i have been trading german interset rate butterflies and spreads for last 5 years and am interested to know of anyone who has traded both US treasury spreads as well as the german (euro) equivalent. This year since May has been tough in the german bonds but very profitable previously. Is there money to be made in the US treasuries spreading and doing butterflies
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
anyone trading 2-5-10 yr or 5-10-30 yr US treasury butterflys
- Thread starter screen monkey
- Start date
The question is very open-ended... If you know what you're doing, there's probably money to be made in anything.
point taken, let me rephrase my qusetion, are there similarities in trading buterflies on US treasury curve and european curve. I have found it much harder to make money in last 6 months on european curve spreads than before as spreads and butterflies are much more volatile. Just wondeing has anyone exoerienced teh same trend in US curve spreads
The dynamics that govern the curve behavior are very very different. I do stuff in US periodically, but only when there's a lot of juice.
do you think trading flys in high frequency mode is a viable strategy? e.g. if you see the fly dislocate after the number, you recieve/pay via futuresQuote from Martinghoul:
The dynamics that govern the curve behavior are very very different. I do stuff in US periodically, but only when there's a lot of juice.
It can be done, I suppose, but I can't imagine doing it in h-freq mode, tbh. Liquidity isn't gonna be good enough for that, I would imagine, but, then again, I haven't really tried it that way.Quote from sle:
do you think trading flys in high frequency mode is a viable strategy? e.g. if you see the fly dislocate after the number, you recieve/pay via futures
Will need a good spreader and access to the interdealer market. Tradeweb can do flies but you'll probably end up paying a fair amt of bid/offer if you want speed.
Quote from Martinghoul:
It can be done, I suppose, but I can't imagine doing it in h-freq mode, tbh. Liquidity isn't gonna be good enough for that, I would imagine, but, then again, I haven't really tried it that way.
What are you talking about? There are both order book type of markets for bonds that you hit or lift (GovX for example); or you can send out a RFQ to a set of dealers for competition on either Tradeweb or Bloomberg; There may be a slight blackout period in the few minutes after a major report - but you'll execute.
No idea why a 'pit' comes into this conversation at all.
No idea why a 'pit' comes into this conversation at all.
Quote from emg:
the problem when trading bonds butterfly spreads is, no bond pits. Therefore, when trading butterfly electronic, better cross your finger and get filled.
U need a pit broker to execute the trades. Unfortunately, open pits is coming to an end
True dat and butterflies in cash bonds are perfectly doable, albeit not on a h-f basis (since I am more EUR focused it's more MTS than TradeWeb for me, although both are poor these days). For some reason, I thought the OP was referring to bond futures, rather than bonds.Quote from sjfan:
Will need a good spreader and access to the interdealer market. Tradeweb can do flies but you'll probably end up paying a fair amt of bid/offer if you want speed.