Finally found the basis glitch
Intrarea postată de TheEconomist ·
9.169 citiri
Since I'm using this strategy, I observe that sometimes the account stays a lot constant, then jumps suddenly. Finally found the catch. Here is also my account status for november 8:
http://img258.imageshack.us/img258/9493/marketineficienciesej2.jpg
As you can see in the first red circle, before Globex shut down hour on Nov 7 , the discounted USDJPY futures was under USDJPY value. During this time, USDJPY moved down. Once the Globex started up, the discounted futures had to come towards USDJPY from its upward position, and it was stopped by the market's evaluation nearby USDJPY but in the upper side, since it came from up. It started to fluctuate around this value, this is why we see the DiscountedBasis average jump from negative to positive.
This second picture is to answer Juan's request to see how much basis modified since last month:
http://img210.imageshack.us/img210/1460/basisreductionya4.jpg
As you can see, the basis reduced from about 98 pips on Nov 9 to almost 43 pips now. Isn't that cool ?
I appeal again at my readers to help me with the parameters of T-notes, as I want to check about arbitrage windows forming between the three T-note classes (2 years, 5 years, 10 years).
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