10yr Note Futures--Monday Morning, May 5, 2008
A 4.236 delta target was met on the move from last June's low to the high in March.
Since the high (made on the Sunday night of the announcement of the Bear Stern sales to JP Morgan Chase), it has retraced about 50% of the impulsive move from beta (in mid-October 2007) to the extended panic high. An irregular X-Y-Z pattern can be seen, where Z = X.
So for now the bottom might be in around 114'20 (note charts are not in 32nds, but decimal) on the June contract, corresponding to about 3.90% yield on the cash bond.
