EuroCurve
GEZ9
trades 98.52
Dec 31 - short 10 GEH0 at 98.51, buy stop at 98.54
Dec 29 - buy 10 GEH0 at 98.40, sell stop at 98.44
Dec 26 - short 10 GEH0 at 98.37, buy stop at 98.42
Dec 23 - buy 10 GEH0 at 98.37, sell stop at 98.38
5yrSwaps
trades 118-06 (strategy based on 30min max)
Jan 2 - long Mar9 5YrSwaps at 118-08, sell stop at 117-31
Dec 31 - short Mar9 5YrSwaps at 118-04, buy stop at 118-08
Dec 29 - long Mar9 5YrSwaps at 118-08, sell stop at 117-28
Dec 26 - short Mar9 5YrSwaps at 117-23, buy stop at 118-01
Mar9 10yrSwaps
trade 130-10
Dec 31 - short 10Yr Mar9 Swaps at 130-16 , buy stop at 130-20
Dec 29 - long 10Yr Mar9 Swaps at 130-17 , sell stop at 130-10
Dec 18 - short 10Yr Mar9 Swaps at 132-08 , buy stop at 130-14
Dec 15 - long 10Yr Mar9 Swaps at 126-24 , sell stop at 132-08
GE1YR SPREAD
trades + .44
Dec 31 - buy 10 GEH9/sell 10 GEH10 at + .43
Dec 29 - sell 10 GEH9/buy 10 GEH10 at + .45
Dec 26 - buy 10 GEH9/sell 10 GEH10 at + .49
Dec 23 - sell 10 GEH9/buy 10 GEH10 at + .46
EDRed vs EDGreen GEZ8 vs GEZ9
trades + .70
Dec 19- buy 10 GEZ9 / sell 10 GEZ10 at + .58 ,
Dec 15- sell 10 GEZ9 / buy 10 GEZ10 at + .58 ,
Dec 8- buy 10 GEZ9 / sell 10 GEZ10 at + .50 ,
Dec 3- buy 10 GEZ9 / sell 10 GEZ10 at + .50 ,Dec 4 exit at .48
ED1Yr vs EDGreen GEH8 - GEH10
trades + 1.16
Dec 31 - buy 10 GEH9 /sell 10 GEH10 at 1.15
Dec 29 - sell 10 GEH9 /buy 10 GEH10 at 1.09
Dec 26 - buy 10 GEH9 /sell 10 GEH10 at 1.11
Dec 23 - sell 10 GEH9 /buy 10 GEH10 at 1.05
Dec CBT 5yr Swap vs 5yr Future
SAH9 - ZFH9 price spread trades 35 /32's
Dec 23 - buy 10 ZF /sell 10 SA at 42/32's, Dec 31 exit at 36
Dec 29 - buy 10 ZFZ8 /sell 10 SAZ8 at 136 /32's ,Dec 8 exit at 168
Nov 21 - buy 10 ZF /sell 10 SA at 144/32's
Nov 19 - sell 10 ZF /buy 10 SA at 156/32's
Dec CBT 10yr Swap vs 10Yr Future
SRH9 - ZNH9 price Spread trades - 116 / 32's
Dec 8 - buy 10 ZNH9 / sell 10 SRH9 at 95/32's ,
Nov 21 - buy 10 ZNZ8 / sell 10 SRZ8 at -48/32's , Dec 8 exit at + 30
Nov 4 - sell 10 ZNZ8 / buy 10 SRZ8 at 40/32's,Nov 18 exit at 32
CBT vs Euro$ strategy based on daily max
ZBZ8 vs GEZ10
trades + 1.19
Dec 29- sell 2 ZBH9 /buy 10 GEZ10 at + 1.10
Dec 18 - buy 2 ZBH9 /sell 10 GEZ10 at + 1.24
Dec 8 - sell 2 ZBH9 /buy 10 GEZ10 at + 1.05
Dec 3 - buy 2 ZBH9 /sell 10 GEZ10 at + 1.33
ZNZ8 vs GEZ10
trades + .85
Dec 29 - sell 2 ZBH9 /buy 10 GEZ10 at +. .73
Dec 18 - buy 2 ZBH9 /sell 10 GEZ10 at + .80
Dec 8 - sell 2 ZBH9 /buy 10 GEZ10 at +. 70
Dec 3 - buy 2 ZBH9 /sell 10 GEZ10 at + .88
ZFZ8 vs GEZ10
trades - .15
Dec 29- sell 4 ZFH9 / buy 10 GEZ10 at -.23
Dec 22 - buy 4 ZFH9 /sell 10 GEZ10 at - .19
Dec 8- sell 4 ZFH9 / buy 10 GEZ10 at -.35
Dec 3 - buy 4 ZFH9 /sell 10 GEZ10 at - .23
ZBZ8 vs GEZ9
trades 1.90
Dec 29 - sell 2 ZBH9 / buy 10 GEZ9 at 1.975
Dec 18 - buy 2 ZBH9/ sell 10 GEZ9 at 1.75
Dec 8 - sell 2 ZBH9 / buy 10 GEZ9 at 1.60
Dec 2 - buy 2 ZBH9/ sell 10 GEZ9 at 1.86
ZNZ8 vs GEZ9
trades + 1.55
Dec 29 - sell 4 ZNH9/ buy 11 GEZ9 at +1.38
Dec 18 - buy 4 ZNH9 /sell 11 GEZ9 at + 1.35
Dec 8 - sell 4 ZNH9/ buy 11 GEZ9 at +1.28
Nov 28 - buy 4 ZNH9 /sell 11 GEZ9 at + 1.41
ZFU8 vs GEH9
trades .55
Dec 29 - sell 5 ZFH9/buy 10 GEZ9 at +.41
Dec 15 - buy 5 ZFH9/sell 10 GEZ9 at + .36
Fed Funds vs Euro$
FFH9/GEH9 trades .88
Dec 31 - buy 10 ZQH9 / sell 16 GEH9 at .88
Dec 8 - sell 10 ZQH9 / buy 16 GEH9 at 1.45,Dec 12 exit at 1.24
Nov 13 - sell 10 ZQH9 / buy 16 GEH9 at 1.44, Dec 5 exit at 1.47
CBT 2year (ZT) vs Mar9 Fed Funds (ZQH9)
trades + 1.32 bp's
Nov 24 - buy 10 ZTH9 sell 10 ZQH9 Mar9 Fed Funds at 1.52