Full tick from Monday!

[clbfjc]

Cheers guys, can see the logic, have tried legging out on occasions but could not understand why people would try and leg in.

 

[clbfjc]

Sorry, one final silly question... What leg would you do first...

 

[arabianights]

Gilt roll is not fully done cheapening, I think it goes lower for a while yet, 'cause a lot of people still don't wanna take delivery and open interest is still big. You should be able to cover better than here.

19 bid there now if you want some

Sincerely,

Short and Caught

 

[arabianights]

Sorry, one final silly question... What leg would you do first...

Which was harder to get into.

 

[Martinghoul]

19 bid there now if you want some

Sincerely,

Short and Caught

I am long already, amico... Bought some at 112 and some before that at 116. I wasn't talking my book. But certainly didn't expect this pop; rather the opposite so that I could add.

 

[Martinghoul]

Used to do Euroswiss, but, alas, no more of that...

Gilt roll is not fully done cheapening, I think it goes lower for a while yet, 'cause a lot of people still don't wanna take delivery and open interest is still big. You should be able to cover better than here.

Took profit at 124...

 

[readyaimfire]

Would be ironic if arabian stopped himself out at 124,you might have traded with each other......

 

[arabianights]

nah I did the old "if in doubt average" trick and got out at average of 16 later on that day...

 

[readyaimfire]

Nice,I don't subscribe to the 'if in trouble,double' theory though,I don't know what kind of size you trade in but I averaged down massively in the Euribor a couple of years ago,ended up with 2000 spreads on and dropped a quick 200 grand. Worked rigid stops ever since.

 

[arabianights]

Nah was only doing play money as I am getting used to it... Would have struggled to lose five

 

[brucemole]

Nice,I don't subscribe to the 'if in trouble,double' theory though,I don't know what kind of size you trade in but I averaged down massively in the Euribor a couple of years ago,ended up with 2000 spreads on and dropped a quick 200 grand. Worked rigid stops ever since.

ouch

I don't think you can apply any hard and fast rule to it. Each situation merits different courses of action.

 

[clbfjc]

Hi,

What are you boys looking at to trade the spreads.. Are you just looking at the Gilt or do you also use charts of the spread you trade. Been useing a bit of Market Profile - for GILT and P&F charts for the spreads. Kow a few people who just look at the Gilt and other hourly charts on the individual spreads.

 

[Martinghoul]

I look at the implied repo on the CTDs and the basis...

 

[brucemole]

I look at the implied repo on the CTDs and the basis...

how do they form the basis of your decisions martin?

 

[Martinghoul]

how do they form the basis of your decisions martin?

Well, the fair value for the roll can be estimated (with a few choice assumptions) by looking at the repo to the dates of the two contracts. The potential for the CTD switch is a bit of an issue in the recent times, but you can still do a rough estimation even now.

 

[readyaimfire]

ouch

I don't think you can apply any hard and fast rule to it. Each situation merits different courses of action.

A lot of guys trade like that, sometimes average, sometimes not, personally these days I have a position with a pre-determined exit point for profit or loss and have reduced my trading size to allow for wider stops.

It was getting a bit crazy to be honest, guys in my office would have 5000 spreads on, no problem, 2000 bund/bobls - no big deal. That was my worst day by far but a drop in the ocean for others.