Shatz/Euribor spread

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Alexxxx

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Hello everybody...

I have been trading the Shatz (Mar05)/Euribor (Dec05) for the past two months or so with varying degrees of success. Does anybody else trade it? Any tips or advice, please?

First of all, i dont really believe it is a spread because they move at different speeds to each other, I always find myself 'legging' which is fine, ive gotten used to it and usually try to get into the spread at half a tick better off and if it doesnt go my way then ill have to take the spread at market (painful). All in all, just like everything in trading, gotta pick out the right prices with patience and disclipline.

i would like to trade euribor/euribor but i just dont have the size yet (4 lots).

Alex
 
It is a good spread on the whole, I suggest only ever do Euribor leg first and get on all the volume bids/ask in Euribor. With 4 lots you will definitely have it difficult getting those pro-rata amounts. Other thing is working out which is the best spread to trade and when to roll from one schatz to the next. Do you concentrate on just one Euribor contract? or are you looking at a strip of them?
 
I'm near the City...

Right now just trading DEC05. Possibly a few months from now I'll trade butterflies as they call them (DEC05/MAR06/JUN06 - for example)...that should be interesting, looking to get 1/2 - 1 tick maybe twice a day.
Non-farms on friday...that should be interesting, last one was rather disappointing.
Do you trade Euribor? If you do, what do you watch? I watch the Bund, eurodollar, brent crude, short sterling and the main equities....also watch greenspan's big mouth turn a winning trade into a losing one in 10 seconds, hehe.
 
I do not think sterling has much relevance to Euribor Schatz trade. Bund and Bobl along with Euro FX are enough to watch when trading the spread. Hope Greenspan can inject some activity into todays terrible morning. Who is the guy continuously lifting Euribor recently? Will we see a rate cut tomorrow? With the FT front page talking about how terrible the German economy is and the unemployment there so high and the suspicious activity in the short end I would not be surprised. On the other hand the ECB are reluctant to do anything other than create endless waffle for the past 2 years. If I was a gambling man however I may just go into the announcement tomorrow positioned for a cut, risk/reward is favourable as with no move bugg*r all will happen anyway.
 
problem is though, if euribor even gets the slightest bit busy, then LIFFE will freeze...
 
I trade schatz/euribor spread as well and as the previous individual responded, i genuinely think its a fairly good spread(if your patience can hold out trying to muster a 1/2 tick after sitting on a trade for 2 hours)does anybody know if there are direct technical analysis for the schatz as I find that trading it according to analysis of the bund can sometimes not be as effective as often the schatz will not respond to changes in the bund. to the guy who works "near the city" u seem to have mixed feelings about greenspan..all I can say is any volatility that can bring life to the euribor at the moment is more than welcomed by me and im sure all the other euribor traders out there trying to make ends meet off a 3 tick range market.
 
i have been sitting on jun/sep euribor spread all morning and not even got 1 lot off......
been looking at holding longer postitions in say jun6 dec6
what do you think the best spreads are to look at? :?:
 
While everyone trading schatz/euribor tries to stay awake this morning waiting for greenspan to hopefully rescue us from feels like watching paint dry at the moment, can anybody respond as to whther they have rollovered already to jun05 in the schatz or whether they still sticking to this dead corpse of Mar05. Also just wondering if anyone thought of maybe converting to trading eurodollar/euribor as a spread rather than schatz/euribor???If someone is trading this, let me know if there is more value in converting
 
I would have thought eurodollar/ euribors is not good as rate are rising in US and not in EU?
 
Always gotta keep an eye on things...might look dead one second then BOOM!!!!
This bund scares me lately...everytime i put on full size long (schatz) when its coming down hard i remember that day 2 weeks ago when it came off nearly a point (still trying to recover from that day)...and the euribor offers no protection...so much for a spread.
 
Think better to look at Eurodollar 2y or 5y keep both products US based or you run into some hairy spread moves.
 
You were saying about dead. Anybody get screwed on Bobl/Schatz? I hold my hand up....B*stard
 
or put 100 lotso n the bid and offer in front month euribor and go out for the day!! unless you get another 50k plus clip go thorough!!! like last week, why not look more at the reds and greens on euribor
 
seems like everyone expects ECB Rate to remain unchanged(surprise surprise) which means another day of watching a 3 tick euribor market..but to be fair there was certainly opportunity yesterday and whether u made or lost money on it at the end of the day I think you should be encouraged by the fact that there is still life in the old schatz even if you have to wait weeks for it
 
....Sometimes the best days in the Schatz are not one way action days but when it ranges from 106.110 to 106.120 for example, scalping ticks here and there....at least that works for me once in a while. Just frustrating holding a position at 110 for example with the intention of possibly taking 2 ticks from it and your on-side for a while only to have to scratch it, ouch.
 
did anyone just see that 30000 lot bid in schatz at 106.12
rotters in town...
 
buy 120 and sell 125 as many times as one possibly can hehe
schatz is looking strong (relative to Bund), dont feel comfortable going short....i remember it was like this before the last rollover. mmmmmm.
 
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