bund bobl shatz ratios??

[Future]

how do people ratio these up.... do traders normally go long/short of two contracs hedging against the reverse in the ''body'' of the fly??

 

[anomaly]

Usually people weight these contracts so that their position is neutral versus a 1 basis point move in the underlying yield of each cheapest-to-deliver underlying bond.

Currently PV01 values are:

Bund 860
Bobl 459
Schatz 181

So if you wanted to set up a PV01 (parallel yield shift neutral) position of long Bund short Bobl, for example in 100 lots:

100 x 860 = 86000
8600 / 459 = 187 (approx)

i.e. buy 100 Bunds and sell 187 Bobs