Trading Update

Been a bit difficult this week, Volume has wained slightly, meaning its harder to get in and out of Spreads quickly, and they require holding for much longer periods. Also with the fall in the Bund, Euribor and Short Sterling Spreads have been pushing upwards, but its that slow grind upwards without the retrace, which can leave you bleeding money slowly, but without really knowing it!
With Mar14Jun14 spread coming down to trade 6s, when we bounced up to 7s I started to short small, it then went to 7.5s so I shorted more, and then it was looking like it was going to push 8s as well. This type of movement was replicated along the curve, and I ended up being short the whole curve from Mar14 to Sep15! Wasn't looking pretty but after some dovish comments from ECB officials mid morning provided the snap back I was looking for and luckily I managed to get out all my positions, for some profit at the end of it.

I don't see much change in the style of action we been getting going forward, but you can see there's many more players in the market which is great!

ECB maintain Accomodating Stance - Euro Tanks

Today was another lively press conference from the ECB with good volume and volatility accompanying the session. Sure makes a change to the very quiet ones we had for the best part of last year.
Here are some key remarks from Draghi Press conference:

Draghi says inflation has eased in recent months.
Draghi says accommodating ECB policy will support economy.
Draghi says will monitor money market conditions

Draghi says downside risk to inflation from higher Forex.

The Euro took quite a hit on these comments as we are trading 1.3380 as I write as opposed to 1.3530 just before he spoke.
Euribor Spreads as you would expect came off slightly on the back of this news as Euribor Outrights pushed up 7 fat ticks for the day. It was a messy day of trading as the volatility took as it gave. With flow sometimes easy to ready it was easy enough to put on some good spreads, but at the same time I was left hanging many times and ended up taking losses too.
Overall I maintained a long bias as we were coming off in the front months, and I was continually shorting 9s in Mar14Jun15, as this seemed very high to me. And this paid off as we came off, but only by half a tick.
But money is money!
Below is the composition of today's trading.

EIA Nat Gas Numbers leaked AGAIN

This is the second week in a row where a few seconds before the number someone dumped the price just as a build in Nat Gas was published. Free money all the way!!

As you can see at 15.29 we have a 50 point spike down, before the real move at 15.30 when the data actually came out.
You cant beat the big guys! As they always get everything first. Leaked data is like a winning lottery ticket, I think it would be too much though to think that such leakage of data will be stopped!

End of the Month: Tough Day

Was a tough day today, just eeked out a small gain for the day! My main priority really was to protect gains for the month. With lots of Data out tomorrow hoping for some good opps! Below is the break down of my trades today.

US GDP negative

I didn't expect that figure, -0.1% for quarterly annualized GDP out of the US! As you would expect the initial reaction was a pop up in fixed income products and a drop in Stocks. Spreads maintained there levels quite well but this morning we are seeing some pullback which was to be expected after the big run up in the front months the past few days.
Looking at Mar14Jun14 3 Month Euribor Spread, we see that its trading now mid range. So tough to really have a real bias around these levels. I've been shorting primarily on the move up, but I have been trying to scalp half ticks in the volatility also.

For the rest of the day going to look at playing it small, with not much data out today, and it being end of month we mite get some extra volatility in the out rights.

All in all its been a good January, hopefully this follows through to the rest of the year!

ECB Banks to repay EUR 137.2 Bln

I think Euribors have woken up big time this year, this is the fourth day of mega volume, with well over 2 million contracts traded along the strip. The burst of action was brought about by an ECB announcement that banks were to repay EUR 137.2 Bln of 3y LTRO on Jan the 30th. This is significant as it signals increased confidence among banks on conditions in Europe.

Bonds dropped off a cliff as the announcement came out with heavy volume accompanying the news. The ensuing volatility continued for a good 3 hours post the move, which provided many trading opportunities, although it was very tricky and easy to get done at the same time.

Below is the Jun14 Euribor chart.

As you can see the volume for the rest of the day was significantly higher for the rest of the day.
Although the obvious trade would be to short, I stuck to trading the spread today, as I wasn't too aware of the magnitude of the reaction of this data. Spreads on the most part were steady in the red months, but we rose in the front months before coming off again in the afternoon. Mar14Jun14, was trading 6s in the morning, went to as high as 7.5s before settling at 6.5s/7s. By sticking to the ranges it worked out well.

We also had poor UK GDP figures, which affected Cable primarily, as equities continue to go higher regardless!

Today was one of my most busiest trading days, with the continuous action meaning I didn't have time for lunch! After taking a loss initially on the move I manged to recover it.
I've attached a screenshot of the composition of my trades today in Euribor for those interested.
Lets hope for more of this volume!

Big down day in Euribor

Euribor contracts were of the best part of 10 to 15 full ticks today on the back of some of the heaviest volume I have seen in a long time! With clips of 2k and above the norm today. As the chances of a rate cut and negative rates pretty much at zero, Euribors continued to fall from lofty highs as we are now trading 30 fat ticks lower then we were a month ago.
Despite the big down move spreads held very well implying that this was just a repricing of Euribor rather then a real shift in interest rate expectations. With this in mind it made trading to day great, as there was plenty of volume to fill you and it was a matter of nicking 1/2 tick all day long.
We also had very strong Initial claims and New Home Start numbers from US adding to the risk on sentiment, although we had poor Philly Fed numbers, which however wasn't enough to stop the continued ascent in Stock prices.
Looking forward if we continue heading down in STIRs I expect spread prices to continue going higher, but will be capped at the high of the ranges, as there is still no signal of any rate rises in the near future.
Tomorrow we have UK retail Sales, and Univ Michigan Consumer confidence, to lead us into the US 3 day weekend.