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I've been watching the CBOT bond/note futures for some time now, and have recently started playing with one contract. Looking at trading ZB/ZN/ZF/ZT spreads once I have some more experience down the line. Some observations I made are: 1. Huge liquidity. Thousands of contracts sitting on...

Unfortunately can't make it to the meeting today. I feel pretty embarassed as I confirmed yesturday that I would attend, but due in part to the chaos in the markets today I've been told that I'm not going home anytime soon tonight...perks of being an investment banking analyst =(

This is a great idea. It'd be great to meet some people with an interest in trading. pbw- you got my PM thanks for the reply. Looking forward to meeting the gang. Cheers, Babak.

I didn't know the TED spread was limited in scope to T-bills only (I assumed T stood for Treasuries and was referring to this more general case). My intention was to learn how the TED spread can be used to essentially take a short position in liquidity and profit from a downturn in credit...

Have you tried the Markit site? http://www.markit.com/marketing/indices.php

sjfan - that's a good point I never really considered the spread vs. swaps. This should be a quiet week - gives me some time to go through some data and think about all the different strategies I can play around with. Just out of curiousity, anyone here have a position (or strong opinion) on...

Cool, I had no idea these ETFs even existed. Gives the retail investor lots of options. What do you think about the IEI - HYG spread nazz? The IEI and TLT both invest in Treasuries, but the IEI duration is closer to the HYG duration.

Just charted the spreads going back to 2003. Interesting that since then junk spreads have dropped from over 800bps to around 300bps these days. Gotta think with all the talk about liquidity drying up there'll be a lot of pressure on spreads - particularly the lower quality credits. I know...

nazz - The problem with the FF contract is that the final settlement is the arithmetic average FF rate over the month, so when we are near month end like now the contract does not move. ChiBond - I found the article I assume you are referring to: http://www.cbot.com/cbot/docs/42550.pdf I...

I see what you mean nazz, but what would happen if the fed moves or hints that it will move between the maturity of the two contracts?

I've been thinking about what you said, but don't quite understand how front-month versus deferred-month ED would be a good proxy for the TED spread. Can you please elaborate?

Since I want to bet on the liquidity/risk aversion that the TED provides I think (2) and (4) are good suggestions. I just have to look into how the FF futures averaging would impact the trade, and if it's possible to trade small amounts of cash t-bills efficiently. (1) and (3) may be exposed...

Can someone please help me track down some info on the TED (Treasury/Eurodollar) spread? I've searched around but it seems there isn't too much research that I can get my hands on. I can't even find a decent chart to see how its moved historically. I was also wondering how to trade the...

I wanted to ask the experts here a question regarding leveraged investing. Consider the following two alternatives to investing in the S&P 500, and suppose the index is at 1,420. 1. Long 500 SPY shares at a cost of roughly $71,000 ($142 * 500) 2. Long 1 ES contract (post $35,500 margin)...