how to trade the bund bobl spread?

[quickg]

What is the usuall ratio of bund bobl spread? How do you calculate this ratio?

 

[arabianights]

Basically you just do it in proportion to the DV01 of both bonds.

Here's an example using US rather than EUR: CBOT - Trading the TUT Spread: Capitalizing on Changes in Yield Curve

(I avoided actually giving you the current spread because I don't know it, don't even know the CTDs in fact... someone will be around to tell you no doubt )

 

[96pills]

i suppose u dont really ever need to know this kind of stuff?....

 

[oiltanker]

this is what these people do

http://www.eurobondonline.com/eurexonline.htm

 

[quickg]

Is it 2:4 ?

 

[oiltanker]

they have

Jun 4 - buy 5 Bund/sell 9 Bobl at .85 bp's

 

[quickg]

How do they calculate this ratio?

 

[arabianights]

dv01:dv01 of each contract as explained in my first link.

They calculate the dv01s as explained here: http://www.cmegroup.com/trading/int...Dollar_Value_of_a_Basis_Point_Final_Dec_4.pdf

Don't forget that ratio, therefore, will change depending on the curve itself, and obviously also what the CTDs are.

If you feel like it, pop along to our chatzy room on Monday (say around 9am) at Chatzy - Short Sterling and Euribor and I'm sure someone who's actually trading it will be kind enough to give you the current ratios

 

[oiltanker]

arabian what do you make of their ss and bor trades

e.g june5th

Short Sterling we are May 21 - sell 10 Jun10 Sterling at 98.31, buy stop at 98.05
Euribor Jun 4 - sell 8 Jun10 Euribor at 98.43 , buy stop at 98.26
Euribor1Yr Jun 4 - buy 10 Sep9 Euribor/sell 10 Sep10 Euribor at .63 based on Jun10 Euribor 30min max
Euribor - Short Sterling Jun 4 - sell 6 Jun10 Euribor /buy 8 Jun10 Sterling at +.28

http://www.eurobondonline.com/eurobondive.htm

[towards bottom of page]

 

[arabianights]

arabian what do you make of their ss and bor trades

I don't trade the same way as them (and it's worrying that they seem to be giving limit orders, i.e. targets, and not buy stops - in fact they don't seem to have any stops which makes these very hard to evaluate), and I'm not going to bother loading up Reuters, so entirely off the top of my head, assuming sensible stops (and again without any particular expertise at longer term trading), in order:

Short Sterling we are May 21 - sell 10 Jun10 Sterling at 98.31, buy stop at 98.05

Fine

Euribor Jun 4 - sell 8 Jun10 Euribor at 98.43 , buy stop at 98.26

Fine

Euribor1Yr Jun 4 - buy 10 Sep9 Euribor/sell 10 Sep10 Euribor at .63 based on Jun10 Euribor 30min max

Fine - although this is essentially the same trade as above, but with double the commission

Euribor - Short Sterling Jun 4 - sell 6 Jun10 Euribor /buy 8 Jun10 Sterling at +.28

I don't really like this one as I think we'll be putting up rates more rapidly than the ECB... I can see the logic but there's only about 28 ticks (to flatten) + 50 ticks (EUR/GBP [EUR/LI]bor - essentially credit - spread - which is tightening in any case) upside to this and a few hundred ticks downside.

The first three are all more or less the same trade mind - red steepening - and I might also add that trade 1 + 2 + 4 actually add up to a small trade on sterling of -2 and a large euribor component of -18 [ignoring them being in different months]... which doesn't really make any sense to me...

Also I'm biased in favour of huge UK inflation, whereas eurozone is harder to call.

 

[Martinghoul]

As soon as I see someone recommending a Buxl vs Euribor position, I stop reading. I would never listen to someone who comes up with these sorts of trade ideas.

 

[arabianights]

But... but... you can trade basis and the 2/30yr view at the same time, if you have one of two highly specific viewpoints

 

[oiltanker]

hey arabian the chatzy link in the sig is for the old room.

 

[arabianights]

whoopsy - I'll sort it out on Monday (if I remember )

 

[Martinghoul]

But... but... you can trade basis and the 2/30yr view at the same time, if you have one of two highly specific viewpoints

Sure thing... But why stop there? Let's have trade recommendations for stuff that's near and dear to your heart, Cap'n Arab. Specifically, I propose looking at EURIBOR/Lean Hogs spread. A lot of juice in that, methinks...

 

[MrGecko]

'BOR vs. Chaff Crack spread is the trade that comes to my mind...

 

[MrGecko]

Note; to compensate for my rather useless post, I will remind you all that BOBL's go full tick from the 15th...

 

[arabianights]

If I'd held that hogs position I'd be a millionaire by now

 

[oiltanker]

are you doing the shoulda woulda coulda dance?