10Year Swaps vs TY Strategy
January 21 ,2003
CBT 10yr Swaps vs TY Hold short SRZ2 / long TYZ2 from .27 to .23 bp's.
My objective is to .35bp's. The Cash 10yr Swap - 10yr trades .50bp's.
Kidder's Ratios Short 88 SR vs long 86 TY Each BP is worth 2.5/32's.
At Sept delivery, the NIU2 vs TYU2 expired at .29bp's , with Cash 10yr Swaps at 4.42 and 10 year traded 3.87, so the cash Swap spread was .55.
Go to Barchart Spreads and put in NIZ2 vs TYZ2 Yield or price spread.
Cash 10 Year vs SR (Swaps) Hold LONG Cash 10 Year Treasury / SHORT SRZ2 Euro$ 10yr Swap from .52bp's. Objective to .60bp. Kidder's Ratios : 10mm 10yr vs 97 SR.
Cash 10yr Swap - 5yr Swap trades .95bp's. CBT 6% 10Yr Euro$ (SRZ2) - CBT Euro$ 6% 5yr Euro$ (SAZ2) trades at .93bp'sbp's The Hedge Ratio says BPV of TY = $89 vs FV = $50. Question? Where will cash swap spread and 6% futures yield converge on December 17th. What was this relationship Sept 15th?
Options on SR started Nov 8th. (SAOP) There's 4000 open interest
Short Hedgers: We are short SRZ2 from 111-16 (Euro$ 10yr Swaps.) Put a Buy Stop above the 30min TRENDSPOTTER to protect profits. Daily TRENDSPOTTER on 10Year Swaps gives mixed signals.
SWAPS VS BUND (SRGG ) Hold Short SRZ2 (10Yr Swaps) / Long Bund from +.05 bp's. We have + .10bp's profit. Objective to -.18 bp's, about 1.5 points .This worked well in October, but we are losing .10bp's now, so don't average down.
10 Year Agency vs 10Yr Euro$ Swaps (S0CBT ) Hold Long 10 Year Agencies DNZ / short SRZ2 at -21 with a .07 bp objective. The Hedge Ratio says BPV of DN = $83 vs NI = $86. CBTED has the price/yield matrix.
Bonds vs Euro$ 10Yr Trades at .50. Waiting for .60bp's to Buy US / SELL SR We exited the Long Bonds / SHORT SRZ2 Euro$ 10yr Swap from .46 at .55. Plan to reset at .65bp's. The Hedge Ratio says BPV of US = $137 vs NI = $86.
Buy CBT Euro$ 10yr vs SELL Liffe Euro$ 10yr at .80 (LSWAP)
NIZ2 is CBT Euro$10yr pit. SRZ2 is is CBT Euro$ 10Yr Electronic. NJZ2 is CBT Euro$ 5YR Pit, SAZ2 is CBT Electronic Euro$ 5yr