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Hi everyone, I am a new person in US bond futures market & primarily trade spreads & butterfly. Since my questions in the other thread may diverting from main topic i decided to open a new thread. All are invited, Naveen

Why is ZT up 1.2 ticks when cash down by 10 ticks

Hi, Those who do not have bloomberg how do you follow when issued yield. I have CQG but i am unable to get yield using BGcantor + the data is not matching with bloomberg. Bloomberg shows price around 99.84 & yield 1.074/1.066 CQG only has price which is 106. I do yield spread trades using...

I see the 10 yr cash 97 13.5 which is 3.5 ticks from the low of day 97 10 Whereaas TY is trading at 117 28.5 Low is 117 19.5 So it seems to me that TY has not fallen in line with cash , iHow to compare both apart from basis

Thanks For the replies, i seem to be ill prepared for this issue will get back when things become more clearer to me. IF anyone wants to pitch in with their thoughts plz do. I think that futures butterfly is quite popular amongst prop house traders, How do they analyse if anyone has some...

There are lot of things here that i dont know like 1. How does bloomberg calculate duration neutral ratios for Futures based butterfly, i presume it uses CTD bond but i really dont know? 2. I dont make fly for cash bond in price terms , i simply see the 2- 5 yield spread minus 5-10 yield...

I take the duration neutral ratio of bond futures in bloomberg for ZT & ZF portfolio,i dont remember but lets say its 100 ZT & 89 ZF, say same ratio for ZF ZN portfolio is 100ZF 70 ZN. Since adding two duration neutral portfolios will result in a duration neutral portfolio. (100 Long ZT + 89...

You are right that CTD fot ZN will be a bond with 7 or 8 yrs term, I havent done this but lets say i take butterfly in yield terms based on CTD bonds, & its down 10 bp, then what can one say if futures butterfly in price terms is at same level heres the attchment...

Good Morning, I trade from 06:00 GMT to 19:00 GMt, so sorry for not being clear on session. I do track the yield spreads from BG Cantor data on CQG realtime, this is what i see just before todays CBOT open. Attached is how i track yields , i have lot of doubts on relationship between cash &...

Thank You Martinghoul I will look into those papers Naveen

Those trading Eurodollar Futures, has anyone compared Swap inplied forward rates with eurodollar future rate, e.g using swaps one can arrive at forward imilied 3 month rate starting Mar11. How does this compare with Mar 11 Futures, Can somebody point me to right direction Good Trading Naveen

Also does anyone has some good literature on US cash bond trading mechanics like, i only found this on the net http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1017530

Hi, I am noob trading US bond futures mostly asian session. I am using CQG to follow up on cash bonds, BG Cantor data. I have a few queries? 1. During New York session What is the typical spread in 30 yr cash bond, i have observed it to be 2-4 tick wide, e.g currently 9 am GMT today quotes...

can somebody please tell me how the 2-5-10 Fly level is calculated in basis points. My understanding is that its 2-5 yield spread minus 5-10 yield spread. One report reported 34.3bp with 2,5 10 yr yields at 1.23%, 2.72% & 3.71% respectively for 16 Jun09. Any thoughts, educational material...

Hi, I have some doubts regarding T&S & how trades are executed. I would be grateful if someone can clarify 1. How is tick data & time & sales data different? 2. If i draw a10 tick chart does that mean that last 10 trade prices are used to construct OHLC bar? 3. If we add up all T&S data...

Hi Edgehunter, I am sorry for being offtopic, i asked regarding T&S as i thought that since the delta indicator is taking as input the smallest interval data( either tick data or T&S data) so maybe i can clarify my doubt regarding the same. Plz continue with the discussion i have a lot to...

I have just started reading this thread & have few doubts on T&S ,Tick data 1. How is tick data & time & sales data different? 2. If i draw a10 tick chart does that mean that last 10 trade prices are used to construct OHLC bar? 3. If we add up all T&S data for a session would it equal to...

Can any American explain to me the logic behind this silly arguement that Indian Ownership will reduce brand image. Some big americans firms have people from indian origin as CEOs, did their brand image suffer?