T-bonds Shorts Wait For Greenspan
| PREVIOUS POSITIONS | ||||
|---|---|---|---|---|
| Market | Long/Short | Enter | size=2 color=000000>Exit | size=2 color=000000>P/L (per contract) |
| Sep. 99 T- bonds | Long | 116-06 | 115-05 | -$1031.25 |
| Sep. 99 S&Ps | Short | 1328 | 1327 | $250 |
| Sep. 99 Swiss franc | Long | .6555 |
.6575 | $250 |
CURRENT POSITIONS (AS OF 6/16/99) |
|||||
|---|---|---|---|---|---|
| Market | Date | Long/Short |
Enter |
size=2 color=000000>Stop | size=2 color=000000>Target |
| Sep. 99 T-bonds | 6/16/99 | Short | 115 |
116-14 | – |
| Sep. 99 S&Ps | 6/16/99 | Short | 1342 |
1367 | – |
| Sep. 99 Swiss franc | 6/16/99 | Long | .6525 |
.6450 | – |
Note: All price levels are approximate.
S&P 500 futures
The September contract [SPU9>SPU9] rallied today on the friendly CPI number. We took a small short position at the 1342 area with stops in at the 1367 level. Stay tuned for profit target.
Volatility on the VIX (CBOE volatility index) dropped today, which is bullish, but there is a good chance we will see increased volatility again–bond yields are still above the 6% level. The probabilities suggest we are in for more range trading.
 |
| Figure 1. September S&P futures (SPU9), 15-minute bar. Source: Quote.com.
|
T-bond futures
The September futures [USU9>USU9] rallied on the CPI number today. The core rate (excluding food and energy)
rose a less-than-expected .1%. The Commerce Department also reported that construction starts for new
homes was growing at a 1.6 million annual rate, which was stronger-than-expected.
Overall, the market rallied as investors and traders started
realizing the Fed might not have to raise rates as much. Many
economists still expect the Fed to raise rates by at least 25 basis points.
Greenspan will testify tomorrow and could offer hints on Fed
policy.
We established a short position at the 115 area because we think the
market could dip tomorrow on Greenspan’s testimony. Our research also
indicates bonds will go into a range. Our stop is in at the 116 14/32 area.
Stay tuned for the profit target.
 |
| Figure 2. September T-bond futures (USU9), 15-minute bar. Source: Quote.com.
|
Currency futures
The September Swiss franc [SFU9>SFU9] and Euro [ECU9>ECU9] both fell today on a couple of factors. Reports about friction being created by the Russians in Kosovo was viewed as a negative. Furthermore, there were comments from Germany’s Finance minister reflecting his lack of concern about the Euro’s recent decline. Lastly, there
was the CPI, which attracted dollars back to the U.S. stock market as
investors bought stocks (they have to sell Euros to do it).
There’s a
combination of political and economic factors here. We want to
fade the political factors and thus we went long the Swiss franc at the .6525 area with stops in at the .6450 area. Check back for our profit target.
 |
| Figure 3. September Swiss franc futures (SFU9), 15-minute bar. Source: Quote.com. |
Next scheduled update: Friday, June 18, 1999
(Check “Today’s Schedule” every day on our home page to find out about additional updates.)