Monday, 31 March 2008

Good bye March...

What a dull day in the Bund today, when I left the office it had only done 772k lots by 16:00gmt, which is very low for that time of day. I found the price action not to my liking for most of the day and was very surprised to see that the strong Chicago pmi soon got shrugged off. Even the employment, new orders and the prices paid were all higher. Today was very much a stocks watch day with every down tick in the Dow being met with support in the Bund. Tomorrow I will be focusing on the UK manufacturing pmi at 9:30 then it will probably be time to catch up on all the blogs and weekly research until 15:00gmt. All eyes will firmly be on the ISM manufacturing figure to see if it follows the Chicago's uptick.
I get the impression that the Bund is finding support down at these price (115.85) levels and 3.94% ish seemed to hold in long before the euro started probing new highs against the dollar and sterling. Its unusual to see such a big gap on the Bund chart and I think we will probably take a look and visit it soon unless the ECB's rhetoric becomes more hawkish.
At 16:00 the yields were euro (2,5,10) 3.42%, 3.59%, 3.89%
US (2,5,10) 1.62%, 2.45%, 3.41%
Euro was 1.5847 and to stg 0.7972.

The low 5 year yield i quoted yesterday was for the German 5 year and not the eurozone 5 year. I have no idea why the two are so wide and cant help but feel these are erroneous quotes as Reuters still have German 5 years at 2.74% (DE5YT=RR) answers on a postcard please

The needle of the compass

The ECB only has one needle in its compass. ' The primary objective of the ECB’s monetary policy is to maintain price stability. The ECB aims at inflation rates of below, but close to, 2% over the medium term. '

Well the flash estimate for CPI just came out at 3.5%, the euro had firmed up some more against the majors. Spanish CPI came out this morning at 4.6% yoy. Fixed income didn't really bat an eye lid. Bund volume is light at 225k lots. It would appear that the needle of the compass is not doing its job. Perhaps the medium term history will prove to judge otherwise.

Sunday, 30 March 2008

Last Trading day of March

Last day of the month tomorrow so will need to keep an eye out for any duration buying. We have a few figures out tomorrow to get our teeth into. These include (times in BST):

9:00 Euro Zone m3
10:00 Eurozone Flash CPI estimate
14:45 Chicago NAPM

There are a few other odds and ends out but I will be focusing on these numbers. I will be paying close attention to the loans to private sector of the M3 release to see if the squeeze in the euro libor rate has started to have more of an effect. Obviously the CPI flash will be closely watched but the surprise will be more so if the figure should come in lower as the ECB as already tee'd the market up for the CPI ticking up in the short run. It seems from watching the equities that people are beginning to look beyond the recession in the states. It wouldn't surprise me if the spin on a low Chicago number is that its a low point and we pick up from here. Either way the employment component will be watched for clues with Fridays NFPR.
Euro Yields at close on Friday were (2,5,10) 3.49%, 2.88%, 3.94%
US Yields at close (2,5,10) 1.64%, 2.49%, 3.44%

I am not sure why the Eurozone 5 year is so low but it doesn't look right to me and I feel it should be much higher.

Fat Finger Friday

Before I go on to preview next weeks market I though I would make an entry about Fridays price action in the Bund. The market had been relatively quiet for most of the morning, the range was an average 30 ticks on volume of about 265k lots by 11:00 gmt. This is relatively light for the bund, but with a lack of any decent economic news, to be expected. Then at 11:17 gmt the Bund fell out of bed in the biggest way I have ever seen. It dropped 172 ticks in 4 seconds!!!. I have never seen the Bund do this and no other instrument really responded because it all happened so quickly. This was a bigger move than those of the Sept 11th attacks. The exchange closed the contract for 2 minutes and when it re-opened it was only 20 ticks lower than where it had been before the strange move. Given that the Bund is one of the most liquid futures contracts this has all the hall marks of a fat finger or error trade to me. The total volume transacted during that minute was 44k lots, but some of that would have been other electronic stops all tripping over each other. All in all a quite extraordinary move.

Saturday, 29 March 2008

My First Entry

I have decided to dabble into the world of blogging and have decided to do one focused on my interest in trading futures. I don't know if I will have enough time or material to write this everyday. However I want it to provide me with a tool to order my thoughts about my trading, and the markets. I hope it will also prove useful and informative for others.

I was inspired to do this because I read many really good blogs that cover trading and the economy. Although I haven't come across many that focus on the fixed income markets. I am not offering any advice or recommendations about trading. Its more about making observations and sharing them with others.

I mainly trade the
Bund Future that is listed on the Eurex Exchange. I do this with my own capital and have been doing so for a few years. The tools I use for this are Trading Technologies X-Trader, E-signal and Market Delta.

As this is my first post I am going to publish this and see how it all looks before I start rambling on about the Bund. Also as I have never written a blog or indeed anything much since my school days my style may not be up to the high standards I have seen from others, but this should evolve and improve with time.