Derivati USA: CME-CBOT-NYMEX-ICE Bund, T-bond, T-note, Crude,....(vietato ai minori di 75aa)

[Fleursdumal]

no speta domè, non fare casino non c'è nessuna relazione tick chart americano = 3,125 tick normale , un tick vale 31,25$ e basta, poi devi far un pò l'abitudine a pensare in frazionali ( 1/32= 0,0313 ; 2/32=0,0625 ; 3/32= 0,0938 ; 4/32= 0,125 etc etc)
Il Bund lo puoi correlare al 10y T-Note , il T-Bond è tutt'altra cosa e tutt'altra volatilità, in pratica un btp a 30 anni

 

[spero.lo.0.15%]

no speta domè, non fare casino non c'è nessuna relazione tick chart americano = 3,125 tick normale , un tick vale 31,25$ e basta, poi devi far un pò l'abitudine a pensare in frazionali ( 1/32= 0,0313 ; 2/32=0,0625 ; 3/32= 0,0938 ; 4/32= 0,125 etc etc)
Il Bund lo puoi correlare al 10y T-Note , il T-Bond è tutt'altra cosa e tutt'altra volatilità, in pratica un btp a 30 anni

si si ho capito ...era per dire un tick 3.125

era per avere un paragone grossolano
esempio
il t-bond sul massimo a 112.23/32 era aumentato di 8 tick da 112.15/32
quindi 8*3.125 = 25

se sommo 115.12 la chiusura del bund + 25 ho 115.37 +/- il massimo di oggi del bund

certo devo paragonarlo al 10y...mo me lo vado a vedere


ti sto confondendo le idee eh ?
sono un po' contorto

certo che se ditro mi spiegasse quando ha tempo come si fa a mettere
il t-bond in real time in quel sito russo sarebbe il massimo

perche' ho visto che da numerosi dati in real-time e li aggiorna ogni 30 secondi..

forse pero' non si puo'

mo vado a mangiare sperando di trovare il bund a 114.50..ma no andrebbe bene anche a 114.80 va

ciao e grazie

 

[Andrea 53]

tornato dal pranzo

vedo che siamo ancorati a R1 ...

allora pennicchella pomeridiana

 

[Andrea 53]

mollato a 26 quello preso a 35
cosi di nuovo 2 a 114.94

 

[gastronomo]

Treasury yields hold at lows before consumer data

Fri Sep 17, 2004 08:58 AM ET
By Wayne Cole
NEW YORK, Sept 17 (Reuters) - Treasury yields held near five-months lows on Friday as the market digested recent hefty gains while awaiting a key reading on the U.S. consumer.

The benchmark 10-year note (US10YT=RR: Quote, Profile, Research) tacked on another 2/32 in price gains, nudging yields down to 4.06 percent having already dropped almost 10 basis points on Thursday.

Traders said speculators were now eyeing a break of 4.00 percent in the hope of forcing mortgage funds to buy Treasuries to hedge against prepayment risk.

"There's a lot of chatter that taking out 4 percent will trigger a wave of convexity hedging," said one trader at a U.S. primary dealer.

"We're not convinced the mortgage guys are that desperate, so the bulls could be disappointed even if we do get there," he said, adding that the risk was for a bout of profit-taking before the weekend.

One possible catalyst could be the University of Michigan survey of consumer confidence due at 9.45 a.m. (1345 GMT). Economists surveyed last week had looked for the index to rise to 96.5 in September from 95.9 in August.

However, many traders were betting on a softer number given the IBD/TIPP survey of consumers, out earlier this week, showed a drop off in confidence.

Thus should the Michigan survey actually rise as first expected, it could well force bulls to bail out.

Five-year notes (US5YT=RR: Quote, Profile, Research) were holding at 3.27 percent having dropped from 3.38 percent on Thursday. Yields on The 30-year bond (US30YT=RR: Quote, Profile, Research) hovered around 4.88 percent after falling eight basis points the session before.

Much of Thursday's sharp rally was pinned on black box and momentum funds taking advantage of holiday-thinned conditions to pressure a short market, and these types of investors tend not to hold positions for long.

"This move has every sign of a quiet market squeeze," said Richard Gilhooly, fixed-income market strategist at BNP Paribas. He, like many other analysts, felt the rally defied logic given recent economic data had not been that weak and the Federal Reserve still clearly planned to hike interest rates at its meeting next week.

"Tuesday's FOMC still holds the key for the market, with 25 basis points still all but certain," said Gilhooly. "The statement following the meeting will carefully scrutinized for any sign of future plans."

There has been talk in the market the Fed would somehow soften its policy message, perhaps acknowledging that the economic outlook is more uncertain than at its last meeting.

Such a softening would help justify the latest drop in long-term yields, though short-term yields have much less room to fall given the market is pricing in a fed funds rate of 2.00 percent by year end.

Yields on two-year notes (US2YT=RR: Quote, Profile, Research) are already down at 2.42 percent, putting them just 92 basis points above the funds rate. That gap is a the narrowest in five months and set to shrink further assuming the Fed does hike by 25 basis points next week.

Indeed, spreads have been shrinking across the yield curve with the gap between two-year and 10-year yields hitting 165 basis points -- its lowest levels since September 2001. And this trend was expected to continue.

"The direction of the curve is unlikely to be affected by a potential pause in the Fed's rate rises - past history shows that the curve continues to flatten even while the Fed takes a break from hiking," noted BNP's Gilhooly.

 

[Andrea 53]

35 minuti ai dati e poi WE

 

[gastronomo]

Mi pare che sto dato che è appena uscito significhi ben poco, quindi tutto dipende se vogliono portarsi a casa un pò di gain o restare lunghi

 

[Andrea 53]

Io resto corto e per oggi chiudo se ne riparla lunedi

buon fine settimana atutti

 

[spero.lo.0.15%]

caspita ....

pero' non e' che ci sia tanta correlazione ne' tra il t-bond ne' tra il 10y

il 10 ha perso dai massimi (113.085) ad adesso (112.27 ) circa 42 punti

il bund solo 20....

o sbaglio io a fare i calcoli ?


cioe' 113.085/115.40 112.27/115.20

mi aiutate nel capire ?

 

[gastronomo]

US Treasuries knocked back, still ahead for week

Fri Sep 17, 2004 10:47 AM ET
(Adds consumer data, reaction)
By Wayne Cole

NEW YORK, Sept 17 (Reuters) - U.S. Treasury debt prices dipped on Friday after a survey of U.S. consumers proved not to be as dismal as bond bulls had bet on, leading to profit-taking on the week's hefty gains.

The University of Michigan's index of consumer confidence eased to 95.8 in September from 95.9 in August. Analysts had looked for a rise to 96.5, but many traders were betting on a much softer number after the IBD/TIPP survey of consumers, out earlier this week, showed a drop off in confidence.

The subsequent selling knocked 5/32 off the price of the benchmark 10-year note (US10YT=RR: Quote, Profile, Research) . Yields edged up to 4.10 percent. But that follows a 10-basis-point-drop to a five-month low of 4.07 percent on Thursday.

As with other data this week, the figures did little to temper market expectations that the Federal Reserve will raise interest rates at its meeting next week.

There has been growing speculation that the central bank may go slower with its hikes after September, though many economists argue this is wishful thinking by bond bulls.

"The bond market's got its head in the clouds right now, but the Fed will bring it back to earth next week," said Ram Bhagavatula, chief economist at RBS Greenwich. "The recent data justify the Fed taking an upbeat view on the economy," he said.

That would be a disappointment to many bond investors who are betting the Fed would soften its policy statement.

"The Fed is going to keep on hiking, and we doubt it will take a breather until rates reach a more natural level around 3.5 to 4.0 percent," Bhagavatula.

Five-year notes (US5YT=RR: Quote, Profile, Research) dipped 5/43, taking their yield up to 3.31 percent from 3.27 percent late Thursday. The 30-year bond (US30YT=RR: Quote, Profile, Research) lost 9/32, lifting yields to 4.90 percent from 4.88 percent though that is still down on last Friday's 4.97 percent close.

Much of Thursday's sharp rally was pinned on 'black box' and momentum funds taking advantage of holiday-thinned conditions to pressure a short market, and these types of investors tend not to hold positions for long.

"This move has every sign of a quiet market squeeze," said Richard Gilhooly, fixed-income market strategist at BNP Paribas. He, like many other analysts, felt the rally defied logic given recent economic data had not been that weak and the Federal Reserve still clearly planned to hike interest rates at its meeting next week.

"Tuesday's FOMC still holds the key for the market, with 25 basis points still all but certain," said Gilhooly. "The statement following the meeting will carefully scrutinized for any sign of future plans."

The market will likely need a softening in the Fed's policy message to justify the latest drop in long-term yields. Short-term yields have less room to fall given the market is pricing in a fed funds rate of 2.00 percent by year end.

Yields on two-year notes (US2YT=RR: Quote, Profile, Research) are already down at 2.46 percent, putting them just 96 basis points above the funds rate. That gap is the narrowest in five months and set to shrink further assuming the Fed does hike by 25 basis points next week.

Indeed, spreads have been shrinking across the yield curve with the gap between two-year and 10-year yields hitting 165 basis points -- its lowest levels since September 2001. And this trend was expected to continue.

"The direction of the curve is unlikely to be affected by a potential pause in the Fed's rate rises - past history shows that the curve continues to flatten even while the Fed takes a break from hiking," noted BNP's Gilhooly.