Dec8 BUXL
trades 103.2
Dec 22 - buy 1 BUXL at 102.5, sell stop at 102.7
Dec 19 - sell 1 BUXL at 103, buy stop at
Dec 16 - buy 1 BUXL at 99.6, sell stop at 101.8
Dec 12 - sell 1 BUXL at 100.9, buy stop at 99.6
Dec8 Bund trades
125.27
Dec 22 - long 2 BUND at 124.45, sell stop at 124.95
Dec 19 - sell 2 BUND at 124.3, buy stop at
Dec 15 - long 2 BUND at 122.8, sell stop at 124
Dec 12 - sell 2 BUND at 122.5, buy stop at 122.8
Dec8 Bobl
trades 116.45
Dec 15 - long 4 BOBL at 114.15, sell stop at 116.25
Dec 12 - sell 4 BOBL at 114.45, buy stop at 114.8
Dec 11 - long 4 BOBL at 114.25, sell stop at 114.10
Dec 8 - sell 4 BOBL at 115.1, buy stop at 114.25
Dec8 Shaz
trades 107.55
Dec 15 -long 10 SHAZ at 106-66, sell stop at 107.45
Dec 12 - sell 10 SHAZ at 106.72, buy stop at 106.75
Dec 11 -long 10 SHAZ at 106.65, sell stop at 106.6
Dec 8 - sell 10 SHAZ at 106.99, buy stop at 106.65
Eurex6 strategy based on daily max
Dec8 Buxl - Bund
trades .75 bp's, (chart GX GG)
Dec 11 - sell 5 BUXL/buy 9 BUND at .61
Nov 18 - buy 5 BUXL/sell 9 BUND at .58
Nov 5 - sell 5 BUXL/buy 9 BUND at .43
Dec8 Buxl - Bobl
trades + 1.30 bp's (chart GX HR)
Dec 11 - sell 3 BUXL /buy 10 Bobl at 1.01 bp's
Nov 18 - buy 3 BUXL /sell 10 Bobl at +1.29 bp's
Nov 5 - sell 3 BUXL /buy 10 Bobl at 1.13 bp's
Dec8 Bund - Bobl
trades .55 bp's (chart GG HR)
Dec 11 - sell 5 Bund/buy 9 Bobl at .40 bp's
Nov 18 - buy 5 Bund/sell 9 Bobl at .72 bp's
Nov 5 - sell 5 Bund/buy 9 Bobl at .70 bp's
Dec8 Buxl - Shaz
trades + 1.65 bp's (chart GX HF)
Dec 19 - sell 1 BUXL /buy 7 Shaz at + 1.58 bp's
Dec 16 - buy 1 BUXL /sell 7 Shaz at + 1.50 bp's
Dec 11 - sell 1 BUXL /buy 7 Shaz at + 1.35 bp's
Nov 18 - buy 1 BUXL /sell 7 Shaz at + 1.72 bp's
Dec8 Bund - Schatz
trades + .88 bp's (chart GG HF)
Dec 19 - sell 2 Bund/buy 9 Shaz at + .88 bp
Dec 16 - buy 2 Bund/sell 9 Shaz at + .80 bp
Dec 11 - sell 2 Bund/buy 9 Shaz at + .72 bp
Nov 14 - buy 2 Bund/sell 9 Shaz at + 1.18 bp
SEP8 Bobl - Schatz
trades + .35 bp's (chart HR HF)
Dec 16 - buy 5 BOBL/sell 12 Shaz at +.35 bp's
Dec 4 - sell 5 BOBL/buy 12 Shaz at .34 bp's
Nov 19 - buy 5 BOBL/sell 12 Shaz at +.44 bp's
Nov 6 - sell 5 BOBL/buy 12 Shaz at .23 bp's
Ratio Calculation for BUXL Yield is based on a 4% 35 year hypothetical .
Eurex Euribor Swaps
Dec8 Buxl - Dec10 Euribor
trades .78 bp's
Dec 19 - buy 2 BUXL /sell 13 Dec10 Euribor at + .80 bp's
Dec 11 - sell 2 BUXL /buy 13 Dec10 Euribor at + .55 bp's
Nov 14 - buy 2 BUXL /sell 13 Dec10 Euribor at + .80 bp's
Dec8 BUND - Seo10 Euribor
trades .02 bp's,
Dec 19 - buy 2 BUND/sell 13 Dec10 Euribor at + .07 bp's
Dec 11- sell 2 BUND/buy 13 Dec10 Euribor at -.01 bp's
Nov 14 - buy 2 BUND/sell 13 Dec10 Euribor at + 180 bp's
Dec8 Bobl - Dec10 Euribor
trades - .54 bp's
Dec 19 - buy 3 BOBL/sell 10 Dec10 Euribor at -.41
Dec 11 - sell 3 BOBL/buy 10 Dec10 Euribor at -.42
Nov 28 - buy 3 BOBL/sell 10 Dec10 Euribor at -.45
Nov 21 - sell 3 BOBL/buy 10 Dec10 Euribor at -.55
Dec8 Buxl - Dec9 Euribor
trades 1.40 bp's,
Dec 19 - buy 2 BUXL/sell 13 Dec9 Euribor at +1.40 bp's
Dec 11 - sell 2 BUXL/buy 13 Dec9 Euribor at +1.10 bp's
Nov 28 - buy 2 BUXL/sell 13 Dec9 Euribor at +1.22 bp's
Nov 26 - sell 2 BUXL/buy 13 Dec9 Euribor at +1.25 bp's
Dec8 Bund - Dec9 Euribor
trades + .67 bp's
Dec 19 -buy 3 Bund/sell 10 Dec9 Euribor at .67
Dec 11- sell 3 Bund/buy 10 Dec9 Euribor at 50
Nov 28 -buy 3 Bund/sell 10 Dec9 Euribor at .70
Nov 26- sell 3 Bund/buy 10 Dec9 Euribor at .71
Dec8 Bobl - Dec9 Euribor
trades + .12 bp's
Dec 19 - buy 6 Bobl/sell 9 Dec9 Euribor at +.16
Dec 11 - sell 6 Bobl/buy 9 Dec9 Euribor at + .10
Dec 9 - buy 6 Bobl/sell 9 Dec9 Euribor at + .08
Dec 8 - sell 6 Bobl/buy 9 Dec9 Euribor at + .12
Eurex EURO Swaps
Eurex vs EURO Swaps
Bund - EURO10YRSwap
trades 4.75 points bp's,
Aug 8 - sell BUND /buy 10Yr Swap at 3.6 points
Jul 25 - buy BUND /sell 10Yr Swap at 3.3 points
Jul 14 - sell BUND /buy 10Yr Swap at 3.6 points
May 23 - buy BUND /sell 10Yr Swap at 2.6 points