Search results

Could anyone tell me, what would futures price of a bond e.g. bobl multiplied by its conversion factor arrive at? i.e. 117.130 * 0.912067 = 106.8304077 What does 106.8304077 represent/mean?

Schatz-Bund Box.. Does it mean a 4-legged trade?

Daxspreader, Your ratio of Bund:Schatz = 1:4.1934 whereas on BBG its showin up as 1:4.72, so you might want to check it once again if the trade does not fall into your trading pattern. Martinghoul, I guess we had this long discussion on TED spread couple of months back and I guess we arrived...

To Everyone, What are your views on the present economic scenario? Do you all think Dow Jones will sustain its current levels for a long term? Is any correction/corrections expected shortly? We look at the factors like Weak US$ and the prices of Gold plus the stiumulus provided by the...

The current yield of the 4th/5th Euribor contract is 2.002 whereas for the Schatz Dec09 it is approx 1.785. Do you think looking at the absolute difference between the two yield could help decide anything about the direction of the duration neutral trade?

Is that what you talking about?

Yeah, usually the 4th or the 5th contract.

RED LINE = [3 x Euribor] minus [5 x Schatz] -- Just an effort to make a synthetic credit spread.

So if we assume that tighter spread (almost) signifies an improving economy, then in that case the direction of the spread and the benchmark equity index of that country should have an inverse relationship, isn't it? I tried plotting the above on the chart. But the direction rather seems to...

What does the duration neutral difference b/w Euribor and Schatz (Euribor minus Schatz) indicate? Does it by any chance signify the difference between the 1. Interbank lending rate and 2. Govt. lending rate to the Banks? Now, if the difference is getting narrower, does it signify that the...

Hello All. Ive been trying to trade both Schatz V/s Euribor and Bobl V/s Euribor. The spreads have dramatically reduced the range and getting directional too. 1. Does anyone here has a better way of trading these spreads? 2. What could be the possible reason for these trades to go...

Hello Guys, I am new to the markets and wish to understand the relation between a country's Interest Rates and its Currency. If we look at today's headlines, it says "Australia Increases Benchmark Interest Rate to 3.5%" "Reserve Bank Governor Glenn Stevens increased the overnight cash...

Soz.. Here's the pic...

Here's mine

Guys, Has anyone traded Nasdaq V/s S&P spread? I have been trading it for the past 6 months and the results have been pretty decent. Does anyone else trading the same has a fundamental back-up? The Blue bars is Dow Jones whereas the Black Line is (2*Nasdaq-1*S&P). Any comments welcome.

Guys, might sound a little weird to all of you! I assume the spike till 1687 wasn't a fat finger, but was backed up by a lotta of logic. Lets begin it this way - Somewhere after the markets started improving after the March 2009, Nasdaq has been outperforming S&P and Dow Jones. I assume the...

Does this mean that the approximate DV01 for Schatz = 650 x €25 / 1000 = €16.25? I might be wrong. I thought of using simple mathematics here to find myself an answer. Please advice me if I am wrong!

If you don't price the spread correctly, you're going to end up with all sorts of risks other than the spread that you're trying to trade. Which, in turn, means that whatever moves you're observing are caused the things you're not interested in trading. [/B] Is it possible to execute 6 x...

That is right. I personally hedge 10 Schatz with 6 Euribors!! Well, you were right when you said that I should know the logic behind the trade before starting it. But anyways, its better late than never. The hedge ratio here is 1000 Schatz V/s 650 Euribors! And the logic, like you said, is to...

Sounds (and it is) quite logical. I ideally pick up 4th or 5th Euribor and trade it against Schatz. The duration neutral spread b/w Euribor and Schatz (Euribor minus Schatz) has been slowly crawling in the downward direction. Does it, by any chance, indicate the improving market conditions?