Friday, September 21, 2012

7/10 flattener??

I'm still long my 2 units of 10yr notes from an avg price of 98-176...i would have liked to sell them in the uptrade just after the 11am buyback, but 10yr notes have cheapened on the curve today.  With the 7/10 curve at 62.5 bps...i just think that is too steep.  So, when i get flat today i will most likely sell 7yr notes instead of 10yrs, putting myself into a 7/10 flattener. 

I'm not trying to be i'll only be aiming to make 1.5 bps on this curve trade (though I'd feel justified aiming for 3bps).  For the moment, i'm still long my 2 units of 10yr notes (the equiv is 2.7 units of 7yr notes).  I'm hoping to sell 7yr notes at 99-01+...if stocks trade down 2 points (1455.5 on ES) we should get there.

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