low if prices are going to break through, all three will do it at once. Quite literally you can watch them all line up on the DOM someday's when its really obvious. If one holds back, typically either the 30 or the 5 then its potentially a false break.

There is also a difference in velocity as well. Aside from the breakouts I mentioned earlier if 2/3 of the Treasuries are doing something its quite likely the 3rd will follow as opposed to holding the other 2 back. I usually see this with the 5's and 30's, again its likely spreading going on between shorter and long term rates.

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