A day's trading euroswiss

I'm setting this up in advance, as tomorrow I'll try to talk through my day trading euroswiss, but wouldn't be in the office in time to set this thread up.

So, first things first, I've got at least a third chance of losing money during the day, if that bothers you!

Anyhow, about the euroswiss: it's settled at contract expiry at (100 - 3 month swiss libor) * (1 million swiss francs) / (3 months). Or to put it another way, it's entire purpose is to pay you back the difference between the lending rate you shorted it at and the rate at which you now have to borrow money on a million swiss francs. Or perhaps the way that people actually do think about it, as 25 CHF a tick, or just over a tenner. As I get half the money I make for my company, I'll be making around a fiver for myself a tick.

I'll be using sizes of 30 lots usually, and from what I remember yesterday I will most likely be bidding at 97.40, offering at 97.43 tomorrow on the preopen of March 2008, with a somewhat tighter spread on the front month. However, I write this without knowledge of what has happened since 4pm today, and also what figures etc are coming out tomorrow. In any case, I'll try to keep this thread updated as close to realtime so as to explain what I'm doing and why.

Right, things were worse yesterday than I was aware of, so offering at 43 is potentially a bit risky, but looking at the market depth it's either that or 45. I've put in orders at 43,44, and 45 and will pull the ones I don't want nearer the time. Putting the orders in now means that I will have greater priority when it comes to them being filled. I'm also mindful that dow and s & p futures are up quite a bit, as are the us treasuries.

Swiss PPI is coming out at 8:15, which I have to be mindful of, but the most important figures today imo are at 9:00 when the IFO comes out, and at 15:00 when the US consumer confidence comes out. There aren't any terribly important speeches today by the ECB, SNB, or the FED scheduled for today. On the other hand tomorrow Roth is speaking, which could be very fun.

In the end I decided to offer at 43 based on the US stock futures, but all trading so far has been at 42. I doubt it is going to trade though.

I haven't traded yet; it has gone 41 offered twice. PPI is out in 3 minutes and unless it's a real shocker I may get a fill from panic. I have some orders in on a few months.

Nothing very interesting in the PPI - there is not going to be that much trading until the IFO comes out, I suspect. When it does, the Swiss will generally follow Euribor. Consensus forcast for the Ifo index is 103.3, but I think the markets are expecting something quite a bit worse, so there's the possibility of a sell off coming up.

A bit of bearish movement in Euribor/Bund just now, prompted by the highest inflation in Saxony since 1994. I have managed to sell 2 whole lots at 42 and buy them back at 41, which will pay for breakfast.

It would not surprise me at all if this Ifo was unexpectedly confident, but I'm not a psychic...

Hello mate,

Are you trading euroswiss as an outright or a spread? Also, rumours of IFO popping around that it's 101

Outright.

P.S. My intuition beat the rumours... it's up!

Although I haven't traded anything today apart from those two lots. Really I should have traded Euribor on it, but I'm concentrating on the Swiss still. I am now happy to offer at 41 on March though...

Changed my mind about offering at 41 based on what the other markets are doing. There's 185 offered there at the moment and I think they'll all trade in a minute or two.

Yep, they've all traded out - after I changed my mind again. So I'm currently 30 short at 41.

And now I have scratched that trade. What a waste of commission!

It has gone 42 bid a couple of times since, so scratching was definitely the correct decision. Not all that much is happening though, June and September (08) are slightly more interesting. I'm currently offering at 43 but may consider 42 if the stocks pick up a bit. I don't expect today to be terribly exciting!

And indeed I am now offering at 42, probably with about 25% chance of bieing filled...

Well... I've managed to sell one lot, which for the moment I'll try to buy back at 41, although that strategy is very changeable.

I've also made a half tick, yes, a whole half tick of 12.5 euros on Euribor.

Noone wants to fill me

I've stopped offering at 42 now, due again to the other markets. Not sure if I want to scratch this one lot position I have - rationally I probably should, but as it's only one lot I don't really care and there's some possibility of it being filled for a profit, and I am extremely likely to have a chance to sort it out later today. It was only me and one other lot bidding at one point, now there's a bid of 147 at 41.

Now is a good time for the stock markets to do something strange, as a lot of results are being reported.

Yep, went 42 bid for a brief period. At the moment bid offer is 41-43, so I'm going to change my mind and scratch this stupid lot.

And it is scratched, 55 seconds after I put the bid in.

My current hope is that it trades 43, where I've had an offer in since 7:09am, which means that I should get a very good fill (due to way the offer matching algorithm works). This is looking more likely now than it has since about 8.

Edited to add: Naturally, as soon as I say this the market starts coming off!

Just picked up 5 (or 10, depending on how you define them) ticks on March Euribor, through selling 10 lots at 660 and buying them back at 655, so bored was I with the swiss that I couldn't help but dabble!

Edit to add: And a half (1) tick doing the same thing in reverse. And I think I'm about to buy at 655 again in a minute.