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Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
Thanks Received: 4,518
What I have anecdotal evidence for and research slated coming soon is for all 4, ZB ZF ZN and ZT regarding the gap and OIR OOR if 1 of the 4 say is OOR and the other 3 are OIR pulling out the long term probabilities related to this and this type of occurrences. Also related to the respective VPOC VWAPS LVNs and HVNs etc and their relationship to each other.
It's like the adult version of my childhood playground....lol
Ron
Sent from my iPhone using Tapatalk
...My calamity is My providence, outwardly it is fire and vengeance, but inwardly it is light and mercy...
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)
Yes, that's what I meant by 'arbitrage algos', i.e. I was referring to the fact that super-fast algos nowadays do what people used to do before - as you say now it's in millseconds so any retail person trading from home could not clearly compete with that. Not yet at least..
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
You'd be surprised what you can do with a good autospreader, even today... although internet latency will probably kill the trade from home retail trader... but there are server side options.
Still seeing prices maintain this balance area. 5s have been testing the lows but the 10s and 30s have been outperforming the 5s and have had higher lows on these tests. Im still bullish on prices above 120'120s.
So far this year there has been a positive correlation between Oil and Stocks. There has also been a negative correlation between Stocks and Bonds. With Stocks poised higher and Treasuries still sitting near the lows of this balance, I'm watching any movement in Oil as a signal for what may be next for these markets.
Prices have fallen through the balance low that we've seen act as support all through February. Right now prices are just barely holding above last months Low.
At the moment the correlation between Oil and Stocks have decoupled a bit, but there still is a risk off/on correlation between Treasures and Equities however. Stocks have been trending higher and we've seen a sell off in Treasuries.
On the monthly chart on the right hand side I drew out 3 possible scenarios that may take place if prices stay volatile.
On another note, intraday we've seen quite some divergence between 30's and the 5s/10s. There has been more selling going on in the shorter term notes. As confidence in the stock market is rising, money may be moving from shorter term rates to longer term.
As someone else mentioned, the US treasury complex volume is mainly on the front month, last week was roll week and volume was heavy on the March and June contract, February 29 was first call day, and spec volume moved to the June contract starting this week.
Since you mentioned butterflies, you should take a look at Eurodollar Futures, there is decent volume up to December 2018.
ZFM6 5 Year T- Notes March 6. Weekend after Employment data
The first scenario of a relatively straight drop to the next support area of 119'24-27 is looking like its playing out. That area acted as some tested support back in late January and is also a the low end of the higher volume range that has been building so far in 2016 (119'24 - 121'17).
Despite a positive note on the Jobs data Friday, it was coupled with a disappointing report about the Trade Deficit as it rose above consensus. Also when looking at the Jobs data the jobs added was above expectations but the wage growth and unemployment stayed the same with a slight negative outlook because of it.
I expect prices to hold above this support level of 119'24-27 for the rest of March, the premise being that the Fed will not make any interest rate decisions this month and put it off to the June FOMC meeting.
Even though the S&P has regained much of its losses from the beginning of the year I think there is still a lack of confidence in the Economy that would otherwise push it to new highs. Mainly due again to a high dollar and lack of global trade/growth as well as the uncertain future of the US economy surrounding the Presidential elections. Therefore the outlook to equity risk is limited and I feel this can be bullish for bond prices.
A look at my monthly analysis chart shows prices are clearly bearish at the moment. A break of last months lows followed by a rejection of those levels and now today and yesterday we saw prices push below that support area of 119'26s and reject the retest.
A great indicator for me is to see how prices trade relative to the Developing Value Area. Right now seeing prices trade below Value and reject the retests of the DVA Low is a strong sign of Bearish momentum. Seeing that on the Monthly DVA tells me for the moment macro views are Bearish. Ill stick with this view until I start to see Bullish type price action using the DVA on the Weekly (left side) analysis.
An important week ahead as the Fed will decide what its going to until June regarding rate hikes. Basically Yellen is caught between "US looks good, lets raise rates slowly" and "foreign markets look bad and lack of US investing poses more downside risk if rates continue rising". Pricing on the 5yr right now is price action driven with a long term bullish outlook on yields as thats the only definitive information that we have gotten from the Fed to this point.
Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
Thanks Received: 4,518
Conducting research on ZF and finding promising results. Thought occurred to me to use 2 day bars as opposed to 1 and finding trade probabilities increasing. Theory is that swing trading, holding into next day, produces high probabilities trades, >80%. No brainer if you ask me, albeit greater risk. But you can't have one without the other. Out of time now but more later.
Ron
...My calamity is My providence, outwardly it is fire and vengeance, but inwardly it is light and mercy...
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)
Out of time now but more later.