May 052013

ZB 03-13 (1 Min)  2_14_2013

2/14/2013 30-yr Bond Auction (1301 EST)
Previous:  3.07/2.8
Actual: 3.18/2.7
Started @ 143’04 (1301)
1st Peak @ 143’11 – 1303 (2 min)
7 ticks

Reversal to 143’03 – 1307 (6 min)
8 ticks

2nd Peak @ 143’21 – 1329 (28 min)
17 ticks

Reversal to 143’09 – 1411 (70 min)
12 ticks

Notes:  Report is scheduled on Forex Factory at the bottom of the hour, but the spike always breaks 1 min late.  The highest yield rose more than expected from the previous auction, 1 month after the FED started to buy $45B in long term bonds each month.  This caused a small rally of 7 ticks.  With JOBB you would fill long at 143’07 with no slippage.  The spike could not go much higher than the R2 Pivot given that it was extending the HOD, so it quickly hit 7 ticks then pulled back 4 ticks on the same bar.  I had my exit at 143’12, looking for 5 ticks.  When it did not initially fill, I moved it down to 143’10 and it filled later on the 2nd peak rise.  After peaking, it reversed back to the origin, then garnered a 2nd peak of 17 ticks nearly 30 min later.  The final reversal fell back to the R2 Pivot and 100 SMA for 12 ticks about 40 min after the 2nd peak.