CBOT Dec 2015 ICS Ratios

cdcaveman said:
what do you use these for?
More...

These are a subset of the 'exchange recognized' spreads that carry reduced margin requirements. If you trade different ratios, your 'hedge' will not be optimal (according to CME) and your margin requirement will be higher.

Note that not all brokers follow the exchange's reduced margins.
 
The CBOT Treasuries are physically fungible contracts. The "cheapest to deliver" underlying into the futures contract can change from expiry to expiry. Consequently, the hedge ratios, especially for the shorter maturities, will change. If you don't have access to a Bloomberg terminal, or know for yourself how to calculate DV01, then this is a handy way to get the latest contract hedge ratios - even if you are legging into a spread manually and not trading the exchange supported spread.
 
You must log in or register to reply here.
Back
Top