Eurex and Gilt rolls

[arabianights]

Can some kind person give me fair value on the rolls? They're about to start shortly...

 

[tripleogstar]

Can some kind person give me fair value on the rolls? They're about to start shortly...

depends on what repo rates you are assuming. whats the CTD on the sep gilt contract

 

[arabianights]

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...)

 

[tripleogstar]

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...)

yea i agree, i cant be bothered to actually get hold of all the info to work it out to be honest lol. probably find out soon , will post here when i find out.

 

[arabianights]

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...

 

[tripleogstar]

would be good to have a short gilt contract. well good for market makers in gilts, less basis risk for the short end.

 

[maximm2008]

apparently they cant decide which is best to launch...2yr gilt fut or 5yr gilt fut. Guess will prob depend on DMO issuance...

 

[arabianights]

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"

 

[Martinghoul]

Yep, too much optionality in the basket this time around... The Sep CTD is currently 4H 19s. Next roll should be a better one to play with.

 

[tripleogstar]

look at these gilts go

 

[arabianights]

I'm offering 2.5, just in case get a situation like that 2 year yesterday... I'm not strictly supposed to be trading june gilts now they're deliverable, but it's worth a go..

 

[gooseman]

2 handles and it stood. were you involved?

 

[arabianights]

nah, wasn't at work yesterday

 

[Martinghoul]

All sorts of shenanigans...

First the Jun gilt CTD changes, then the 2y fat finger. 2 points on a 2y is some punchy sh1te...