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Eurex and Gilt rolls
This is a discussion on Eurex and Gilt rolls within the Money Markets forums, part of the Financial Markets category; Can some kind person give me fair value on the rolls? They're about to start shortly......
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May 21, 2009, 12:11pm
| #1 |
| Legendary Member  Join Date: Jan 2007 Posts: 4,287
| Eurex and Gilt rolls
Can some kind person give me fair value on the rolls? They're about to start shortly...
__________________ Only morons take my advice! Chatroom for STIR traders at http://www.propboards.com/ (click "Chat") - open during UK market hours (7am-6pm). Anyone welcome, especially locals, IB/HF traders, brokers, those with an interest in this field... |
 
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May 22, 2009, 5:20pm
| #2 | |
| Veteran Member Join Date: Dec 2008 Posts: 607
 | Re: Eurex and Gilt rolls Quote:
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May 23, 2009, 9:59am
| #3 |
| Legendary Member Join Date: Jan 2007 Posts: 4,287
| Re: Eurex and Gilt rolls 
I don't even know what's deliverable tbh, not something that's ever bothered me - usually as a very lazy person I just look at where settlements have previously been and then look at where the curve in general has moved to get a rough idea...(And yes I do know how to work it out, but I think baby steps in trading respectably are the way forward...)
__________________ Only morons take my advice! Chatroom for STIR traders at http://www.propboards.com/ (click "Chat") - open during UK market hours (7am-6pm). Anyone welcome, especially locals, IB/HF traders, brokers, those with an interest in this field... |
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May 23, 2009, 12:14pm
| #4 | |
| Veteran Member Join Date: Dec 2008 Posts: 607
| Re: Eurex and Gilt rolls Quote:
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May 23, 2009, 12:27pm
| #5 |
| Legendary Member Join Date: Jan 2007 Posts: 4,287
| Re: Eurex and Gilt rolls
Or if anyone knows a way to get Reuters to do it without making a spreadsheet, that would be fine.Googling to try and work out the above, I see that LIFFE are thinking of launching a short gilt...
__________________ Only morons take my advice! Chatroom for STIR traders at http://www.propboards.com/ (click "Chat") - open during UK market hours (7am-6pm). Anyone welcome, especially locals, IB/HF traders, brokers, those with an interest in this field... |
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May 23, 2009, 5:57pm
| #6 |
| Veteran Member Join Date: Dec 2008 Posts: 607
| Re: Eurex and Gilt rolls
would be good to have a short gilt contract. well good for market makers in gilts, less basis risk for the short end. |
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May 27, 2009, 6:33am
| #7 |
| Rookie Join Date: Jan 2008 Posts: 13
| Re: Eurex and Gilt rolls
apparently they cant decide which is best to launch...2yr gilt fut or 5yr gilt fut. Guess will prob depend on DMO issuance... |
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May 27, 2009, 6:35am
| #8 |
| Legendary Member Join Date: Jan 2007 Posts: 4,287
| Re: Eurex and Gilt rolls
Inicdentally the answer to my question is "1) DON'T TRADE THE ****ING GILT ROLL YOU IDIOT 2) It's directional due to different CTDs"
__________________ Only morons take my advice! Chatroom for STIR traders at http://www.propboards.com/ (click "Chat") - open during UK market hours (7am-6pm). Anyone welcome, especially locals, IB/HF traders, brokers, those with an interest in this field... |
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