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how to trade the bund bobl spread?
This is a discussion on how to trade the bund bobl spread? within the Money Markets forums, part of the Financial Markets category; What is the usuall ratio of bund bobl spread? How do you calculate this ratio?...
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Jun 6, 2009, 1:38pm
| #1 |
| Rookie  Join Date: Sep 2003 Posts: 23
 | how to trade the bund bobl spread?
What is the usuall ratio of bund bobl spread? How do you calculate this ratio?
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Jun 6, 2009, 1:47pm
| #2 |
| Legendary Member  Join Date: Jan 2007 Posts: 3,901
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Basically you just do it in proportion to the DV01 of both bonds. Here's an example using US rather than EUR: CBOT - Trading the TUT Spread: Capitalizing on Changes in Yield Curve (I avoided actually giving you the current spread because I don't know it, don't even know the CTDs in fact... someone will be around to tell you no doubt  )
__________________ Only morons take my advice! Chatroom for STIR traders - open during UK market hours (7am-6pm). Anyone welcome, especially locals, IB/HF traders, brokers (particularly if you have lots of flow  ), those with an interest in this field...
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Jun 6, 2009, 2:02pm
| #3 |
| Senior Member Join Date: Mar 2008 Posts: 184
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i suppose u dont really ever need to know this kind of stuff?.... |
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Jun 6, 2009, 2:13pm
| #4 |
| Veteran Member  Join Date: Mar 2007 Posts: 646
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Jun 6, 2009, 2:28pm
| #5 |
| Rookie Join Date: Sep 2003 Posts: 23
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Is it 2:4 ? |
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Jun 6, 2009, 2:33pm
| #6 |
| Veteran Member Join Date: Mar 2007 Posts: 646
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they have Jun 4 - buy 5 Bund/sell 9 Bobl at .85 bp's |
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Jun 6, 2009, 2:35pm
| #7 |
| Rookie Join Date: Sep 2003 Posts: 23
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How do they calculate this ratio? |
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Jun 6, 2009, 2:40pm
| #8 |
| Legendary Member Join Date: Jan 2007 Posts: 3,901
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dv01:dv01 of each contract as explained in my first link. They calculate the dv01s as explained here: http://www.cmegroup.com/trading/inte...inal_Dec_4.pdf Don't forget that ratio, therefore, will change depending on the curve itself, and obviously also what the CTDs are. If you feel like it, pop along to our chatzy room on Monday (say around 9am) at Chatzy - Short Sterling and Euribor and I'm sure someone who's actually trading it will be kind enough to give you the current ratios
__________________ Only morons take my advice! Chatroom for STIR traders - open during UK market hours (7am-6pm). Anyone welcome, especially locals, IB/HF traders, brokers (particularly if you have lots of flow ), those with an interest in this field...
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