Dax v Eurostoxx spread

[weakpunter]

If someone could help, does anybody know the ratio's

for trading dax/stoxx both the trading ratio and the charting ratio.

thanks.

 

[mauzj]

It would be better if I showed you the rough methodologyy...

Calculate the nominal value of the dax. It's around EUR 160k.

Calculate the nomal value fo the FESX. It's around 33k.

160/33 = 4.7.

So assuming no volatility weighting, you need about 4.7 fesx per fdax.

For the chart ratios, multiply by the point values and then divide by a normalising factor (or the numbers will be too long).

 

[stusse]

It would be better if I showed you the rough methodologyy...

Calculate the nominal value of the dax. It's around EUR 160k.

Calculate the nomal value fo the FESX. It's around 33k.

160/33 = 4.7.

So assuming no volatility weighting, you need about 4.7 fesx per fdax.

For the chart ratios, multiply by the point values and then divide by a normalising factor (or the numbers will be too long).

Which would be a rough trade ratio of 5 stoxx to 1 dax and a rough chart ratio of 2 stoxx to 1 dax. That's how I do it anyway. So, all you dax/stoxx spreaders out there, how do you do the legging? Autospreader/manually? working which leg forst? Market orders? Any advice or general experience in particular? I find that the spread moves when the equity markets moves (well, which is quite normal when trading spreads).

 

[DC STOXX]

Why trade the spread instead of the outright? This is a very directional spread and the stoxx dax are not even as correlated as people say so, so how would you get a long/short view on the spread?

The only way i could imagine is if a certain company is in one index and not another and has had some significant news, but then you may as well just trade that stock on its own.

 

[mauzj]

Which would be a rough trade ratio of 5 stoxx to 1 dax and a rough chart ratio of 2 stoxx to 1 dax. That's how I do it anyway. So, all you dax/stoxx spreaders out there, how do you do the legging? Autospreader/manually? working which leg forst? Market orders? Any advice or general experience in particular? I find that the spread moves when the equity markets moves (well, which is quite normal when trading spreads).

I show the dax lean fesx 200 % risk. how do ypu guys get directional view? i just punt

 

[fcmisc]

I use stellar. But it doesn't give very good fills.

 

[stusse]

I use stellar. But it doesn't give very good fills.

You mean Stellar with the autospreader? What risk ratios and what leg do you work?

I work the DAX leg and have a conditional payup (depending on the volume in the book) if it misses the stoxx leg.

No one who legs the spread manually?

 

[stusse]

Why trade the spread instead of the outright? This is a very directional spread and the stoxx dax are not even as correlated as people say so, so how would you get a long/short view on the spread?

The only way i could imagine is if a certain company is in one index and not another and has had some significant news, but then you may as well just trade that stock on its own.

it's not that directional. no spread holds in these days anyway. Also, I don't have the faintest clue on how to trade it outright with an edge, care to enlighten me?

Generally if the outrights move in a certain direction I wouldn't trade the spread since it trends. when it stop however there's a good range.

 

[DC STOXX]

Levels & order flow, something i cant see in the spreads hence why i don't trade them because i don't have a clue what should be happening?

 

[stusse]

Levels & order flow, something i cant see in the spreads hence why i don't trade them because i don't have a clue what should be happening?

Spreads are also partly about levels. But not technical support/resistance levels which you might be referring to? What's the normal holding period for you positions? how many trades a day and do you actually make consistent money on it? Trading spreads could make you small but consistent money.

 

[DC STOXX]

Few seconds to a minute usually...rarely >5mins
20-40 trades a day
I seldom have down days

 

[stusse]

Few seconds to a minute usually...rarely >5mins
20-40 trades a day
I seldom have down days

Do you look at the orderbook also? I find it hared since it's mostly spoof. Do you use CQG's TradeFlow charts or something similar (relating to whether the trade is executed on the bid or ask) to gauge the order flow?

happy trading!

 

[DC STOXX]

no, i just watch the order book really thats all

 

[fcmisc]

no, i just watch the order book really thats all

Do you use charting like CQG, need to watch for news on something like Bloomberg, or listen out to a squawk? How do you factor in company earnings, or do they not affect your strategy?

For my spreads, I primarily look at overnight earnings announcements as they can cause spreads to gap overnight

 

[DC STOXX]

Do you use charting like CQG,
YES
need to watch for news on something like Bloomberg, or listen out to a squawk?
BOTH
How do you factor in company earnings, or do they not affect your strategy?
PUNT ON RELEASE

For my spreads, I primarily look at overnight earnings announcements as they can cause spreads to gap overnight

 

[apcorona]

i agree now a days no spread is giving easy money, and specially Eurostoxx-DAX is like playing with fire,, a very volatile spread, i am doing it in 1:4 ratio, but unable to figure out any profitable strategy in it.

 

[Accumulator1914]

Few seconds to a minute usually...rarely >5mins
20-40 trades a day
I seldom have down days

Hi

what is your average profit and loss in single trade ..?? Is Profit received FDAX only?

best regards

 

[AZBO]

It varies depending how long the position is held for. The hardest part is the entry (as expected) and the exit signal is very straightforward.
I like this strategy but it's not for the faint hearted.