Month-End Extensions

[AbuCordelia]

Hi guys,

Bund trader here. Looking for some data on month-end extensions.

Does anyone know where I can find EU data. Or even better - studies on month end effect on bund and/or 10yr TNote futures.

Thanks.

 

[Hakuna Matata]

any decent squawk service will have this if you ask. Try and line up a trial with In Touch Capital Markets, they're a rates/FI specialist and highly recommended.

(former customer)

 

[AbuCordelia]

Ill try that. Thx

Ps, any suggestions in terms of what to look for? Im thinking of some kind of regression based on the last hour of trading on fridays.

Thx again

 

[Hakuna Matata]

Ill try that. Thx

Ps, any suggestions in terms of what to look for? Im thinking of some kind of regression based on the last hour of trading on fridays.

Thx again

Can't help you there.

 

[Martinghoul]

This is tricky and a well-known effect. You probably won't discover anything that can be turned into a viable strategy, I would guess. Getting a history of month-end extensions is difficult.

 

[AbuCordelia]

A history in terms of tick data or projected inventory needs?

 

[Martinghoul]

A history in terms of tick data or prejected inventory needs?

In terms of the size of the extensions on past dates...

 

[Martinghoul]

And there you have it, Abu... No need to try and look at the time series or try to understand the relationship. All you need to do is "sit in and listen to what the experts are thinking".

 

[Martinghoul]

Although his response sounds sarcastic he is correct, you only learn from others with more experience.

Martinghoul...why dont you tune in and see what you think of our live webinars, surely being a legendary member you know that getting other peoples perspective on the market can help you to become a more rounded trader.

Don't mind me, I am just bitter, 'cause it's been a tough week...

As to tuning in, you know what? Why not? I might just do that... Sign me right up!