[clbfjc]

Hi all.

A question about spreading bund / bobl. When interest rates are raised would you be buying the spread or selling the spread. Here is the theory and the reason for the question. Rate hikes obviously bonds lower. Therefore

1. Does the bund move faster than the shorter duration 5 year and therefore the spread narrow. So you would want to sell buns buy bobl

Or

2. Does the shorter duration bond move more than the longer duration bund and therefore the spreads widen. So sell bobl and buy bund

Alot of people obviously trade the spread off the bund but interested in the reasons behind this. Ie Is it the case if you think the bund is moving lower do you sell and hedge with the bobl.

Final question. How would interest rate movements effect the fly and why?

[Martinghoul]

All else being equal, curves normally flatten when rates are hiked, which means you want to sell bobls, buy bunds. To be sure, this is for a DV01-neutral spread position.

The logic is similar for the fly. Essentially, rate hikes always affect the shorter-dated bonds more than longer-dated bonds. So schatz-bobl will flatten and it will flatten more than bobl-bund. So the bobl will outperform onthe fly.

Obviously, this is all kinda theory and actual results may vary depending on a whole variety of circumstances.

[clbfjc]

Thank you that is the perfect explanation. For Intraday stratgies is it worth looking at the Bund, use it as the main indicator, i.e if you feel the Bund is coming off Sell it vs Bobl or Schatz, or is it more benefical to use a spread chart and buy or sell the actual spread price's independant of the underlying. I take it the same logic applies in STIRS. i.e the front months move greater than the back months therefore spreads should widden. (In theory of course).

Ratio's 3:2 Bobl / Bund, 8:3 Schatz / Bobl and to create the fly +2 Bund- 6 Bobl +8 Schatz.

[aramis de vannes]

Hi

Would like to know how locals are trading schatz in this environment?

using market profile, using the ladder, chart stuff, or just doing the best we can re eurozone stuff and judging flow into the safest assets?

Appreciate your thoughts
Cheers

[sellit]

Today's Charmer Charts Bund and Bobl attached.

[AMCL]

Hi all,

I know this is a German bond thread but does anyone know what the Futures price is for the US 10 YR yielding 2%?

and the 30YR yielding 3%

I am getting conflicting messages from Ransquawk and CBOT website.

AMCL

[Martinghoul]

I am not sure I understand your question... You want to know what the price of the TY (aka ZN) futures would be with 10y UST at 2%?

[Arbu]

So John Paulson was shorting German bonds a month ago. Doesn't look like he got that right, does it, with Germany now issuing bonds at no interest? I have a lot of respect for Paulson's idea, but it's incredibly hard to trade against the market.

John Paulson Now Shorting German Bonds | ValueWalk