Recent content by cas54

Agreed. No point in trading the Gilt, unless you want to trade it versus the Bund on spread. The bund is currently in a down trend, but the European curve is flattening and lots of central bank and real money accounts tend to be buying at lower levels. Therefore, it is quite hard to hold a short...

Means price value of 1 basis point. dv01 is also used (dollar value of 1 bp). It is a measurement of duration, relating yield changes to changes in price.

5 Schatz per Euribor contract seems a funny way of trading the spread. The ratio of 5:4 is much closer to what it should be if you want to attempt to take out the directionality. Schatz has tick value of 10 EUR (forget about 1/2 ticks). Its pv01 is approx 2 so for every 1 basis point movement...

What you call dumb orders or panic ones only make you 0.5c, which presumably is not much more than your commission + other costs. Plus there are so many other people trying to capture the same thing. Dec 2005 v Schatz is normally a very directional spread. I agree with others who have hinted at...

what - sub one-year? Problem with all this euro stuff is that everything trades very tight to each other with low volatility, so that after you've paid repo bid-offer, you have very little chance of making any money. I think there are some opportunities in the 2007/08 sector, but again it is...

Alexxxx, why don't you trade the Euribor further out (e.g. Sep 06 or even further)? You benefit because the liquidity is lower, meaning that the pro rata rule does not penalise your small size so much. Also, fewer people trade this, making opportunities easier to capture. Volatility is higher...

By the way, does anyone here trade cash bonds versus the strip?

Sure - working spreads becomes a much harder task with the presence of someone who will often take one of your sides and the next couple of ticks in a few seconds. As bobltrade72 points out, spreaders are likely to decline in numbers. Continuing with the evolution theme however, this is...

I don't agree with the insinuation that what the Flipper (or any other wannabe flippers) does is either wrong or necessarily detrimental to other traders in the market. It is true that his actions do have an effect on the market and so typically when he decides to go long (or finds himself with...

Jon - in order to keep things "clean" and not "bobbing about", do you make it a rule for your entry bar to immediately succeed the low bar (as in your diagram)?

Yes, I had thought about looking into intra day price movement patterns. I know that in the bond market you sometimes get recurring patterns. e.g. the US-Germany yield spread has in the past shown widening pressure at the same time each day for about a week. It makes no sense given that the...

I think pttrader's idea has potential in illustrating the strength of a trend and predicting where the day's high might be but I would have thought that its results would overlap with a number of existing indicators/oscillators. It is a good idea though because it gives a simple quantitive...