Bund v T-Bond Spreads

zeeuk

Member
88 0
Hi, anyone spreading German Bund futures against T-Bonds (i.e. 5yr / Bobl or 10yr / Bund)?

Is it any good and what is the relationship.

Cheers,
 

TWI

Senior member
2,536 254
Think Eurodollar to US 5-year may make some sense but not got stuck in yet.
Actually looking around for best product to spread against Eurodollar as currently just doing the calendars.
 

zeeuk

Member
88 0
Hi, Are you doing the calendars on CME or Liffe; and are they any good on intra-day. I have Dec up on my screen, but don't trade them at the mo. Don't move around much do they?
 

TWI

Senior member
2,536 254
On CME. I looked at Liffe for a while but it was just too illiquid. thought there may be arb between the 2 but that isn't the case either, already all done with autospreaders by the Liffe marketmakers.
Some good fills on CME when volume going through. Intraday I look to trade the 6 months spreads along the curve. I am not doing much size yet, just 20-30lot clip but appears to be working out OK, if slowly.
 

zeeuk

Member
88 0
Sounds ok - I think I'll start looking at it and see if it's my cup of tea. Cheers and good luck!
 
 
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