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Accutic Alerts available by clicking the Join us option @ www.accutic.net
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Combine traditional Bar Chart analysis with Accutic alerts to sharpen your competitive edge.
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Gain a better understanding as to how derivative trades impact the underlying contracts
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Activity comes direct to you right from the trading floor
The illustration below shows 3 alerts from today's activity. Each alert shows the level of the September bond futures contract (left dial), the September 5yr. note futures contract (right dial) and the mathematical difference between the two contracts or FOB spread (middle dial). Alert A was from approx. 8:33 a.m.c.s.t. A dealerr, UBS, sold 1,500 Sep. 5yr. note futures @ 11430 vs. buying 600 Sep. bonds @ 11620. In alert B they sold 400 more Sep. 5yr. futures @ 11431 vs. buying 160 more Sep. bonds @ 11626. In alert C they sold 2,100 more Sep. 5's @ 11431 vs. buying 840 more bonds @ 116'28. Note Cash 5's were yielding around 2.57% at this time and cash bonds were around 4.43%, making the yield spread differential 186 basis points.
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Note:
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7/28 Dealers sold 5's and bought 30's @ a 25.5 tic differential
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7/24 Dealers sold 5's and bought 30's @ a 28.5 and 29 tic differential
Also note in alert A, I inserted 30 minute bar charts on the 30yr. (below left dial) and 5yr future (right) dial. The bar representing the price action for each during the 8:30 to 9:00 a.m. interval is highlighted in red. Notice how the bond moves up sharply at this time and the 5yr. note goes the other way.
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Keep in mind the following:
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Alerts express the price differential between the products on a 1-1 ratio.
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Price differential is expressed in points and 32nds. of a point.
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