Summary of the Week- Euribor spreads retrace

In a week again dictated by what will be the take up in the Greek debt swap deal, and Greece something or another we seen the lofty spread prices of the previous weeks in the Euribor contracts come back down again. Last week I was shorting every spread especially in the back months, most notably Sep13-Dec13 and Dec13 Mar 14, as they kept going higher. In the later spread I was averaged in from 9s up to 10.5s, and didn't have the bottle to hold on to where I knew they were eventually going which was back down to the previous range. Its always easier as we all know to say something is going to happen, but with the pain of seeing the spread seem somewhat on a big break up to the upside, any sign of profit makes us want to get out after seeing the red. Also it took 7 days or so for it to come back down and being a day trader, it wasn't in my trading plan to hold it that long, although it does look like that's the new way forward in the current conditions.

Either way came out with small profit and now im looking to buy the spreads again. Disappointingly the ECB press conference yesterday didnt really provide much opportunity after the first small sell of in the Bors, but with Non farm payroll being released in just over an hour, an out of line number might spice things up a bit.
Im looking to go long 7/7.5s sep13 dec13, on the back month, in the front months looking an opportunity to go long 4.5/5s in Jun13/Sep13, short 6s-6.5.

Elsewhere with the Bund having rolled over, I am favouring longs back towards the 140 level in the jun12 contract, although a good Non Farm payroll could make me rethink that view.

Equities seem to be a buy still as returns elsewhere are very low, hence making it the best value out there.
Hopefully we have some movement of this NFP, good luck!

Post 3 Year LTRO moves

With the Greek bailout approved and the 2nd and final 3 year LTRO out the way, we started to see some volume coming back into the short end especially. Although trading was difficult as the short end spreads where going upwards with no real pull back. I tended to short every 3 month spread in the Euribor and Short sterling contracts, and over the course of yesterday and today kept averaging till I ended small up, doing 400 odd round trips over the two days, which didn't really help the cause. Despite not being able to hold on to all of the spreads I do still think we will come back off as there is no real reason for it to continue going higher.
The Bund tested 140s 3 times, and all three times ended up being good sells, with going long the shatz Bund spread when the Bund is in the 40s being the slightly safer option. I mis timed the first one and the second time was a great bounce of a level a couple of months back which I didn't get into sadly.
Hoping for some real action now going forward.
For further info on this spread watch below:

Yield curve Analysis

After the uncertainties surrounding Greece has made for some difficult trading conditions, there has till been some good opportunities that has arisen from trading some spreads.
On the shorter end the Euribor-Shatz has come off a high after the shatz finally started to move.
For further details view below:


In terms of the longer end of the yield curve, the 2s 10s spread which is a good representation of this yield curve, we are getting some pretty big moves, with some good opportunities when the Bund reaches the 139 area, with the Shatz being quite subdued in its movement. The curve has been flattening as is expected, but some high probability opportunities have been there. Watch below to see what the spread has been doing.

MF Global News

I was shown a great resource for MF Global news, especially for UK clients.
Check out the site: http://mfgukclients.org/

Greeks pass austerity measures - Bund trades lower

On Thursday we had a dip of almost 100 ticks to sub 137 in the Bund as seemed the Greeks passed there austerity measures, on friday we rallied up back above 138, and as high of 138.70 as it was now apparent that they will not agree to pass these measures as there was mass protests by the Greek people. Finally over the weekend the vote was passed and we drop 100 ticks again in the Bund and now trading 137.78.
Now where we go next is anyones guess in this casino we call the market. Its hard to form a medium term view as we are held hostage by the Greek indecision. Technicals go out the water some what as another rejection could push this higher again. We seem to have found an area of value in the 137.70-80 region as this has been an area of significant trade over the past week.
Like many I dont think this is by any way finished and we will continue to have volatility in the bund on the back of continuing comments coming out the Greeks, the EU and IMF and I suspect that we will once again trade back into the 138s, even 139s in the Bund again at some point soon.

TED Spread Update (Shatz Euribor)

Watch below for an update in the moves of the TED spread

Strong Non Farm leads to Bond Sell Off

We had a very big beat today in Non Farm payrolls as we came in at 243k Jobs created for January as well as higher revisions for the previous 2 months. This goes against the doom and gloom painted by Ben Bernanke yesterday. We had a fall in the Bund of 120 ticks since the number as rate hike chances have been bought forward. IF data continues to improve then its more likely then not that the markets expectations for change in monetary policy will be bought forward, and hopefully this will spice up the trading activity in the short end as right now its very flat.
Watch below to see some of todays action in the Bund: