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VBA, R, Python. They are all free and relatively easy to learn.

If you are looking at it from the broker's point of view you will never know exactly what notional base the client is using or assuming. I used to run SMA's at a hedge fund. The client would inform us, in writing, what notional amount we should assume for trading purposes. Say, for example, that...

I have complete 10Y Treasury futures tick data (all contracts, 1985-11/2014). I am interested in swapping for a similarly complete ES/SP tick data history. Please PM if interested.

The good news is you were observant enough to spot this anomaly. Bad news is that there is nothing here to take advantage of. The CME changed the composition of the CTD basket for the June contract (reasons having to do with the fact that there was a gap in 30Y Bond issuance from 2001-2006...

What country are you in?

Thanks. Sorry...should have mentioned I'm looking at futures.

For those who have tried testing ORB, I was wondering what data granularity people have used? I have access to tick-level data, but I'm trying to avoid that as it would be too noisy, as well as somewhat computationally cumbersome. How much information would be lost by using 10 or 5 min samples...

Yes, but would the larger customers benefit from having to pay the added commissions?

http://www.wilmott.com/messageview.cfm?catid=3&threadid=43940 Not a straightforward answer to this question, and Seems like NT might have made an error, so unfortunately the OP will still have to do some digging on their own to find the answer.

Trading bonds against stocks on a "fundamental basis" is probably best done longer-term (think weeks or months) through some type of regression modeling. This wouldn't be rv trading, per se, but rather more econometric modeling. Short-term (days or less) I would look at purely statistical...

Relative Value usually applies to instruments within the same asset class (bonds vs. similar bonds, for example). Stocks vs bonds is therefore not RV, but rather a spread trade. Are you interested in relative value or spread trading?

I guess you didn't quite get the gist of my last post. The spread you are talking about is the spread between the 30Y futures and the Ultra futures contracts. Both contracts track bonds that are less than 30 years in duration. The U.S. does not issue 50Y bonds, so the Ultra has nothing...

Where do you see a 50Y (or anything that was issued as a 50Y) U.S. Treasury Bond trading? I'm pretty sure the Treasury doesn't issue 50Y bonds.

The CTD to that contract is the 4.5 5/15/2038, yielding 2.98%. BTW, it is not a 50Y contract. It tracks something > 25Y. The reason it was created was because the 30Y contract tracks something closer to a 15Y bond.

If you are experienced with a profitable track record at another fund then ask for +25% over your old base and an extra 5-10% of PnL. If you are not experienced then 80k base if you are non-NYC based, 100k base otherwise and 10% of PnL. Renegotiate next year if you have a good year.

This is not a pure arb. You are exposed to changes in the CTD, as well as changes in your cash financing rate. Even if you hedge out the optionality in the deliverable it becomes a curve trade. Mark-to-market swings can be considerable. Read Burkhardt's Treasury Bond Basis book to understand...

One problem I see with DITM option trading is that you might not get the liquidity you need to get in/out of the position at a reasonable cost. Generally, option liquidity is in the ATM/OTM strikes.

Futures prices take into account carry, so yes that is reflected (not as cleanly as in the cash market, but it is there nonetheless). Get yourself a copy of Treasury Bond Basis by Galen Burghardt for the industry standard explanation/calculation of this stuff.

It's just the way the deliverable baskets happen to be. In the long-end contract the two currently cheapest happen to yield about the same, and they remain in the basket. On the other hand, with the short-end contract the two cheapest will roll out and there is a yield gap with the new ctd...

Not only go back to school, but make sure you pay back your Dad as soon as you can possibly can, and never take money from relatives to trade again unless it is "pocket change" for them.