• “Know Your E […]

  • I think of value on the curve in two ways: (1) bottom-up, and (2) top-down.  Bottom-up would be looking at a small piece of the curve and thinking about the value there, whether it’s a particular Fed meeting, or […]

  • As I was watching equities make yet new highs last week despite lower stimulus prospects, increased Presidential turmoil, and weaker data (albeit still constructive), I thought about the ETF phenomenon.  I had […]

  • Tens are back near the recent low yields, and Z8-Z0 spread is back near the recent lows.  This is a little surprising, but I suppose the bulls got an assist from Trumpidity.  All other things being equal ( […]

  • [From time to time, I will post trade-related commentary from the web site.  The EDM7-FF spread collapsed the following week and this trade thought has resulted in one profitable trade and the second order effect […]

  • I thought it was interesting that the June meeting was about 80% priced with over 5 weeks to go.  I think the Fed is hiking in June as much as the next guy.  But that’s a lot of time to go – we could get unfav […]

  • The big story on the curve last week was the collapse of the ED-FF spread.  I had been saying for a while now (as recently as the last CA) that EDM7-FF seemed strangely high to the rest of the ED-FF curve.  That f […]

  • * We don’t want to get too crazy with the front libor, since we have no competitive advantage trying to predict where libor is going to fix.

    * Before you leg, think about: (1) what fits your view, (2) what fits your book, (3) have alternatives in case the leg moves, and (4) consider if you whiff. Depending on the strength of the above, you need…[Read more]

  • * We don’t want to get too crazy with the front libor, since we have no competitive advantage trying to predict where libor is going to fix.

    * It’s not advisable to hold a [rangebound] trade until it gets to the top of the range (unless you have a strong view), since presumably you would want to sell if it got to the top. You are generally l…[Read more]

  • I am beta testing a limited client chat as an additional service for Premium subscribers. We discuss everything from positioning, to analytics, to set-up, to risk management, to trades that look leggable, to some “finer points” of futures trading, to general trading concepts. I thought I would start by posting some of the more general commentary…[Read more]

  • I am beta testing a limited client chat as an additional service for Premium subscribers. We discuss everything from positioning, to risk management, to trades that look leggable, to some “finer points” of futures trading, to general trading concepts. I thought I would start by posting some of the more general commentary in this thread. As the…[Read more]

  • I am beta testing a limited client chat as an additional service for Premium subscribers. We discuss everything from positioning, to risk management, to trades that look leggable, to some “finer points” of ED trading, to general trading concepts. I thought I would start by posting some of the more general commentary in this thread. As the weeks…[Read more]

  • I think what you meant to say was, “I read an article awhile back saying how the 2 Year Carry spread (2 Year Yield Vs Target FF Rate) represents feds hiking expectations BEFORE the third meeting.” They are basically saying the 2yr “current” yield = expected funds rate at third meeting.

  • I sent out an email a week or two ago that showed Z8-Z0 locally peaking a few days before the FOMC meeting, and sure enough, we flattened strong on Friday afternoon.  Part of it may have been month-end.  The q […]

  • Please see attached for document.

  • I am of the opinion that most people are at a major disadvantage trading treasury futures. Most people don’t realize that to properly price a Treasury future, you have to keep on top of things like the cheapest-to-deliver, repo/financing, issuance, etc. Most people just look at it as a punting (aka directional trading) vehicle. Over my career,…[Read more]

  • Hi Joseph,

    I wanted to ask you about the relationship between short term interest rates and say other treasury futures. Is there a meaningful one that can be exploited from your experience?

    I read an article awhile back saying how the 2 Year Carry spread (2 Year Yield Vs Target FF Rate) represents feds hiking expectations after the third…[Read more]

  • I am not going to pretend to be any type of French political expert.  But sometimes, not being so immersed can give you a different perspective.  I put on my CArock, the Unfrozen Caveman Curve Advisor, hat on to g […]

  • I’ve been a bit punch-drunk for most of this year by all the headline bombs we have been a little behind the markets on.  There are a lot of things we have no competitive advantage trying to guess (since others in […]

  • [Not one of my more inspired posts, but this goes to show you why directional trading is not always the best approach.]

    I have a lot of mixed thoughts about rates right now.  The best course of action was to […]

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