Futures Spread Ratio's

[Lucky_81]

Hi all, hoping someone can help with this.

I am looking for spread ratio's for the following:-

Bund/Bobl/Shatz

Bund/Euribor
Bund/Sterling
Bund/Swiss
Swiss/Euribor
Sterling/Euribor
Sterling/Swiss

Stirs are white months. Could whoever answers (if anyone) also explain how these ratio's are worked out.

Thanks in advance.

 

[sasi]

The spread ratio is the duration ratio of the underlying asset
for example bund/bobl is 3 to 5

 

[Lucky_81]

Thanks for your reply, but I'm pretty sure this isn't how they're traded as the ratios change depending on price.

Anyone else care to comment - I know you arcade spreaders are reading this!!

Thanks again.

 

[cvs]

Thanks for your reply, but I'm pretty sure this isn't how they're traded as the ratios change depending on price.

The ratios do change, however unless your positions are huge or you're unable to leg 4:4:1 Bund:Bobl:Schatz has been ok.

Setup a few charts and have a look at the trends.

 

[savage]

Hi. Spreads have their theoretical fundation on the concept of cointegration of historical series. it is true that spred ratios are different when the relative prices change. Usually professionals have a program (tipically in Matlab) that calculate automatically this ratio.