The last few days have been ultra flat in the STIR space as the spreads have been very lacklustre, and been traded on very low volumes which make scalping in and out extremely difficult. In fact the last two days I have done minimal trades in the Euribor as I've had to look else where to make some money in this market.
The Euribor and Short Sterling Spreads are near lows of the range, but a good Zew and slightly stronger core CPI out the UK has helped push the spreads up, so if you took the long position and was patient enough, it paid dividends today.
The trade really was the Bund as it went back to the mid 140s, and this has consistanly been a winning short at these levels, as we are now trading sub 140 again. Either being the 2s 10s or selling the bund has given at least 100 ticks each time its reached 140.20s-60s in the Bund.
There is always the risk it can continue going higher but with yields at 1.7% it doesn't make sense for it to hang around the high 140s for long.
If we get back up there again I will be looking to buy the Euribor spreads again, focusing on 3.5s in Mar12Jun12, and 4.5s in Jun12Sep12, which I think will be good for 1/2 to 1 tick.
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