Best Thread Bund Bobl and Schatz Thread

AMCL

Member
Mar 4, 2009
3
1
13
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

Well-known member
Feb 3, 2009
2,690
276
93
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%?
 
Nov 3, 2004
19
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London
Ratio's 3:2 Bobl / Bund, 8:3 Schatz / Bobl and to create the fly +2 Bund- 6 Bobl +8 Schatz.
Anybody using some sensible ratios for buxl?

I know it is not as liquid but up to 1Mio notional it is ok.
 
Nov 29, 2013
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Hi all,

I heard that there was a reasonable method for calculating the Bund's expected opening price based on the t-note close the previous day - has anyone heard about this? If so does anyone know the method?
 

SpreadDoctor

Active member
May 1, 2014
318
58
38
Hi all,

I heard that there was a reasonable method for calculating the Bund's expected opening price based on the t-note close the previous day - has anyone heard about this? If so does anyone know the method?
Even if you had a way of calculating the expected opening price of FGBL you would have to be positioned at the Eurex close 9pm London to take advantage of it. Bare in mind that if you were to try and execute some sort of scalping strategy on the open it is a botfest where you are going against automated traders who can trade 50 times a second.

I can tell you that some prop traders will hold a spread of the eurex v. treasuries overnight however you chances of getting them to tell you their own personal strategy on an internet forum is zero (and why should they!).

My own opinions here are if you want to scalp eurex products / spreads you need to know the market inside out and be a specialist in it. There is no low hanging fruit there imo. The other option is to move your timeframes out and take a more quantitative approach, this is what I do. Granted the mathematics/modelling side of it is not for everyone but it takes the sting out of trying to predict short term directional moves.

Good Luck.
 

charliechan

Well-known member
Jun 18, 2005
1,009
120
73
UK
Any bund trader still out there? (echoes echoes)
now and then.

there are still intraday opps but you need to be patient for them - not every day. Im fairly sure playing for a few ticks these days requires an algo. I try and wait until the algos get out of synch with each other and common sense/real value players come in to restore order.

but you could say that about any popular market these days.

I think the yield curve in europe is finally starting to get exciting again. looks like some flattening pressure recently which could upset some. ie Ive noticed up ticks in the shorter end of the curve - the schatz especially.

There are some great easy plays in the very short end of the usd curve too if you understand fed funds and repo plays with 10 yr futures spreads - bund or ty.