Spread Ratios

[sbryndin]

Does anyone know exact ratios between:

30 Yr TBond - 10 Yr Note
Bund - Bobble
Bund - 10 Yr Note
Bund - 30 Yr T Bond

Thank you in advance

 

[zeeuk]

NOB - 3*2
Bobl/Bund - 2.25*1

(spread ratios continously change, although 3*2 on NOB and FITE has been around for some years)

Not sure of Bund/T-Bond ratios - 'heard' Bund (1) * Note (0.9), need to double check. I wouldn't trade it until I'm sure.

Does anyone know exact ratios between:

30 Yr TBond - 10 Yr Note
Bund - Bobble
Bund - 10 Yr Note
Bund - 30 Yr T Bond

Thank you in advance

 

[millionaire]

If u wanna know the ratios for the spreads, you should look at the daily Average True Rate (ATR) for both of the contract. For the bund and bobl, the ratio is 2 bobl for 1 bund. This means, the bund will move twice faster in comparison to the Bobl. You can create a chart for bund and bobl using this formula: Bar (DL*2-DB,1). If you wanna long in the spread, you long in the Bobl and you short in the Bund. And if you wanna short in the spread, you should short in the bobl, and long in the bund. In other words, you should long in the Bobl if you wanna long, and you should short in the Bobl if you wanna short in the spread. I'm an full time trader in a prop firm. A trainee actually. I've done some research on this field to improve my trading. If you wanna trade in a very short term period, i.e intraday, there is a different skill that you should consider if compared to seasonal. You may consider the butterfly spreading, which is a very complicated spreading, involving three market. For example, the Bund, Bobl and the Shutz. But then, if you're an intraday trader and you want to know more, you can e mail me. However, it's just an overview fr a trainee, not a very professional and experienced trader. Good luck with your spreading.

 

[TWI]

6Schatz/3Bobl/2Bund
8Euribor/5Bobl
4Euribor/5Schatz
7Gilts/10Bunds
5 Eurodollar/6 2-years
100 US 10-year noote to 57 bund.
3US 5-year : 2US 10 year
36Sterlling:50Euribor

It does not follow that these spreads are best charted in these ratios. Also some people use different ratios. These are just what either I have used in the past or picked up from other traders.

 

[zeeuk]

10yr /Bund on that ratio twalker must be pretty vicious! I hate that spread.

millionaire, i've been spread trading this stuff for years. Fly is great if you get the Bobl right, else you're pretty much screwed. Especially in the 'current' market.

 

[HCAS]

zee uk- wot do you mean by "current" market?
Are you referring to the enormous size in bobls these days and the flipping?
Its impossible to get a fill these days, almost as if that shadow trader or someone knows what your trying to do!

 

[zeeuk]

hole in one hcas. everything is getting flipped viciously, all the german and US stuff. A lot of money must be being made and lost. Some of the clip sizes and frequency is just unbelievable. if u get a fill, ur pretty much dead! Tough days these....

 

[HCAS]

zee uk, spreading looks doomed especially as more and more people go automated and high freq

 

[bobl boy]

Does everyone think spreading is doomed.How long do you thinks it's got left from a locals point of view.Most of the arcade traders trade spreads, so your saying they will all be out of work in a few years time.

 

[bigba]

high frequency is still successful, but the distribution of money has changed. but other opportunities exist. different strategies and different markets. quick movers with nothing to lose have excellent opportunity investigating new ideas. what do you think the bund bobl schatz market looked like when rotter started? he showed ingenuity and imagination whilst other institutions were hesitant about getting involved. copying his trading, searching for scraps, isnt going to offer the same level of opportunity. achieving his level of imagination might though. there are leaders and there are prols.

 

[trader jose]

I trade nob with a 2x1 ratio ( 2notes to 1bond) with with some success. Have traded it 5x3 but found it better with the more simple 2x1. 10yr notes vs. bund is very tough trade as of the last couple years

 

[stusse]

If you want to be successful trading spreads - don't just ask which ratio to trade it and try to trade it mean reversion style. you will lose. learn for yourself HOW to calculate the ratio - both trading ratio and charting ratio if applicable. the kind of market we have today makes all those spreads very volatile. As previously stated - it's not the same kind of market as when rotter made his money. More volatile, more algo black boxes nicking the easy money. If you without any experience sit down and trade the bund-tnote spread you will most likely get run over

 

[clbfjc]

Hi,

I used to trade the Bund, Bobl Schatz and T-note all as outrights, over at Marex mainly schatz and the T-note out of hours. Is spreading still worth doing with the volitilty or are you better looking at trading the outrights. Does anyone spread in the STIRS and how do they find these? Also interested to know if anyone spreads the stock index's and how the spreads on these are at present.

 

[stusse]

Hi,

I used to trade the Bund, Bobl Schatz and T-note all as outrights, over at Marex mainly schatz and the T-note out of hours. Is spreading still worth doing with the volitilty or are you better looking at trading the outrights. Does anyone spread in the STIRS and how do they find these? Also interested to know if anyone spreads the stock index's and how the spreads on these are at present.

What was your strategy trading those contracts outright? I can't see how people trade it outright with an edge, to me it seems like it's just punting. might as well go to the casino for the free drinks.

I reckon spreading is still worth doing if you're skilled at it. A lot of ppl has left the business because it's not simply mean reverting anymore. I think you could make money spreading STIRS but I would definetely prefer doing something else. I'm trading dax eurostoxx atm and it seems OK. just done it for a few weeks though so I don't know how it's supposed to be when it's good. possible to make money though.

good luck