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<DIV>Dennis,</DIV>
<DIV> </DIV>
<DIV>The reason is that the Dec. contract has a notional coupon of 8%, meaning
that if T-bonds would be yielding 8%, then Dec. futures would be at 100. </DIV>
<DIV>Beginning with the March contract, the notional coupon is only 6%, hence
the big difference in price.</DIV>
<DIV> </DIV>
<DIV>Warren</DIV>
<DIV> </DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
Dennis L. Conn </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:realtraders@xxxxxxxxxxxx"; title=realtraders@xxxxxxxxxxxx>Real
Traders</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Wednesday, October 06, 1999 7:24
PM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> FUT: Bonds</DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2>Does anyone have an explanation for the 20pt.
discrepancy between Dec and Mar in the T-Bonds?</FONT></DIV>
<DIV><STRONG><FONT face=Arial size=2><A
href="mailto:dlc@xxxxxxxxx";>dlc@xxxxxxxxx</A></FONT></STRONG></DIV></BLOCKQUOTE></BODY></HTML>
</x-html>From ???@??? Wed Oct 06 20:26:29 1999
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Reply-To: "Clyde Lee" <clydelee@xxxxxxx>
From: "Clyde Lee" <clydelee@xxxxxxx>
To: "t-bondtrader" <t-bondtrader@xxxxxxxxxxxxx>, <realtraders@xxxxxxxxxxxx>
References: <000a01bf103e$bea27d80$896345c2@xxxx>
Subject: Re: December Bonds
Date: Wed, 6 Oct 1999 21:19:31 -0500
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Status:
Bill has not thought good of the "swing thing" but it seems to me that
we should at least take a look at what past history says so we may
see what may be in store for us.
There have been 25 combinations of the 0-7 patterns since 1983.
Here we show the averages of 15 of these swings taken 5 at a time.
We did not show the two least probable of the 5 possible averages.
In one of the three cases the prediction says that the turning point
of the market was yesterday and today is the first day in an upward
movement that will last several days.
This particular leg seems to be in line with Bill's statement
> day, this leaves the possibility that tomorrow will be an up day - thus
> completing what I call a Doji Sandwich. This would be a strong reversal
> pattern, but since it incorporates the Contract Low, it could lead to a
good
> up move of a few days. The natural target would be around 115 and the
Remember this is the 1 of 3 patterns. The other 2 still will trend down for
a few days but the ultimate result will be a higher high than experienced
today.
Bills comments about a break of the high of today might be an outstanding
thing to watch.
Clyde Lee
----- Original Message -----
From: t-bondtrader <t-bondtrader@xxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxx>
Sent: Wednesday, October 06, 1999 16:06
Subject: December Bonds
> It is rare if not unique for me to make predictions on the market, but as
I
> am away from the office all tomorrow, I thought I would put forward a
> thought for those who day trade (or perhaps even very short-term position
> trade) the bonds.
>
> Today, the market has ended as a doji and with yesterday being a big down
> day, this leaves the possibility that tomorrow will be an up day - thus
> completing what I call a Doji Sandwich. This would be a strong reversal
> pattern, but since it incorporates the Contract Low, it could lead to a
good
> up move of a few days. The natural target would be around 115 and the
> northerly trend line, before descending again.
>
> On the other hand, if tomorrow is a solid down day, it would be a
> continuation pattern, which, since it will result in breaching the
Contract
> Low could be a decent move down - even the break out of the near wedge
that
> has been building since the end of June. Since the record high of early
> October last year, each leg down from a sideways congestion has been
> substantial. Breaking out of a wedge could herald quite a decent move.
>
> Since Today has also caused an Inside Day, if the high is broken (thus
> setting up a DS) there could be quite a few ticks in the move. If it
> breaks the low, a similar standing of down move could occur. If we have
> another low range day, personally I won't be disappointed because I won't
be
> trading. But the following day...
>
> Hope this gives some people food for thought...
>
> Bill Eykyn
> www.t-bondtrader.com
>
>
>
>
>
>
>
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