12 March 9AM
Strategy based on 30 minute moving average cross
Mar11 Euribor
trades 98.28
Mar 10 - sell 4 Jun11 Euribor at 98.41 , buy stop at 98.32
Mar 9 - buy 4 Jun11 Euribor at 98.39, sell stop at 98.41
Mar 4 - sell 4 Jun11 Euribor at 98.45 , buy stop at 98.39
Mar 3 - buy 4 Jun11 Euribor at 98.475, sell stop at
Mar10 /Mar11 Euribor trades .96
Mar 10 - buy 4 IM0/sell 4 IM1 at .86
Mar 9 - sell 4 IM0/buy 4 IM1 at .84
Mar 4 - buy 4 IM0/sell 4 IM1 at .84
Mar 3 - sell 4 IM0/buy 4 IM1 at .84
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Jun11 ShortSterling
trades 98.05`
Mar 3 - sell 10 LM1 at 98.08, buy stop at 98.10
Mar 8 - buy 10 LM1 at 97.99,sell stop at 98.08
Mar 3 - sell 10 LM1 at 98.13, buy stop at 97.99
Jun10/Jun11 Sterling 1yr spreads
trades 1.21
Mar 11 - buy 10 LM0 /sell 10 LM1 at 1.12
Mar 8 - sell 10 LM0 / buy 10 LM1 at 1.27
Mar 3 - buy 10 LM0 /sell 10 LM1 at 1.12
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Strategy based on daily moving average cross
Dec10 Euro$ - Dec10 Euribor
trades + .34 (IM - L)
Mar 3 - short 10 Dec10 Euro$ /long 7 Dec10 Euribor at .38
Feb 25 - long 10 Dec10 Euro$ /short 7 Dec10 Euribor at .32
Dec10 Euro$ - Dec10 Short Sterling
trades + .34 (GE - L)
Mar 3 - short 4 Dec10 Euro$ /long 5 Dec10 Sterling at .41
Feb 23 - long 4 Dec10 Euro$ /short 5 Dec10 Sterling at .29
Dec10 Euribor - Dec10 Short Sterling
trades - .02 (IM - L)
Mar 8 - sell 4 Dec10 Euribor /buy 7 Dec10 Sterling at + .05
Feb 23 - long 4 Dec10 Euribor /short 7 Dec10 Sterling at -.01
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LU10/LU11 Sterling - IU10/IU11 Euribor
trades .67
Dec 21 - short 10 LU0 /long 10 LU1 at 1.67, long 6 IU0 /short 6 IU1 at .91 = .76,
Mar 19 exit at 1.67