Rate Expectations & Trading Methodology

Interest Rate Analysis Page
Mini Program (Minimum $10,000 or major currency equivalent)
Main Program (Minimum $30,000 or major currency equivalent)
See section 7 for disclosure of trading methodology

1) Analysis links for 3 month rates (GEZ19) December 2019

1.01) Today’s technical opinion
1.02) 2 day chart, 15 minute data
1.03) 3 day chart, 30 minute
1.04) 5 day chart, 60 minute data
1.05) 10 day chart, 120 minute
1.06) 3 month chart, daily
1.07) 6 month chart, daily
1.08) 9 month chart, daily
1.09) 1 year chart, weekly
1.10) 3 year chart, weekly
1.11) 7 year chart, monthly
1.12) 15 year chart, monthly
1.13) 1983 – current chart
1.14) Ranges & price performance
1.15) Support & resistance
1.16) Barchart quotes, all deliveries
1.17) Barchart options quotes
1.18) Exchange = CME
1.19) Contract Specifications each 0.01 = 25.00 USD
1.20) Exchange Margin Requirement 
1.21) US Rate Curve
1.22) 30 Year chart & historical data 3 Month Rate
1.23) Eurodollar Interest Rate Futures Video

2) Analysis links for 3 month rates (GEZ22) December 2022

2.01) Today’s technical opinion
2.02) 2 day chart, 15 minute data
2.03) 3 day chart, 30 minute
2.04) 5 day chart, 60 minute data
2.05) 10 day chart, 120 minute
2.06) 3 month chart, daily
2.07) 6 month chart, daily
2.08) 9 month chart, daily
2.09) 1 year chart, weekly
2.10) 3 year chart, weekly
2.11) 7 year chart, monthly
2.12) 15 year chart, monthly
2.13) 1983 – current chart
2.14) Ranges & price performance
2.15) Support & resistance
2.16) Barchart quotes, all deliveries
2.17) Barchart options quotes
2.18) Exchange = CME
2.19) Contract Specifications each 0.01 = 25.00 USD
2.20) Exchange Margin Requirement 

3) The Market’s expected increase or decrease in rates between June 2019 and December 2022

Spread value = market’s expected rate change between delivery dates
Spread values are on the right of the chart

2.01) Interest rate 3 month to 30 year curve
3.01) June 2019 to December 2022 priced in change (3 day, 15 minute)
3.02) June 2019 to December 2022 (10 day, 30 minute)
3.03) June 2019 to December 2022 (10 day, 60 minute)
3.04) June 2019 to December 2022 (20 day, 60 minute)
3.05) June 2019 to December 2022 (10 day, 120 minute)
3.06) June 2019 to December 2022 (1 month, 120 minute)
3.07) June 2019 to December 2022 (2 month, daily)
3.08) June 2019 to December 2022 (6 month, daily)
3.09) June 2019 to December 2022 (3 year, weekly)
3.10) June 2019 to December 2022 (5 year, monthly)
3.11) June 2019 opinion
3.12) December 2022 opinion

4) December 2019 through December 2022

4.01) December 2019 to December 2022 priced in change (3 day, 15 minute)
4.02) December 2019 to December 2022 (10 day, 30 minute)
4.03) December 2019 to December 2022 (10 day, 60 minute)
4.04) December 2019 to December 2022 (10 day, 120 minute)
4.05) December 2019 to December 2022 (1 month, 120 minute)
4.06) December 2019 to December 2022 (2 month, daily)
4.07) December 2019 to December 2022 (6 month, daily)
4.08) December 2019 to December 2022 (3 year, weekly)
4.09) December 2019 to December 2022 (5 year, monthly)
4.10) December 2019 opinion
4.11) December 2022 opinion

5) December 2019 through December 2023

5.01) December 2019 to December 2023 priced in change (3 day, 15 minute)
5.02) December 2019 to December 2023 (10 day, 30 minute)
5.03) December 2019 to December 2023 (10 day, 60 minute)
5.04) December 2019 to December 2023 (10 day, 120 minute)
5.05) December 2019 to December 2023 (1 month, 120 minute)
5.06) December 2019 to December 2023 (2 month, daily)
5.07) December 2019 to December 2023 (6 month, daily)
5.08) December 2019 to December 2023 (3 year, weekly)
5.09) December 2019 to December 2023 (5 year, monthly)
5.10) December 2019 opinion
5.11) December 2023 opinion

4) December 2020 through December 2022

4.01) December 2020 to December 2022 priced in change (3 day, 15 minute)
4.02) December 2020 to December 2022 (10 day, 30 minute)
4.03) December 2020 to December 2022 (10 day, 60 minute)
4.04) December 2020 to December 2022 (20 day, 60 minute)
4.05) December 2020 to December 2022 (10 day, 120 minute)
4.06) December 2020 to December 2022 (1 month, 120 minute)
4.07) December 2020 to December 2022 (6 month, daily)
4.08) December 2020 to December 2022 (3 year, weekly)
4.09) December 2020 to December 2022 (5 year, monthly)
4.10) December 2020 opinion
4.11) December 2022 opinion

7) Disclosure of trading methodology

What we’re trading is interest rate expectations 2 ways

7.01) Outright positions using the instruments and analysis on this page if the price of the instrument is decreasing the market is telling us rates will rise, increasing rates will fall.

2 Year Treasury Chart

7.02) And rate expectations between two delivery dates for example June 2019 to December 2020. If the price on the chart is increasing the market is expecting  higher rates between June 2019 to December 2020. If the price is decreasing the market is expecting less of an increase or if the price  goes negative a decrease in rates (rate cut).

7.03) Example, from 7 September to 26 September 2018 the market went from pricing in a 0.0850% increase rates to a 0.2000% increase for the period between June 2019 and December 2020.

Click here to enlarge the chart

7.04) What the move was worth +$2,875.00, per position, margin requirement $3,750.00

Click here to enlarge the chart

7.05) How we captured the majority of this move this move

We primarily use 120 minute price and daily price periods with 9 & 18 exponential moving averages, on the chart below 9 is is the red line, 18 the blue.

If the EMA 9 (red) is above the EMA18 (blue) you’re in an up-trend.

Click here to enlarge the chart

If the EMA 9 (red) is below the EMA18 (blue) you’re in an down-trend.

Click here to enlarge the chart

7.06) To confirm the uptrend we use the opinion links for the individual contact months for example,

June 2019 opinion
December 2020 opinion

On 7 September 2018 the June 2019 contract was a 64% buy

December 2020 was a 32% buy


June 2019’s trend is stronger telling us technically the spread should increase confirming the EMA defined trend.

7.07) We initiate a position with the trend  at 0.085% 7 September 2018

Long 10 June 2019 (GEM19)
Short 10 December 2020 (GEZ20)
Margin per position = $3,500
Each 0.05 = $125.00

Click here to enlarge the chart

7.08) The EMA9 red line is cleanly above the EMA18 blue until 26 September 2018 when the EMA9 red crosses over the EMA18 blue we liquidate the position.

Entry 7 September 2018, 0.085
Offset 26 September 2018, 0.1900
Gain 0.1050  X $250.00 per 0.01 = $2,625.00
Margin per position = $3,500

Click here to enlarge the chart

7.09) On 26 September EMA 9 (red) moved below the EMA18 (blue) telling us we we’re now in a down-trend. 

We confirm the EMA9 defined trend using the opinion links

Initiate a new position short the spread anticipating the price will contract

Short 10 June 2019 (GEM19)
Long 10 December 2020 (GEZ20)
Margin per position = $3,500
Each 0.05 = $125.0

Click here to enlarge the chart

If you would like me to walk you through the specifics send a message with a date and review time or contact me.

8) Review links

8.01) Today’s probability for a rate hike at the next Fed meeting
8.02) Interest rate 3 month to 30 year curve
8.03) Fed Meetings and Press Conferences
8.04) Understanding the FOMC Report
8.05) Interest Rate Analysis page

9) Interest Rate Futures/Options Educational Videos and Resources

9.01) Futures Educational Videos (33)
9.02) Futures Options Educational Videos (34)

9.03) Eurodollar Interest Rate Futures Contracts
9.04) Eurodollar Futures Pricing And The Forward Rate Market
9.05) How to Trade Eurodollar Spreads
9.06) Fed Fund Futures contracts
9.07)
Understanding IMM Price and Date

9.08) Understanding Eurodollar Strips
9.09) What is the Eurodollar Settlement Process?
9.10) Treasury Futures Contracts
9.11) Calculating U.S. Treasury Pricing
9.12) Treasury Intermarket Spreads – The Yield Curve
9.13) Trading the U.S. Treasury Curve: Two versus Ten
9.14) How Can You Measure Risk in Treasuries?
9.15) Treasuries Hedging and Risk Management
9.16) The Basics of Treasuries Basis
9.17) Treasuries Delivery Process
9.18) The Importance of Basis Point Value (BPV)
9.19) Understanding Packs and Bundles
9.20) Understanding Convexity Bias
9.21) Understanding the FOMC Report
9.22) Get to know Treasuries Cheapest To Deliver (CTD)
9.23) Trading the Link Between USD/JPY and U.S. Treasuries

10) Previous Rate Reports and Articles 2015 – 2018

10.01) June 2018 Update Trading Rates Higher
10.02) US Economy by the numbers 2000 – 2018 4 June 2018
10.03) Trading Rates Higher & Fed Expectations 28 November 2017
10.04) Trading the Fed Funds rate higher 13 March 2017
10.05) Trade update 11 August 2016 through 20 January 2017
10.06) Trading Rates Higher & Fed Expectations 20 January 2017
10.07) Update Seeking Alpha 13 January 2017
10.08) Market Versus Fed For Rates 16 September 2016
10.09) Market Versus Fed Expectations December 2019 4 Sep. 2016
10.10) Update on Seeking Alpha 5 September 2016
10.11) Who’s right the market or the Fed 31 May 2016
10.12) Original positions published on Seeking Alpha 5 Nov. 2015
10.13) Countdown to Higher Rates 9 October 2015
10.14) Trading 3 Month Rates & Fed Expectations 24 Sep. 2015
10.15) What I See On The Horizon 6 August 2015
10.16) Hedging Treasury Risk 3 August 2015
10.17) The Math On Why U.S. Inflation Is “contained” 22 July 2015
10.18) Trading the Fed Funds Rate Higher 23 July 2015
10.19) Trading Rates Higher & Fed Expectations 9 June 2015
10.20) Trading 3 Month Rates & Fed Expectations 27 April 2015
10.21) Trading Rates Higher Using Cost Averaging 24 March 2015
10.22) Market versus Fed expectations 23 March 2015

11) Fed Funds Risk Reward Spreadsheets

11.01) 3 Month Rates Mar., Jun. Dec. Fed Funds Mar. hedge
11.02) Fed Funds December 2016
11.03) Fed Funds March 2016 S 99.74 (no hedge)
11.04) Fed Funds December 2016 S 99.46 (no hedge) 100K
11.05) Fed Funds December 2016 S 99.46 (no hedge) 10K
11.06) Trading 3 month rates higher through December 2016
11.07) July 2015 25k no hedge

11.08) July 2015 99.83 25K cost average hedge
11.09) July 2015 99.82 25K 87.50 hedge
11.10) July 2015 10K 99.81/99.75 hedge
11.11) Sep 2015 25k cost average hedge

11.12) Oct 2015 25K cost average hedge
11.13) Dec 2015 25K cost average hedge

12) 3 Month Deposit Spreadsheets

12.01) 3 Month Dec 2017 S 99.70 (no hedge)
12.02) 3 Month put weighted vol spread Dec 2017
12.03) 3 Month vol spread Dec 2017
12.04) 3 Month vol bear spread no hedge Dec 2017
12.05) 3 Month GEH-M-Z-201616 Fed Funds ZQ-H16 10.05.2015
12.06) Contract specifications
12.07) 3 Month Hedged Cost Average
12.08) 3 Month Rate September 2015 hedge
12.09) 3 Month Rate December 2015 hedge

13) Program Structure and Account Opening Procedure

13.01) Automated Trading Accounts (ATA)
13.02) The Fee Structure For This Program
13.03) Defining Overall Risk For Your Account

13.04) Exchanges Traded
13.05) Brokerage Firms
13.06) How Balances Are Guaranteed Plus or Minus Trading
13.07) How To Open An Account

If you have any questions send a message or contact me

Regards,
Peter Knight Advisor

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