September 17 ,2003
CBT vs EDU4
ZF vs GE Red
ZFZ3 / GEU4 trades 1.53 ( ZF is CBT 5YR & GE is Globex Euro)
We hold long 6 ZFZ3 / short 10 GEU4 from 1.58. ith a 1.40 objective .
ZN vs GE Red
ZNZ3/GEU4 trades 2.65 (ZN is CBT 10YR & GE is Globex Euro)
We want to Buy ZNZ3 / short 10 GEU4 when the line turns.
ZB vs GE Red
ZBZ3 / EDU4 trades 3.65 ( ZB is CBT 30YR & GE is Globex Euro)
We exited the Long 2 ZBZ3 / Short 10 EDU4 at 3.55bp's at 3.59 and am waiting for the line to turn.
CBT vs Euro$ Reds We exited CBT vs RED Trades and wait for a selloff in the back month ED Reds.
We thought the back Red contracts were cheap to FV/TY & US. We think there is a "cyclical trade" in the first week of June/Sept/Dec & March as Euro$ hedgers roll their positions. The EDRed is a surrogate for the 2 Year note, so beware we are in a flatening trend and observe STOP loss levels. We track CBT vs Reds spreads because we actively manage straddles in these 4 markets.
FV vs ED Red
FVZ3 / EDH5 trades .67 bp's
We were short 10 FVZ3 / long 20 EDH5 from .50bp's, We exited at .68
This is a convergence to FVZ3/EDU4 trade. FVZ3/TUZ3 trades 1.23, so the 5yr/2yr curve is not collapsing.
TY vs ED Red
TYZ3 / EDH5 trades at 1.73
We sold 10 TYZ3 / bought 33 EDH5 at 1,43 bp's, We exit at 1.70
This was a convergence to TYZ3/EDU4 trade .
US vs ED Red
USZ3 - EDH5 trades 2.58 bp's
We sold 5 USZ3 / buy 25 EDH5 at 2.18bp's. We exited at 2.55
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