|
PureBytes Links
Trading Reference Links
|
I also like to follow the US treasury market as an indicator. I use the 30
year benchmark Long Bond. Here, in the UK, we get a lot of useful real-time
data broadcast on the SKY news TV channel from the Astra satellite. The 30
year Long Bond is updated every minute, 24hrs per day.
When the US Treasury issue a new 30 year bond it becomes the new Benchmark
and starts trading at 100.
I like to apply my interpretations of the theories put forward by W D Gann
to analyse the data. The price history made a significant low at 92 14/32nds
on 7th November 1994. During May 1995 the price rose through the significant
16.66% level without hesitation indicating a likely top of around 115
17/32nds, 25% from the 7th Nov low. The price duly formed a triple top in
June and early July '95 before falling back towards the 16.66% level. This
strong performance enabled the US Treasury to make a new 30 year issue in
August at a lower coupon.
The August issue failed to rally 16.66% (115) but did enable the US Treasury
to make a new issue in February 1996. This traded down to 85 in June and
July '96 almost exactly 25% from the January high (113) of the August issue
<g>.
We can now see that, as of the first week of January '98, the price has
risen 25% from the July '96 low. Now watch carefully at this level, 106
8/32nds. If the price continues to rise the target is 113 10/32nd and the
the US Treasury will be able to make a new issue in February at a low
coupon.
Don't you think the Fed would like to issue with the lowest coupon
possible???
This has to be a good incentive to Greenspan not to rock the boat before
February!!!
Given the price and the coupon you might find the graph of the indicative
yield interesting.
Richard Parsons
-----Original Message-----
From: Jay Mackro <jmackro@xxxxxxxxxxxx>
To: realtraders@xxxxxxxxxxxxxx <realtraders@xxxxxxxxxxxxxx>
Cc: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: 08 January 1998 20:56
Subject: T Bills correlated with Bonds?
>Here's my problem:
>
>I am primarily following the S&P in real time, and would like to
>watch the 30 year bonds as an indicator. However, the S&P is
>traded on the CME, while the Bonds come from the CBOT. The issue
>is that each exchange charges fees to recipients of real-time
>data. I'm willing to pay the CME's fees, since I follow the S&P
>(as well as the currencies) in real time, but I hate to also
>pay fees to the CBOT just to watch the Bonds. Yes, I watch
>Bonds 10 minutes delayed, and it's better than nothing. Still,
>I am looking for situations where the Bond turning points lead
>the turns in the index, and with a 10 minute delay, well....
>
>My brainstorm was that the T Bills, which ARE traded on the CME,
>might be correlated with the Bonds. Again, I don't need the
>absolute value of Bonds at any point in time - I am just interested
>in the up-to-the-minute "shape of the curve". So, I put up a plot
>of T Bill prices, but the results were pretty weird - is this a
>really thin market? Looking at TB8H with 5 minute bars, the chart
>didn't even display a bar every interval. It looks like the trading
>pattern for an expired contract!
>
>Two questions:
>
> - Am I wasting my time here? Is the T Bill contract even correlated
> with the Bonds? (No need to reply explaining the "yeild curve" -
> yea, I understand the difference between Bills and Bonds).
>
> - If "yes" to the above question, are T Bills an active contract, and
> I'm just experiencing some difficulty in displaying them? Or, are
> T Bill futures just so thinly traded, that their plot will always
> just look like random dots?
>
>Thanks
>
>Jay Mackro
>
|