The first thing Zhong Shi did when he returned to Chicago was to short the yen, after all, he signed an over-the-counter long yen option with his opponent, and the most hedging way was to enter the exchange and short the corresponding amount of yen futures.

The trading volume of yen futures is the largest in the CME, with a daily volume of about 50,000 or 60,000 lots, and the corresponding underlying amount reaches 5 or 6 billion US dollars, which is a huge market comparable to the crude oil market.

A standard yen futures contract is 12.5 million yen, which is converted into more than 110,000 US dollars, but after studying the CME options contract, Zhong Shi gave up again, because yen futures can only be traded in four months at the end of the quarter, so if you want to buy and sell in February, then there may be no way to get out, and the number of transactions is not active enough, after all, if he enters the market, it is estimated that he will use more than 100 million US dollars.

The top priority is to enter the long-term Treasury market in the United States, especially at the time when the Federal Reserve announces interest rate hikes, and the future direction of the Treasury market is already somewhat clear.

"Ten years or thirty years?" On the phone, Zhong Yi asked cautiously. As a prospective Ph.D. in economics, he is naturally very familiar with the interest rate mechanism, and is also very familiar with U.S. Treasury futures.

The 10-year Treasury bond is the most important part of the market because of its delicate relationship with long-term interest rates, and the yield of the 10-year Treasury bond is generally considered to be the standard reference for long-term interest rates.

"Let's do it for a ten-year period, although the volatility will be smaller, but it is conducive to entering and exiting the market." Zhong Shi thought about it for a long time before he made up his mind. "It can be in the name of the Tianyu Fund. Then gather a group of people, right here in Chicago. ”

"Haode, then I'll do it immediately." Zhong Yi was very excited, he had already vaguely realized that Zhong Shi would make another big move in the future, but he didn't know what would happen this time, he was full of anticipation.

Soon, the Hong Kong team was in Chicago, where they rented a workspace in an office building in the Loop, not far from the three major exchanges. You can even look up and see the building of the exchange. Funding is also in place. This time, it was a full 700 million US dollars, and almost most of the Tianyu Fund's belongings were transferred.

When Zhong Shi walked into the office that was almost furnished, almost everyone stood up and looked at the young man, Zhong Yi had already said Zhong Shi's physical characteristics. Therefore, when these people saw Zhongshi, they recognized it.

"Everything is ready here?" Zhong Shi smiled and waved his hand to the traders. entered a conference room with Zhong Yi, Liao Xiaohua and others.

"It's pretty much there!" After Liao Xiaohua finished speaking. Pointing to a thin, pale middle-aged man beside him, he introduced Zhong Shi: "This is Louis. Zheng, who is an expert on U.S. Treasury bonds, is led by him this time. The trading team is all recently recruited by us. ”

U.S. Treasury bonds, that is, 10-year Treasury bonds, are medium-term Treasury bonds with an amount of $100,000 or integer multiples, with a remaining maturity of between 6.5 and 10 years from the first day of the delivery month, and the conversion factor is an annualized yield of 6%, while the prevailing Treasury interest rate is around 5% at this time.

That is, a 10-year Treasury bond with a delivery period of $100 and a discount rate of 6% should be between $106 and $107 at its current price. Because the Treasury bond will be paid a total of $160 at maturity, the discount rate is higher than the yield generally accepted by the market, so the price is also higher than the coupon price.

This yield is a quotation formed by the market after taking into account factors such as future interest rates and inflation, which also represents the market's expectation of future long-term interest rates. When this yield rises, let's say from 5% to 6%, then the corresponding bond price becomes about $100, and if this yield is higher, up to 7%, the bond price drops to about $94.

These price estimates are based on the purchase and delivery of Treasury bonds with a 10-year time frame, and if the maturity between the two is shortened, the corresponding price volatility will be smaller, and even when Zuihou pays, the market price of the Treasury bonds tends to be $160. Because over time, the yield on these government bonds is no different from short-term interest rates, and there is basically no possibility of making a profit.

For hedge funds that like high-risk returns, it is impossible to invest in treasury bonds, and the 6% return is just a drill for them, and the corresponding treasury bond futures market, which is amplified by 40 times leverage, is the main body of their investment.

Take the purchase and delivery of Treasury bonds with a ten-year time limit for example, the change of 0.25 yields makes the price of Treasury bonds fluctuate at about $1.5, according to a hundred times the leverage, it only takes $1 to make a Treasury bond with a current price of $100, so when the yield in the market changes by 0.25%, the yield reaches $1.5, which is a full yield of 150%, and if you do it in the wrong direction, it means that you will be liquidated in an instant.

However, one of the good things about the Treasury market is that this yield fluctuates very little, so the leverage can be set so high, otherwise not many people would dare to play. After all, this thing is linked to interest rates, and a country's interest rate policy adjustment should consider many factors, usually before the adjustment of the market will form corresponding expectations, so that interest rate futures, especially treasury bond futures, can respond within the corresponding time.

The leverage of the long-term Treasury bond contract that Zhong Shi can get is 40 times, which means that he spends around $2,500 per contract. ”

"Yes!" Zhong Shi said categorically, "But to set the position at eighty, and the rest to make additional margin, this is the first battle of our Tianyu Fund, we must fight well!" ”

"And what about the direction?" Louis asked.

"Short!"

……

There is no spot month for 10-year long-term treasury bonds, and the contract length is three, six, nine, and twelve. Naturally, Zhongshi's funds were invested in the March contracts of March, April, and May. It's just that this time it is impossible to use an account and a brokerage bank, and the position division system must be strictly implemented, otherwise the newly established Tianyu Fund will be targeted by the regulatory authorities.

Zhong Shi knew that if he wanted to put all of them into one contract, this was obviously a bit too big, the interest rate futures market is one of the largest financial markets, and it is estimated that a billion US dollars of capital thrown into it will be a small wave, and there are too many giant crocodiles lurking here, and the amount is terrifying. As far as he knows, some of the most well-known hedge funds have large positions in this market. In addition to the US market. They also have impressive position sizes in Europe, Canada, and elsewhere.

Because they are linked to the bond market, commercial banks, which occupy an absolute share of the bond market, also have to appear in this risky market, and they largely maintain their profits in the bond market through hedging. Anyway, almost all the richest institutions have to stick their hands in this market.

"Get into the market as soon as possible. Time is running out for us! "Zhong Shi is thinking about the Fed's interest rate hikes. Prices in the bond market have adjusted accordingly. The yield on long-term Treasuries rose from 5% to 5.02%, which brought the price of Treasuries down from $106.6 to $106.5, which is 106/16 in the Treasury futures market (because the minimum price movement in the Treasury quote is 1/32). equivalent to 106.5), that is, the market has already reacted to the Fed's rate hike.

However, at this time, there are two different views on the market trend of Treasury bond futures in the later stage, one is naturally to continue to be bullish, believing that the Fed's interest rate hike at this time is completely unnecessary, which is an unfounded behavior; The other believes that it is absolutely necessary and that interest rates may continue in the future.

Zhong Shi no longer cares about these messy analysis comments, when the brokerage house that opened the account sent the analysis report, he just glanced at it hurriedly and threw it aside, in fact, it is neither the Federal Reserve nor the possible future inflation that determines the yield of Treasury bond futures, but shadow banking, and the mechanism formed in this is not seen through by many people now.

The rest of the matter is basically handed over to Liao Xiaohua and this Louis, I believe that they can establish enough positions in the treasury bond futures market as soon as possible, Zhong Shi has other things to do, that is, another financial market closely related to interest rate hikes, the stock index futures market.

According to economic theory, the capital market and the interest rate market are two markets that compete with each other, because the increase in interest rates will increase the possibility of funds flowing to savings, and at the same time cause the cost of financing enterprises in the capital market to rise, which is bad news for the capital market, that is, bearish. Similarly, if the interest rate falls, it means that the cost of obtaining funds will decrease, which is conducive to financing the expansion of reproduction, etc., which is naturally good for listed companies.

On the day the Fed announced its interest rate hike, the S&P 500 plunged 10.90 points, or 2.27%, and the index that had risen to an all-time high of 482.85 fell to 470. However, this is not the end, the Fed may continue to announce interest rate hikes in the future, and the stock market will still be severely tested.

The $1 billion in a series of corporate accounts on the skyline has finally found a way out, and Zhongshi plans to take out $200 million to short S&P 500 index futures, and at the same time put the other $800 million into the Treasury futures market, which will be the highlight of the year, and this fund also needs the cooperation of the trading team, which is Weishenme Zhongshi traveled thousands of miles and did not hesitate to spend hundreds of thousands of dollars to bring them to Chicago, not Hong Kong, which is separated by a dozen hours of time difference.

Now, there's just a fuse. (To be continued......)

PS: PS: There is no way to study the historical data of U.S. Treasury futures, after all, these bonds are maturing, and the discount rate of some 10-year U.S. Treasury bonds found is 6%, some are 4%, the minimum change unit is 1/64, some are 1/32, here the discount rate is 6%, and the minimum change unit is 1/32. The calculation formula is that the delivery period is 10 years, and the principal and interest are repaid in a lump sum. Don't do the math, I calculated the price according to this formula, and the yield refers to the yield of U.S. bonds over the years, which should be said to be more realistic. For the sake of my hard work, let's vote, any vote. zuihou, special thanks to book friends Demon Dragon Battle Ghost and Zebra Center for their monthly ticket support! At the same time, thank you for the dragon war ghost、The reward that made me think about it!