Trading Rollover Gaps In The Treasuries

Rollover Gaps in the treasuries are one of my favorite trade setups. You can see the last two ZB (30-Year Treasury Bond Futures) and ZN (10-Year Treasury Bond Futures) Rollover Gaps traded significantly lower after the gap was filled.

The risk was minimal. The reward was huge. The proof is in the ZB and ZN charts posted below.

Due to the fact the treasuries just rolled from the December futures to the March futures, the short sales were significant winners in sixteen hours. The jury is still out on where these markets will trade over the next 3-4 days.

I think these treasuries were trade significantly lower eventually testing their lows of the move at ZBH…14811 and ZNH…12319.



Tony LaPorta

Tony LaPorta Futures Maven

Tony LaPorta has been active in the futures industry for over 36 years including membership at the Chicago Mercantile Exchange (CME) and the London International Financial Futures Exchange (LIFFE). Tony is an ex pit-trader turned screen-trader.