Following up on my post from 12th June, we saw a truly beautiful setup approaching the ECB meeting on the 3rd July. Rumours of a surprise 50 bps accompanied a selloff in ERZ9 down to 94.63 and the pre-announcement anxiety level was very high.
Amazingly, the washout was exactly what was required to trigger a deferred 13 sequential buy that had been in place since 1st July (we simply needed to trade below the 94.595 low of 9th June). As many in the community of traders using Demark have noticed - the best trades are the terrifying ones where an extreme degree of willpower is required to pull the trigger and stick to one's plan.
We've had a 50 bp rally since then and are approaching Prop up exhaustion level. ERZ9 10 bps over July so pricing in some combination of rate cuts/EURIBOR-EONIA tightening. (I haven't got EONIA FRAs up right now).
Probably was prudent to take some chips off the table, but I'd expect possibility of more upside towards 95.77/96.00 level over time. A continued correction in commodity complex might make it easier for ECB if forecast for headline prints start coming down.
Bobl chart here
Pretty nice play in the 106 Aug Bobls if you synched indicators across futures and options (helpful to look at MM instruments as well as bond futs). 76.5 payout with 17 cents at risk.
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