CBT Fixed Income We are
long ZBH9, long ZNH9, long ZFH9, short ZTH9 based on 30 minute MAX
CBT Curves
Dec 2 - we have curve Steepners & Flatners on , based on daily max
Fixed IncomeETF's We are
short TBT and PST Ultrashort
long
TLT ,IEF ,
short SHY ,
long TIP ,
long AGG ,
long HI Yield - LQD ,
long HYG
CBT Trendspotter
ZBH9
trades 131
Dec 2 - long 2 ZBH9 at 130-24 , sell stop at 130-04
Dec 2 - short 2 ZBH9 at 130-08, buy stop at 130-24
Nov 27 - long 2 ZBH9 at 127-09 , sell stop at 128-09
Nov 26 - short 2 ZBH9 at 127, buy stop at 127-09
ZNH9
trades 122-30
Dec 2 - long 4 ZNH9 at 122-24, buy stop at 122-08
Dec 2 - short 4 ZNH9 at 122-14, sell stop at 122-24
Nov 27 - long 4 ZNH9 at 120-09, buy stop at 121-20
Nov 26 - short 4 ZNH9 at 120, sell stop at 120-09
ZFH9
trades 118-02
Dec 2- long 6 ZFH9 at 117-28 , sell stop at 117-23
Dec 2 - short 6 ZFH9 at 117-21, buy stop at 117-28
Nov 28- long 6 ZFH9 at 116-04 , sell stop at 116-31
Nov 26 - short 6 ZFH9 at 116-02, buy stop at
ZTH9
trades 108-10
Dec 1 - short 6 ZTH9 at 108-125, buy stop at 108-145
Nov 27 - long 6 ZTH9 at 108-01 , sell stop at 108-125
Nov 26 - short 6 ZTH9 at 107-30, buy stop at
CBT Spreads Strategy based on daily MAx
ZBH9 - ZNZ
trades + .47 bp's
Nov 26 - sell 5 ZBH9/buy 8 ZNH9 at .44 bp's,
Nov 19 - buy 5 ZBH9/sell 8 ZNH9 at .45 bp's,
ZBZ -ZFZ
trades 1.60 bp's
Nov 19 - sell 2 ZBH9 / buy 6 ZFH9 at 1.51 bp's,
Nov 14 - buy 2 ZBH9 / sell 6 ZFH9 at 1.72 bp's
ZNZ - ZFZ
trades 1.12 bp's
Nov 28 - sell 3 ZNH9 / buy 5 ZFH9 at 1.06 bp's,
Nov 14 - buy 3 ZNH9 / sell 5 ZFH9 at 1.25 bp's,
ZBZ - ZTZ
trades 2.00 bp's
Dec 1 - buy 2 ZBH9/sell 6 ZTH9 at 2.12 bp's,
Nov 28 - sell 2 ZBH9/buy 6 ZTH9 at 2.20 bp's,
Nov 14 - buy 2 ZBH9/sell 6 ZTH9 at 2.46 bp's,
ZNH9 - ZTH9
trades 1.50 bp's
Dec 1 - buy 3 ZNH9 / sell 5 ZFH9 at 1.65 bp's,
Nov 28 - sell 3 ZNH9 /buy 5 ZTH9 at 1.71 bp's,
Nov 14 - buy 3 ZNH9 / sell 5 ZFH9 at 2.05 bp's,
ZFH9 - ZTH9
trades .38 bp's
Dec 1 - buy 10 ZFH9 /sell 11 ZTH9 at + .55, bp's
Nov 25 - sell 10 ZFH9 / buy 11 ZTH9 at +.65, bp's
Nov 10 - buy 10 ZFH9 /sell 11 ZTH9 at + .80, bp's
Fixed Income ETF's
TLT Ultrashort
Nov 25 - sell TBT at 50.3 , buy stop at 46.1
Nov 24 - buy TBT at 52.5 , sell stop at 51.8
Nov 14 - sell TBT at 61 , buy stop at 52.2
Nov 13- buy TBT at 60.75 , sell stop at 61.7
PST Ultrashort
Nov 25 - sell PST at 60.5 , buy stop at 57.
Nov 24 - buy PST at 60.9. , sell stop at 60.2
Nov 14 - sell PST at 64.11 , buy stop at 60.5.
Nov 13 - buy PST at 65. , sell stop at 64.7
TLT 20+
Nov 25 - long TLT at 103.94 , sell stop at 108.3
Nov 21 - short TLT at 102.9 , buy stop at 103.
Nov 14 - long TLT at 95 , sell stop at 103
- short TLT at 104.4 , buy stop at 105.5
IEF 7-10y
Nov 25 - long IEF at 93.2 , sell stop at 95.2
Nov 21 - short IEF at 92.85 , buy stop at 92.8
Nov 14 - long IEF at 89.75 , sell stop at 92.85
Nov 13 - short IEF at 89.35 , buy stop at 89.6.
SHY
Dec 1 - short SHY at 84.59 , buy stop at 84.71
Nov 25 - long SHY at 84.52 , sell stop at 84.59
Nov 20 - short SHY at 84.64, buy stop at 84.6
Nov 18 - long SHY at 84.39 , sell stop at 84.58
AGG Aggregate
Dec 1 - long AGG at 99.25 , sell stop at 98.98
Nov 26 - short AGG at 98.7 , buy stop at 99.25
Nov 24 - long AGG at 96.99., sell stop at 98.45
Nov 24 - short AGG at 96.75 , buy stop at 96.99
TIP
Nov 25 - long TIP at 92 , sell stop at 95.3
Nov 18 - short TIP at 95.35 , buy stop at 92.8
Nov 14 - long TIP at 95.04 , sell stop at 95.35
Nov 11 - short TIP at 95.5 , buy stop at 95.04
Dec 1 - long LQD at 90.85 , sell stop at 91.3
Nov 28- short LQD at 90.4 , buy stop at 90.85
Nov 24 - long LQD at 91 sell stop at 90.40
Nov 20 - short LQD at 90.6, buy stop at 91
HYG HighYield
Dec 2 - long HYG at 64.9 , sell stop at 64.4
Dec 1 - short HYG at 65.66 , buy stop at 65
Nov 24 - long HYG at 65.17 , sell stop at 65.9
Nov 7 - short HYG at 72.7 , buy stop at 64.5..
CBT Basis
Ratios
5yr Basis
trades - ..01 bp's bp's
Nov 13 - short 75 ZFH9 / long $10mm 10Yr at .12bp's , exit at .10bp's
10yr Basis
trades .37 bp's
Oct 22 - long 56 ZNZ7 / short $5mm 10 years at .50bp's , Nov 6 exit at .39bp's