Short term
Trade view / 29 October 2015 at 11:05 GMT

The 2 year treasury contract moves to interesting levels

Chief Investment Officer / ACIES Asset Management
Instrument: ZTZ5
Price target:
Market price:
Yesterday's dip in the US 2 year treasury looks quite similar to what happened back in September. We bought it back then and the same logic is likely to work this time around. The US treasuries are in a positive trend and dips like these are likely to bounce right back up again.

The long term picture is quite telling. We had a strong rally phase up until late 2011. From there we had a sideways phase, with a positive tilt for a couple of years, and since late 2013 we've been heading up strongly again. 

Weekly US 2 year treasury continuation
US2 Weekly

Source: CSI Data

On the weekly scale, you can barely see the recent dip. Odds are that in a few weeks, no one will even remember it. 

On the daily scale below, you can see the near term dip. You also see the past four trades made in this market on the same systematic model. So far, they've worked quite well.

Daily US 2 year treasury futures continuation

Source: CSI Data

Management and risk description
Buy on current levels in the December contract of the US 2Y. Set a fixed stop and target in the market from the start, for a known risk and potential reward. The dashboard below shows that the price trend is strong and the volatility stable. 

US 2 year treasury
US2 Dash


Note that this market is traded and quoted in fractions of 32.


Entry: Enter long on current levels, around 109'13, i.e. 109.4063.

Stop: Hard stop at 109'06. 

Target: Take profits at 109'26. 

Time horizon: Average holding period of this trading model is about two weeks.

December 2015 US 2 year treasury futures contract

Source: ThomsonReuters

— Edited by Clemens Bomsdorf

Non-independent investment research disclaimer applies. Read more


The Saxo Bank Group entities each provide execution-only service and access to permitting a person to view and/or use content available on or via the website is not intended to and does not change or expand on this. Such access and use are at all times subject to (i) The Terms of Use; (ii) Full Disclaimer; (iii) The Risk Warning; (iv) the Rules of Engagement and (v) Notices applying to and/or its content in addition (where relevant) to the terms governing the use of hyperlinks on the website of a member of the Saxo Bank Group by which access to is gained. Such content is therefore provided as no more than information. In particular no advice is intended to be provided or to be relied on as provided nor endorsed by any Saxo Bank Group entity; nor is it to be construed as solicitation or an incentive provided to subscribe for or sell or purchase any financial instrument. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. As such no Saxo Bank Group entity will have or be liable for any losses that you may sustain as a result of any investment decision made in reliance on information which is available on or as a result of the use of the Orders given and trades effected are deemed intended to be given or effected for the account of the customer with the Saxo Bank Group entity operating in the jurisdiction in which the customer resides and/or with whom the customer opened and maintains his/her trading account. When trading through your contracting Saxo Bank Group entity will be the counterparty to any trading entered into by you. does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of ourtrading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. To the extent that any content is construed as investment research, you must note and accept that the content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication under relevant laws. Please read our disclaimers:
- Notification on Non-Independent Invetment Research
- Full disclaimer

Check your inbox for a mail from us to fully activate your profile. No mail? Have us re-send your verification mail