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that isn't true at all

Try zf vs zn, or zn vs zb. Zf vs zb is too much curve for a beginner (or pro, imho) U could always flY the zn with the 5 and 30 too. I do recommend using an autospreader as well. Cqg and tt have one.

how do you define serious?

Where did I say vol ratio is when there is no correlation? A pair trade requires that the pair is correlated? That is a very broad stroke sir, especially from someone who memorizes from a text book. Did you just finish school?

Cannonical derivation of beta hedge ratio? ARE YOU SERIOUS??????? How about a practical derivation? Please, enlighten me. AND WHEN DID I ARGUE THE BETA ASSUMING 100% correlation is incorrect? I didn't even mention betas. Forward VOLATILITY, YOU CAN'T BE SERIOUS??? Did your foward...

does it have to be esig?

how do you assume volatility is constant?

you need to read what I wrote again

Actually, trading dollar-weighted would be an assumption of 100% correlation, whereas volatility-weighted would be an adjustment to compensate for the lack of correlation.

Good luck with that.

which big players do you know of who don't spread?

yes, i would say the majority of the volume comes from spreaders

Euribor is a derivative most often used as a hedge for another product with the same duration. Big money doesn't trade interest rate products outright, regardless of the duration.

Volatility weighted would be a more accurate representation. Although, you don't want to deviate (no pun intended) too far from dollar-weighted.

ELX was created to facilitate the cash/futures spread (i.e.exchange guarantee). It wasn't created for pikers trading 5 lots. There are some big players who will try their best to make this endeavor successful. I wouldn't short it.

Can I suggest you stop posting then?

Several, execution for one. Another example, preceeding the aforementioned would be a process by which the current market environment is "measured." Obviously there are more depending on the level of sophistication of your algo(s).

And we know you work for IB!!!! Mod's, assign him an "IB sponsor" tag please so there isn't a conflict of interest:eek: :eek: :eek:

and just think how much extra cash will be floating around since the govt. continues to print more of it daily. socialbama on the move...

You should consider the difference in volatility between the two contracts before making your decision.