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T-Notes rollover impact on Bund?


Discussion in Treasury Notes and Bonds

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  #1 (permalink)
TradingTom
Munich Germany
 
Posts: 32 since Jan 2017
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I've been studying Euro Bund (FGBL) for the past few weeks and over the last few days there has been an unusual high level of liquidity and very "different" market behaviour.

Is this caused by the rollover of the T-Notes / US Bonds?
Or is there something else I'm missing?


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  #3 (permalink)
 choke35 
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TradingTom View Post
I've been studying Euro Bund (FGBL) for the past few weeks and over the last few days there has been an unusual high level of liquidity and very "different" market behaviour.

Is this caused by the rollover of the T-Notes / US Bonds?
Or is there something else I'm missing?

The FGBL is no exception to the rule that volume tends to pick up during the weeks before the expiry.
Since March 18 volume is already well above 150k contracts and March Open Interest is already above
30% of December 17 you can safely assume that only a minority of traders will delay their rollovers until
the old contract expires (12/07).


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Last Updated on November 30, 2017


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