NexusFi: Find Your Edge


Home Menu

 





Refunding auctions start today


Discussion in Treasury Notes and Bonds

Updated
      Top Posters
    1. looks_one jstnbrg with 14 posts (26 thanks)
    2. looks_two Fat Tails with 11 posts (10 thanks)
    3. looks_3 sam028 with 1 posts (0 thanks)
    4. looks_4 redratsal with 1 posts (0 thanks)
    1. trending_up 8,446 views
    2. thumb_up 36 thanks given
    3. group 4 followers
    1. forum 26 posts
    2. attach_file 15 attachments




 
Search this Thread

Refunding auctions start today

  #21 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


jstnbrg View Post
Here's the final update, all non TIPS coupon auction results from 2008 to 2011. The dates are all proofread, the numbers are not. The dates are what are most important IMO.

Thank you very much.

I will see what I can do with this. First thing to do is to start with the dates and see if there is any regularity prior to, during and after the auctions.

If your assumption that the prime dealers go short prior to the auctions, then load up during the auctions and finally get rid of the stuff after the auctions is true, this can be certainly detected.

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
NexusFi Journal Challenge - April 2024
Feedback and Announcements
ZombieSqueeze
Platforms and Indicators
Request for MACD with option to use different MAs for fa …
NinjaTrader
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Retail Trading As An Industry
58 thanks
Battlestations: Show us your trading desks!
50 thanks
NexusFi site changelog and issues/problem reporting
47 thanks
GFIs1 1 DAX trade per day journal
31 thanks
What percentage per day is possible? [Poll]
31 thanks

  #22 (permalink)
 jstnbrg 
Chicago, Illinois
 
Experience: Advanced
Platform: Ninjatrader, TT, InvestorRT
Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 911


Fat Tails View Post
Thank you very much.

If your assumption that the prime dealers go short prior to the auctions, then load up during the auctions and finally get rid of the stuff after the auctions is true, this can be certainly detected.

It's sure what I would do. I don't think I'd have much choice.

This probably goes without saying but I'll say it anyway: there should be a control period. For example, assuming there is a bias on auction days, you would need to look at similar time periods on non-auction days to make sure you weren't just seeing a general directional bias in the market.

"You don't need a weatherman to know which way the wind blows..."
Visit my NexusFi Trade Journal Started this thread Reply With Quote
The following user says Thank You to jstnbrg for this post:
  #23 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


I have subscribed to a free RSS feed at TreasuryDirect, so my browser will automatically alert me if the results of the treasury auctions are announced

The subscription includes a linkto the document below, which shows today's results.

The question is, whether there is an useful information that can be retrieved from the result, such as the amount tendered and the bid-to cover ratio. For me USD 35,000,000,000 looks seems a respectable amount for a single auction.

Who is going to repay? Foreign bond holders?

Attached Thumbnails
Refunding auctions start today-r_20110125_2.pdf  
Reply With Quote
The following user says Thank You to Fat Tails for this post:
  #24 (permalink)
 jstnbrg 
Chicago, Illinois
 
Experience: Advanced
Platform: Ninjatrader, TT, InvestorRT
Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 911


Fat Tails View Post

Who is going to repay? Foreign bond holders?

I'm not sure I understand the question, but I'll take it at face value. The US is borrowing $35 billion in this auction. In two years, most likely the US will just borrow it again, plus whatever else we need to borrow, since we don't seem to be willing to either cut spending or increase taxes or both.

I do not have a problem with running big deficits when on the brink of a depression, which I believe we were, especially when asset prices are deflating. The problem is that we do not currently have the political will to deal with our structural problems when times are good. We should be running surpluses when the economy is strong. Also in this country "tax" has become a dirty word no matter what value one may be receiving for taxes paid. Everyone here seems to want something for nothing.

"You don't need a weatherman to know which way the wind blows..."
Visit my NexusFi Trade Journal Started this thread Reply With Quote
The following user says Thank You to jstnbrg for this post:
  #25 (permalink)
 
redratsal's Avatar
 redratsal 
Milan (I)
 
Experience: Advanced
Platform: Ninjatrader
Broker: Kinetick
Trading: FDAX,6E,CL,YM,NQ,ES
Posts: 1,648 since Oct 2010
Thanks Given: 1,215
Thanks Received: 2,090

U.S. National Debt Clock : Real Time

Visit my NexusFi Trade Journal Reply With Quote
  #26 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102

Results of yesterday's auction and updated auction calendar for the coming auction attached. The most important thing to know is the auctions calendar, as this will have an impact on trading during that week. The auction calendar can be downloaded here:

https://www.treasury.gov/resource-center/data-chart-center/quarterly-refunding/Documents/auctions.pdf

Auction results are available here, so I will not post them again.

Institutional - Previous Announcements and Results

Attached Thumbnails
Refunding auctions start today-r_20110126_2.pdf   Refunding auctions start today-auctionscalendar.pdf  
Reply With Quote
  #27 (permalink)
 jstnbrg 
Chicago, Illinois
 
Experience: Advanced
Platform: Ninjatrader, TT, InvestorRT
Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 911

Based on price action before the ten year auction, I think this one is going to go well.

"You don't need a weatherman to know which way the wind blows..."
Visit my NexusFi Trade Journal Started this thread Reply With Quote





Last Updated on February 9, 2011


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts