Recent content by rokka

Excellent point, there are indeed 3 components. My rationale was we have had recently run in usd and zb, jpy was dumped - so why not bet they will normalize against each other? Latter two started... And you're also absolutely right, this correlation will break, I think ultimately rates will...

I knew you'll like it :)

ZB caught down to JPY somewhat in Friday's session. Unfortunately I traded them separately, not how I planned in the beginning. Good new - I've made money on both sides. And I haven't done any research, but its kinda obvious these two are highly correlated, so on medium timeframes it...

Update - so far parts are moving in right direction. Although I'm just lucky in this case, didn't short ZB since was too busy with shorting everything else. Only long 6J (means short JPY), that leg is working nicely so far.

I'm short index futures, yen and some other futures. Going to short 30y bond, and idea behind that is the divergence between JPY and ZB (ZB is reach compare to JPY). In terms of weight 1ZB=300k usd/jpy Thoughts?

1245, thanks for the information. I probably just need to talk to IB and get all the details.

Why, isn't futures just another type of security? They said we don't offer PM accounts in Canada, only standard reg-T. Opening corporation in US shouldn't be an issue, but will add bunch of tax form, which I hate.

Hi trading gurus, I'm using IB, pricing is probably the lowest in Canada, but recently I learned they don't offer portfolio margin. Questions: 1. do I need it? I'm trading futures mostly but would like to do much more options selling, hence PM could be helpful. 2. They haven't been able to...

bone, thanks I'm using iqfeed data (the chart was from TOS). Just tested quickly in Excel: from Jan 2012 TNX and /CL have correlation 0.72 (I compared daily highs). But it shouldn't be too always, otherwise there is nothing to trade. Also I was looking into arb for daily periods, but...

That's correct, there are different pairs well correlated with rates (or fx futures with the equity indexes) or what not. I don't think it worth doing a full stat research on pairs correlation, because historical performance doesn't guarantee anything. But what I'm pretty sure about...

At some point regime will change, no doubt. Btw, on intraday basis (5-8 days intervals) its better correlated (the spread is 2-5$).

That's funny

Hi, I'm looking to do some arb on Crude with 10Y Note futures. They have been moving in a lockstep from the beginning of 2012. Regime has been established and probably continues for some time. You can see it on the chart attached, it's inverted ZN with CL starting from beginning of 2012...