Also, does anyone know how to work out the FITE and NOB spreads? I've tried various formulas in Excel, but can't get them to work. Not much a whiz so doing something wrong. I use CQG but it's crap with time-keeping. Anyone?

Cheers

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Also, does anyone know how to work out the FITE and NOB spreads? I've tried various formulas in Excel, but can't get them to work. Not much a whiz so doing something wrong. I use CQG but it's crap with time-keeping. Anyone?

Cheers

What do you want to do with the spread ratios? Is this for margin purposes? The CBOT have quite a few articles/pdf's on these which you can download. There are specific ratios published - usually in the performance bond/margin section. If you trade comprises of this ratio, you get substantial margin reductions - if not, you cough up as if you are trading the outrights (i.e. probably less size). The articles seem mostly for large funds hedging exposure, but may be of interest......

http://www.cbot.com/cbot/pub/page/0,3181,1175,00.html

Calculating spread prices is a little tricky - you can't just do (Five Year * 3) - (Ten Year * 2) as you might expect. You have to convert the prices into "raw ticks" before doing the multiplication and subtraction.

e.g. 109125 in Ten Year

109 + ((125/10)/32) = 109.390625

109.390625 * 128 = 14002 (Raw Ticks)

Do the same for the five year, then do the maths using the raw tick prices. Then to convert the result back into the normal price format :

14002 (Raw Ticks) / 128 = 109.390625

(109*1000) + (.390625*32)*10 = 109125

See, it's easy!!!!!!!

e.g. 109125 in Ten Year

109 + ((125/10)/32) = 109.390625

109.390625 * 128 = 14002 (Raw Ticks)

Do the same for the five year, then do the maths using the raw tick prices. Then to convert the result back into the normal price format :

14002 (Raw Ticks) / 128 = 109.390625

(109*1000) + (.390625*32)*10 = 109125

See, it's easy!!!!!!!

Last edited:

to answer part of your origianal question as to why t bonds/notes were traded in 32nds -zeeuk said:

Also, does anyone know how to work out the FITE and NOB spreads? I've tried various formulas in Excel, but can't get them to work. Not much a whiz so doing something wrong. I use CQG but it's crap with time-keeping. Anyone?

Cheers

stems back to all stock trransactions. they generally would have been traded in whole numbers. then as competition incresed and margins got smaller, that was halved, then halved again, etc. etc

So you got 1/2's then 1/4 then 1/8 then 1/16 then 1/32 and now effectively 1/64.

the next step could be 1/128 - that is point where common sense one hopes will prevail - therefore decimilisation is immenent AT LAST

Bundbaby - thanks for the history lesson, never thought of it like that. Maybe the yanks will read your post and make the change.

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