Best Thread STIR's from Scratch

[MrGecko]

This thread is aimed at anyone who is interested in learning about trading STIR's.

I am new to FI products. I have traded Indices, Commodoties and FX from a PA / TA perspective full time, but took a break about 5/6 months ago and haven't traded since. fixed Income / Interest rate products are something i have wanted to try trading for a few years but never got round to.

In terms of contracts, I have been following the Bund/Bobl/Schatz thread keenly, whilst trying to make sense of the Schatz orderbook. However, after a bit of research, it is STIR's that interest me more. I am starting this thread simply because I could't find another that catered for the novice.

Fellow learners + proven pro's please make yourselves known!

Personally I am concentrating on the Eurodollar, but EURIBOR / Short Sterling traders please jump in.

Up until now, I have been through Aiken (which I guess is a convenient foundation for beginning discussion), and am working my way through Burghardt (it's been a while since i had to concentrate like this; there are well thumbed (and dusty!) copies of Wilmott and Hull on my desk as we speak. Having used PA and TA for trading previously, it is a shock to be studying from a book without any pictures!).

To Kick things off, I am particularly interested in Term TED spread, but quite a way off trading even calendar spreads yet. Can any pro's direct me to something I wouldn't find myself?

I don't want to commit to starting some monster thread, but it would be great if some like minded learners/traders could club together while we each get the maths sorted - then move on to discuss how to actually profit from the things.

Any other STIR traders out there??????

 

[MrGecko]

P.S.

If STIR's are new to you, and you are interested, then I suggest this book:

Trading STIR futures, Stephen Aiken.

It isn't academic, and gives a good introduction to the STIR futures markets (I read it in a weekend, but need to go through it again with a pencil and paper to understand all the concepts).

 

[kobeyashi]

MrGecko,
I don't trade STIRs as of now, and my career trading the Bunds is nascent, but STIR futures is something I am interested in. Thanks for the tip about the book by Stephen Aiken.

Regards,
Kobeyashi

 

[gooseman]

You got any specific questions?

I'm European/US FI and STIRS. STIRS primarily. Mainly options too.

 

[arabianights]

I trade all 3 LIFFE STIRs (Euribor, Short Sterling, and Euroswiss). Primarily scalping outrights. I also wrote two threads here written live during a day trading Euroswiss.

Scalping STIRs is all about the orderbook and reading the order flow...

I wouldn't usually bother with the spreads - they're boring, more expensive, and there's a lot more competition. Occasionally you see a good trade and hit them though.

 

[red army]

You got any specific questions?

I'm European/US FI and STIRS. STIRS primarily. Mainly options too.

Hi, whats your view on the jun/sep/dec fly and the sep/dec/march fly. Currently trading 14s and -9s. I don't i have seen theis box spread as wide as this?? cheers

 

[clbfjc]

How do you find trading these products outright, my understanding is it is more of a spreaders market therefore harder to read the order flow, i used to trade Bund, Bobl, Schatz as outrights, looking to spread these markets but am also interested in the STIRS. When you trade these as outrights do you look at the spreads in order to try and get out for a scratch / half tick profit if you are wrong.

 

[MrGecko]

I stick to trading Eurodollar outrights... trading off levels and price action mostly, using the longer end of the curve as a guide... yeah will use spreads sometimes to save a tick or two, or if I want to hold a position overnight.

 

[clbfjc]

Hi is there anyone else out there trading the STIRS as outrights or do most people spread them?

 

[Beaker35]

I've been trading STIRS for 5 years, I am currently just trading outrights, as the spreads and flys etc are just as mad and volitile. I'm in Sterling by the way....what fun!! The way I trade it has changed so much over the last year, but you have to adapt. It used to be flys and condors with a few outrights, but now I'm just directionally trading the outriights using levels, price action etc, with smaller size, wider stops and TP's.

 

[red army]

Hi is there anyone else out there trading the STIRS as outrights or do most people spread them?

doing both really put purely trying to gage the direction and then jump on the train........

 

[rs1]

Outright STIRs

Hi,

I don't trade STIRs currently but have a few questions for the experienced guys here, as I'm still learning and trying to get a feel for all the different products out there.

1) When you trade STIRs outright, how do you decide which part of the curve you will focus on? Or do you keep a few contracts up (eg mar sep dec euribor), see where the liquidity is and focus on that?
2) Major Noob question, but looking at the charts, the STIRs seem to give alot more opportunity to scalp half ticks/ ticks by buying on bid, selling on offer, as they move around a lot less than the longer end? Is that true, or is there too much spoofing, machining going on to make that possible?
3) Anybody actually take position and run it over a few hours to take a few ticks out, or is it all just in and out for a tick or two?


Thanks for the help

 

[Adamus]

Hi STIR traders,

just wondering how many points slippage you suffer when trading outrights in these markets? I'm talking small lots, one lot to start with.

I mean, I guess I'll find out soon but it would definitely help to know what to expect.

Cheers

 

[DC STOXX]

Hi STIR traders,

just wondering how many points slippage you suffer when trading outrights in these markets? I'm talking small lots, one lot to start with.

I mean, I guess I'll find out soon but it would definitely help to know what to expect.

Cheers

They are the thickets futures markets that exist. You wont have to worry about slippage for a few years

 

[arabianights]

yeah, what dean says... in normal circumstances don't worry about slippage on STIRS.... just worry about bastadds

 

[Adamus]

Ok I won't let the bastadds grind me down. I'll be trading with stops, so presumably I'll meet the bastadds quite soon then, is that what you mean?

 

[tripleogstar]

i trade short sterling futures contracts. I mainly use FRA rates to trade the contracts, so trying to take advantage of arbitrage opportunities. Hedge funds with their quick algos dont help

 

[arabianights]

i trade short sterling futures contracts. I mainly use FRA rates to trade the contracts, so trying to take advantage of arbitrage opportunities. Hedge funds with their quick algos dont help

How much mileage is there in that at the moment, with the lack of any decent size in sterling? Whenever I've looked at the FRAs (ICAP anyway) they seem to be being priced more or less directly from sterling anyhow...

 

[MrGecko]

i trade short sterling futures contracts. I mainly use FRA rates to trade the contracts, so trying to take advantage of arbitrage opportunities. Hedge funds with their quick algos dont help

Arbitrage opportunities?

Granted, thin markets are exaccerbating movements, but unless you are talking about using different convexity adjustments I can't see where the arb is...

... please elaborate?

 

[tripleogstar]

I only trade if there is a decent size gap in the market, but yea at the moment, there doesnt seem to be many opportunities. Looks fairly priced