Wake Trading

20139
www.wake-trading.com

Wake Trading Klc Holdings Ltd.


1
2
3
4
5
6

1
2

1
2
3

1
2
3
4
5
6
7

Bill

Gross

1
Wake Trading Klc Holdings Ltd.

,
,
,,

2
1975 10

10
3
3
70

1975 10 GNMA

Wake Trading Klc Holdings Ltd.

1976 1
3
70
1977 8 22
CBOT

1981 12 3

1981 7

Wake Trading Klc Holdings Ltd.

3
1

1929 12

3 13 91 6 26 182 1
3 6

1 10 5 10

10 30

70

Wake Trading Klc Holdings Ltd.

4
1

1.

2.(a)

(b)

3.
(a)
(b)
(c)

Wake Trading Klc Holdings Ltd.

(1)

5%

(2)

l
100=1-100 91

Wake Trading Klc Holdings Ltd.

100-100-90/360
7% 93 100-100-93
90/360=98.25

1
1
95.00 5%
3 3 3
3% 97.00
(97.00-95.00)
P(360/n)(100-P)
n 3 98
(360/90)(100-98)=8
8%
/(360/n)(100-P)/P (360/90)
(100-98)/98=8.28 %
2
100-=100-(360/n)
(100-P)
Wake Trading Klc Holdings Ltd.

100-(n/360)(100-)
=100-(n/360) {100-[100-(360/n))(100-P)]}=P
100-8=92
98

3
1
a. U.S. Treasury Bond Futures
b. Ten-year U.S. Treasury Note Futures

(CME GROUP)

c. Five-year U.S. Treasury Note Futures

d.
e. 10 10 years japanese gouvernment bonds
a.Three-Month Eurodollar
b. Threemonth Euroyen

c. 13 13-week T-bills
d. 1 month LIBOR
e. 28 28day TIIE Futures
a. Long Gilt Futures

(LIFFE)

b. 10 German Government Bond (Bund)

c. 2 Two-Year German Government Treasury Note
(Schatz)
d. Japanese Government Bond (JGB)Futures

a. Three Month Euro (EURIBOR) Interest Rate

Futures
b.Three Month Sterling (Short Sterling)Interest
Rate Futures
g. Three Month Euro Swiss Franc
(Euroswiss)Interest Rate Futures
h. Three Month Euroyen (TIBOR)Interest Rate
Futures

a.

1.752.25 Euro Schatz Future (FGBS)

b. 4.5-5.5 (Euro Bobl Future (FGBM))

(EUREX)

c. 8.5-10.5 (Euro Bund Future (FGBL))

d. 20-30.5 (Euro Buxl Future (FGBX))
e. 8-13 (CONF Future (CONF)

Wake Trading Klc Holdings Ltd.

a. (One-Month EONIA Future (FEO1))

b. Three-Month EURIBOR Future (FEU3)

(TIFFE)

a. JGB Futures

a. Three Month Euroyen(TIBOR) Futures

b. Three Month Euroyen (LIBOR) Futures
a. (Full-sized JGB Futures)

(SIMEX

b. (Mini JGB Futures)

c. (5yr Singapore Government Bond Futures)
a. LIBOR Three Month Euroyen (LIBOR) Futures

b. (Three-Month Eurodollar)
c. (Singapore dollar Futures)
d

(TAIFEX)

(HKFE)

TIBOR (Three Month Euroyen(TIBOR) Futures)

a.

a.

a. One Month HkdollarHIBORFutures

b. Three Month HkdollarHIBORFutures

2
AThree-Month Eurodollar

3 3 Month Eurodollar Time Deposit

100

ED

7:20AM-2:00PM ()
GLOBEX2 4:30PM- 4:00PM,
5:30PM- 4:00PM, SGX
9:20PM- 4:00AM

0.01 25

10000 CME

B 30 30 Year U.S. Treasury Bond Futures

1977

30 30 Year U.S. Treasury Bonds

10

Wake Trading Klc Holdings Ltd.

US

7:20AM-2:00PM
8:00PM-4:00PM

1/32 31.25

1,000 1/32

36912

CTen-year U.S. Treasury Note Futures

1982

1010 Year U.S. Treasury Notes

10

TY

7:20AM-2:00PM ()
8:00PM-4:00PM

1/64 15.625

1,000 1/32

36912

HKATS

HB3

$5,000,000

( 0.01)
$125.00
$5,000,000 x 0.0001 x 0.25 = $125.00

Wake Trading Klc Holdings Ltd.

100
[ : 95.50 x ( $5,000,000 x 0.0001 x 0.25) x 100]

8:30 - 12:00 1:30 - 5:00

( 11:00)

()

11:15 (HKAB)

( 100 - = )

5.00

0.60

1992
1995 5
1992 12 12

1992 12 28 1993 10
5 000
1993 10 25
1993 12

Wake Trading Klc Holdings Ltd.


1994
1994 1.9 1995
400
1 050

1995 2 327
1995 2 25
2 25

1995 5
319
1995 5 17
5 18 5 31

shibor
Wake Trading Klc Holdings Ltd.

2013178 5
5

5 2013 9 6

5 2013 12 TF13122014 3 TF1403

2014 6 TF1406

Wake Trading Klc Holdings Ltd.

5
3% 4%
5%
4

5 3 5

5
5

100 3%

4-7

Wake Trading Klc Holdings Ltd.

0.002

3 6 9 12

09:1511:30 13:0015:15

09:1511:30

2%

2%

TF

Wake Trading Klc Holdings Ltd.

()

Wake Trading Klc Holdings Ltd.

2 10 GDP

2
()
Wake Trading Klc Holdings Ltd.

(
+)

3 CPI

Wake Trading Klc Holdings Ltd.

(1)

Wake Trading Klc Holdings Ltd.

1
1000 60
50 950

=r=5.5%
2
5.5% 60
50
=950

Wake Trading Klc Holdings Ltd.

(2)

(3)

Wake Trading Klc Holdings Ltd.

1994

Wake Trading Klc Holdings Ltd.

Wake Trading Klc Holdings Ltd.

Bill Gross
Bill GrossPIMCO
, 4000

90

Bill Gross 30 Bill Gross

2002
Wake Trading Klc Holdings Ltd.

 6
5000 8000
10000

4000
35 1987
94% 81%
10

Bill Gross 25

4 50

21 4 200 1

1987
200 2000 33
2000

Wake Trading Klc Holdings Ltd.

30 430

30 430
1/3

6
10
5 9

60

Wake Trading Klc Holdings Ltd.

Bill Gross
Bill Gross
3500 14

1973
10.6%

21 4 200 1
Bill Gross

Wake Trading Klc Holdings Ltd.

10%

50 10

1/50
1996 20%
1998
2000

2001

Wake Trading Klc Holdings Ltd.

PIMCO Bill Gross

Wake Trading Klc Holdings Ltd.