[Tray_Dar]

was anyone lucky enought to catch that move in the bund?

[buy 'em]

Wow that kind of movement will put hair on your chest!!! Bund Bobl and Schatz can't be that volatile every day right? (I only trade em during the beginning of the session and not during the US time).

I'll be honest I didn't have a ****ing clue as to what the big local was doing!!! I was just trying not to make a dumb mistake in all that volatility.

All in all not a bad day although I made a few mistakes that I regret but you can't win em all!

How did everybody do today?

[Mpoufos]

i got hammered as well

[zeeuk]

Friday was one hell of a day in the Eurex mkts.

The 5k clip at .000 you guys were talking about Fri morning did get smashed for the lot, saw it on my time and sales. Couldn't believe it didn't get done when we touched it shortly b4 eurzone cpi. I used to lean on size in the past but not anymore - on the rare occasion that I do, end up as toast!

Next week will be just as volatile if not more so! Be careful and lucky!!

[buy 'em]

It did get smashed huh? Wow no wonder everybody puked! We thought it just traded a few 100 and then flipped. Think it was paper? It would make since considering that we traded way higher on the day! It might of been locals but I doubt it.....the locals were the ones leaning on it lol!

Yeah leaning on size is super tough! The only way I will do it before it has traded is to lean on size that is deeper in the orderbook (7th or 8th best bid/offer) and if that level happens to be a level on the chart. Other than that im scared to lean on things too much.

[mcurto]

I haven't watched these markets in a long time but most of my experience was with the US 10yr. I was down on the floor quoting the activity in the 10yr futures and options pits so will throw in a bit of 2 cents in here. First, with the short end of the US curve there were very few locals, those locals that actually did trade it were probably 90% spreaders and calendar roll traders. These guys would stand in the 2yr and 5yr pits (along with their screens) and just trade the TUF, FIT, and TUT's all day. Trying to pick up ticks here and there. Further out the curve in the 10yr and 30yr you would get a few spreaders (NOB traders) and then the outright guys. Majority of the volume in the short end of the curve is between off floor traders, just too much volume and smaller volatilities for the big locals to make money without HUGE positions. At least in the US market the majority of the cash volumes done are in the 2yr and 5yr on a dollar basis. A lot of this is done vs. swaps as well. So lots of big trades basically crossed between desks in the various banks. Eurodollars the same story, all swap and commerical paper desks laying off various cash and OTC traders basically against each other. Why else do you think the short end instruments throughout the world are going to half and quarter ticks. Plain and simple smaller transaction fee and price of liquidity to pay for their hedges, and wider OTC markets equals huge bank earnings.

As for the big position guys maybe 3, 4, or 5 years ago they were able to move the US 10yr and actually push the market a bit sometimes. Mortgage hedging activity was very small because spreads vs. Treasuries were pretty narrow and not volatile. Brumfield used to fill the whole order book and also have his guys standing in the pit so basically knew the whole order flow (along with using some counterparty software) and if it was a local dominated market or paper and trade that against his levels. Big moves during that period when volatility was under 4% would be a 10 full tick range, maybe 20 on really busy days. Volume was high though so he could trade huge sizes and bully the market. Now that can't happen. Mortgage hedging activity into the 10yr futures is enormous to say the least, at least 1 million futures every day maybe closer to 1.5 and another 250,000 plus options every day tells the story. Big locals CAN NOT push this market anymore at least in the US. The volatility is so large they can go back to only trading 1000 lots or even less and make the same amount of money. Their job is to be able to come back the next day not blow out, when you trade the banks money you can mess around with hitting or lifting 5000 lot bids and offers.

[buy 'em]

Originally Posted by mcurto

I haven't watched these markets in a long time but most of my experience was with the US 10yr. I was down on the floor quoting the activity in the 10yr futures and options pits so will throw in a bit of 2 cents in here. First, with the short end of the US curve there were very few locals, those locals that actually did trade it were probably 90% spreaders and calendar roll traders. These guys would stand in the 2yr and 5yr pits (along with their screens) and just trade the TUF, FIT, and TUT's all day. Trying to pick up ticks here and there. Further out the curve in the 10yr and 30yr you would get a few spreaders (NOB traders) and then the outright guys. Majority of the volume in the short end of the curve is between off floor traders, just too much volume and smaller volatilities for the big locals to make money without HUGE positions. At least in the US market the majority of the cash volumes done are in the 2yr and 5yr on a dollar basis. A lot of this is done vs. swaps as well. So lots of big trades basically crossed between desks in the various banks. Eurodollars the same story, all swap and commerical paper desks laying off various cash and OTC traders basically against each other. Why else do you think the short end instruments throughout the world are going to half and quarter ticks. Plain and simple smaller transaction fee and price of liquidity to pay for their hedges, and wider OTC markets equals huge bank earnings.

As for the big position guys maybe 3, 4, or 5 years ago they were able to move the US 10yr and actually push the market a bit sometimes. Mortgage hedging activity was very small because spreads vs. Treasuries were pretty narrow and not volatile. Brumfield used to fill the whole order book and also have his guys standing in the pit so basically knew the whole order flow (along with using some counterparty software) and if it was a local dominated market or paper and trade that against his levels. Big moves during that period when volatility was under 4% would be a 10 full tick range, maybe 20 on really busy days. Volume was high though so he could trade huge sizes and bully the market. Now that can't happen. Mortgage hedging activity into the 10yr futures is enormous to say the least, at least 1 million futures every day maybe closer to 1.5 and another 250,000 plus options every day tells the story. Big locals CAN NOT push this market anymore at least in the US. The volatility is so large they can go back to only trading 1000 lots or even less and make the same amount of money. Their job is to be able to come back the next day not blow out, when you trade the banks money you can mess around with hitting or lifting 5000 lot bids and offers.

Take notes guys!

[mcurto]

Sorry to be long-winded but some more opinions. Would stay away from the CBOT products just because they are basically taking the edge for futures locals to zero. Even the options markets are going to half and quarter ticks. Chicago locals like wide and volatile markets, we have one right now (volatility) but not the other (too tight). Thus they are having to trade bigger size in crazy markets taking massive risks. Plus there are a ton of quarter tick whores (excuse my french) that all they do is spread across the yield curve and are all reducing their edge to zero. If you have access to cash or swap markets in the US would surely jump in there or trade the 30yr cash, illiquid and volatile as hell right now. Pretty wide markets for the most part. Or like others have said stick to the EUREX products. Especially out the curve like the Bund. I think the Schatz is used the same way as the US 2yr, either for big bank desks to cross trades or by the huge locals to manipulate the long end of the curve.

I think someone was mentioning huge trades on time and sales. Be careful during rollover or as you approach rollover because when a spread is done between first and second month they disseminate each leg price from the spread trade into the respective single month time and sales. So if it looks like a 90,000 lot traded it was actually a fund or bank desk rolling a 90,000 lot position. Or at least on CME globex it shows the spread time and sales into the respective legs, would imagine Eurex is the same. Best of luck to all.