Bund Bobl Schatz Fly
- Thread starter novish
- Start date
Shouldn't you be looking at 2s5s and 5s10s?
I used to look at both but what i have observed is that either 2 or 10 reacts more on some days with 5s getting on either 2s side or 10s side so today currently i see
2s +1.8bp
5s +1.6bp
10s +3bp
This is just a crude way but i have not found anyway to analyse this thing on intraday basis.
Yep, I agree... For the benchmarks, I see 5y outperforming the wings. Majority of this is the move in swapspreads (bobl wider, while both schatz and bund tighter).
Hi guys, what ratios do you use for the Flys? And what formula do you use to chart it?
I see the following (based on spot measure):
1000 Schatz contracts = 399 Bobl contracts = 222 Bund contracts
For the fly, then it should be 2 * belly - wing1 - wing2.
You should use the same weights to chart.
4-3-1 is the ratio these days, ie 4 schatz -3 bobl + bund (for going long)
For charting the ratio is the same, price should be around 206.50s now. 1 fly tick is 10 euros with one set(4 3 1) on.
I use bollinger bands with all my spreads, especially Fly as it does have a mean reverting tendency. Start off with half your clips and allow one average in.
except on days before trichet talks leading upto his ECB speech. Those days follow the trend blindly.
For charting the ratio is the same, price should be around 206.50s now. 1 fly tick is 10 euros with one set(4 3 1) on.
I use bollinger bands with all my spreads, especially Fly as it does have a mean reverting tendency. Start off with half your clips and allow one average in.
except on days before trichet talks leading upto his ECB speech. Those days follow the trend blindly.