Monday, February 11, 2008

March FOMC Trading Idea...

Last 30 day FF March Contract trade was 97.345, or an implied interest rate of 2.655%. We are at 3% now so that would be a cut of 34.5 BP. Cleveland Fed implied probabilities show an EV of 57.75 BP Cut. Im considering Buying up a few of these contracts...thus far the EV has proven to be highly accurate in determining the Fed Move...but do they dare cut 50 again!?


3 comments:

C said...

What a terrible idea, have you seen the volume on these things. LOL, I am interested to see how this trade turns out.

Drunkcaballo said...

It hasnt been working ever since the word inflation has been thrown around the last week. Volume is an issue since this market can be manipulated so easy...cheap contracts too so it doesnt take much money. I set a pretty wide stop that has taken care of most of the noise but inflation is still messing with this trade. My model and the FF futures are still moving with considerable correlation however. The model is not perfect, but it still tracks the trends well.

Keep the unsupported opinions coming. They are fun to laugh at.

Drunkcaballo said...

Oh i now undestand where my quant model failed...I didnt divide by 4 ;)