spreading Liffe/Eurex

[GGG]

Dear fellow traders,

Afaik, the standard arb used to be buy bid, sell offer at the lower volatile instrument and hedge with smaller size on the correlated, but more volatile instrument, in effect taking half the bid ask spread.

Is this still being done? Schatz - bobl etc. i wonder what's the current hot play in town?

regs, ggg

 

[AlexRotenberg]

really expensive market to trade, unless doing 100+ lots

 

[Halo]

in the london arcades loads of people are still doing these yield curve spreads - bor verse schatz is still a big play but it's tough and I know more people struggling than winning big time. I think it still makes a lot of people their 1000 euros a day but it's quite saturated. As the previous post says it's even tougher if you've only got modest limits....