Tuesday, October 2, 2012

While I'm sleeping

I'll be offering 1 unit of 10yr notes @ 100-09 overnight...with the plan to buy them back at 100-00 before ADP tomorrow morning.  Here's to hoping for a little overnight volatility.

Any RV guy will tell you that 10's are rich on the curve, and on the fly.  With no 10yr buybacks in the near future...and supply coming...i feel comfortable with my choice.  The market must be giving 10yr notes a sympathy bid in response to the Fed's 40bln per month MBS QE program.  However, that's where the bell curve comes into play.  100-09 represents the top of the bell curve given the recent range-bound volatility.  This is not the extended top mind you..that would be another 20 ticks higher...this is more of a micro type bell curve that should capture the normal distribution within 1.5 stdevs.  Today was a low volume day (only 600k ZN contracts traded...that's 50% of normal), so hopefully that will translate into some weak handed short covering overnight.

more later..govttrader out...

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