Thursday, August 9, 2012

Market Profile - Center of Value shifted - still trading

We discussed last night that it was possible for the center of value to shift overnight.  This has indeed occurred, so we need to recalibrate our expectations.  (unfortunately, I overslept again...i was hoping to wake up at 2AM rather than 4:30 (now) to see if the mode had shifted...would have enabled me to take advantage to the new lower trading range...opportunity lost...but the battle wages on)

In ZN, 133-12+ has established itself as the new center of value.

This means that the new range will need to be shifted lower as well.  I have moved my offer down to 133-15+ in ZN for the 1 unit i bought last night @ 133-13 to get flat.  I will also be looking to sell the 30yr bond at an equivalent price of ZN @ 133-17 (the new top of the value bell curve).  In the 30yr Bond, this looks to be about 105-08.  Allowing for a degree of movement in the 10/30 curve, this could really be as high as 105-15.  Somewhere in that range (105-08 --> 105-15) is where I will set my short for today's 16bln UST 30yr Bond auction.

Update - I'm thinking that its possible for the new center of value to be a couple ticks higher...but we won't know for a few hours.  I'm going to hold off setting my short for now and see how the value area shakes itself out.  more later....

Update - Just sold my 1 unit of ZN @ 133-15+, which makes me flat.

more later...good luck trading...govttrader

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