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Any suggestions on time for Opening Range on US Treasuries?
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Any suggestions on time for Opening Range on US Treasuries?

  #1 (permalink)
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Any suggestions on time for Opening Range on US Treasuries?

I was wondering if anyone had suggestions as to what time to use for the Opening Range (OR) on US Treasuries (ZB, ZN and ZF)? When there was an 8:20 am EST (7:30 am Chicago time) opening for the pits this was easy to determine. Since there is no longer pit trading on outright treasury futures, what do people suggest using for the start for the OR?

I would appreciate any suggestions.

Ned

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  #3 (permalink)
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Hello,

I would use 7:30am (Chicago/Central time) as that's when volume really picks up each morning.


Best wishes,


Joe

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Opening Range (OR) on US Treasuries


Nedster View Post
I was wondering if anyone had suggestions as to what time to use for the Opening Range (OR) on US Treasuries (ZB, ZN and ZF)? When there was an 8:20 am EST (7:30 am Chicago time) opening for the pits this was easy to determine. Since there is no longer pit trading on outright treasury futures, what do people suggest using for the start for the OR?

I would appreciate any suggestions.

Ned

The CBOE ["Chicago Board Options Exchange"] still adhere to the "old" Pit session times because they still have an "Open Outcry" session today.
[There is talk of doing away with the Options Pit, but I haven't seen a definitive date yet.]

You can view the schedule for the 30-Yr US T-Bond Options on the CME's website at this link.

If the Open Outcry session for the Treasuries Options is still using 07:20 Central Time for their Open and 02:00pm Central Time for their Close it would follow that the Opening you are looking for would correlate to the same time in the related Futures contracts.

***NOTE***
The CBOE is also the "source" for the related "Rates" quoted in relation to the Treasuries.
[5-Yr ^FVX, 10-Yr ^TNX, 30-Yr ^TYX etc.,]
The Rates quotes are available in real-time for the Open Outcry session "Only" during the times mentioned in the timetable above.


Trade well,
TGN

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@Nedster, what are you planning on using the opening range for? I ask because there's no official right answer, and the value you might hope to get out of this information may well depend on how you ultimately choose to define or apply it.

Many futures traders will argue that the very concept of an opening range is much less relevant in Treasuries as it is in, say ES, where there's a huge volume spike when the opening bell rings. Indeed, most of the volume in treasuries trades in the cash market (over the counter), which doesn't have an official "open" or "close" and trades continually as long as brokers' desks are staffed (the brokertec screens runs 23 hours a day).

And while there is often a visible volume spike at 8:30 Eastern time when economic data is released (payrolls, retail sales, CPI, etc), that tends to be more data-dependent than exchange or time-dependent.

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Nedster View Post
I was wondering if anyone had suggestions as to what time to use for the Opening Range (OR) on US Treasuries (ZB, ZN and ZF)? When there was an 8:20 am EST (7:30 am Chicago time) opening for the pits this was easy to determine. Since there is no longer pit trading on outright treasury futures, what do people suggest using for the start for the OR?

I would appreciate any suggestions.

Ned

I have done a fair bit of backtesting (not exhaustive but sufficient) over the last few years on opening range trades. About once a year I get curious and do some testing over the previous 12 months across many products and varying OR start times and lengths. Any good results I have popped out of my backtests have been due to fitting and are not robust. YMMV, and perhaps you have some magic exit logic that I haven't thought up, but that's one algo trader's results for ya. My opinion is that the premise behind OR trading has died for 24hr markets.

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My opinion is that the premise behind OR trading has died for 24hr markets.

That has generally been my opinion as well, but in ES, for example, where there's a very distinct volume spike in those first few minutes of the cash session I do still see some potential value. Why? Well if there's a well-known time and place where large players can find the liquidity they need to put on a big position, then it's well worth paying attention to. In rates, however, liquidity is there almost 24/7.

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read toby crabels book on the opening range linda rashke will discuss it in her webinar too

i use 7.20.....to 7.35

7.20 to 8.20


why? i am guessing here thats the way things WAS/ are done in zbarrow world

enjoy the we/end


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For opening range trading in U.S. based markets, work off the official opening time for the contract traded.

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