anyone daytrade the ZF (5 YR Note)? It seems pretty weak

Quote from increasenow:
thanks very much for your insight...what about an intra month spread of the same contract? Example: buy March ZN and sell June ZN??...or are intra months of same contract best on Eurodollar?
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Rolls are a science unto themselves.
 
"Rolls are a science unto themselves."

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The fungibility aspect of the contract and the variables introduced by the various delivery scenarios. It is, literally, a large game into and unto itself. And it gets gamed and squeezed when the opportunity presents itself.
 
Quote from Martinghoul:

Rolls are a science unto themselves.
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Yup, especially rolls in US bond futures where there is a fair bit of CTD optionality. There are a lot of things to do around basis, rolls etc if you know what to do. For a retail person (e.g. someone with P&L target in hundreeds of K, not in millions per year), there is also a lot of fun stuff to look in trading futures vs ETFs.
 
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