Euribor Schatz

D

Daxspreader

Hi guys

Anyone point any direction as to how i can learn more about the Euribor / Schatz spread trade?

Im looking for intraday spreads to trade, currently i trade within the equity indices space, and have recently dabbled in bund/bobl spreads with fairly good success (although i trade the spread on a statistical/correlation based approach, rather than using the weighted DV01 textbook method).

Schatz/Bobl has not been so good for me.

I havent looked into the US 2 vs 5, 5 vs 10 yet, but they seem very interesting. Anyone trading these?
 
You should visit our chatroom then... There's a bunch of us there talking about trades like this. I don't know where/how you can actually learn more, other than the very basics that you're well-familiar with already, I'm sure.
 
Whats the chatroom address?

If youre not allowed to post it publicly then please email it to me privately.

What do you trade Martin?
 
Just out of interest are there any website where I can find the latest (up to date) dv01s of the underlying CTDs for Bund/Bobl/Schatz

Im not sure if anyone has the proper ratios, but on friday I traded the following:

1 Bund = 1.6628 Bobl = 2.5219 Schatz

I calculate these using standard linear regression techniques and adjusting for the volatility. Just wanted to know how far off i an :)
 
Quote from Daxspreader:

Just out of interest are there any website where I can find the latest (up to date) dv01s of the underlying CTDs for Bund/Bobl/Schatz

Im not sure if anyone has the proper ratios, but on friday I traded the following:

1 Bund = 1.6628 Bobl = 2.5219 Schatz

I calculate these using standard linear regression techniques and adjusting for the volatility. Just wanted to know how far off i an :)
More...
I don't know if you can find the actual DV01s on the Eurex website, but you can definitely find the conversion factors. It's really easy to perform the instantaneous DV01 calculation using simple Excel functions, once you have the CTD details and the conversion factors.

I don't remember what the actual ratios are off the top of my head, but your bund/schatz doesn't look right at all. DV01-weighted, the ratio should be arnd 5 (one CTD is 2yr maturity, the other is 10y), rather than 2.5.
 
Quote from Martinghoul:

I don't know if you can find the actual DV01s on the Eurex website, but you can definitely find the conversion factors. It's really easy to perform the instantaneous DV01 calculation using simple Excel functions, once you have the CTD details and the conversion factors.

I don't remember what the actual ratios are off the top of my head, but your bund/schatz doesn't look right at all. DV01-weighted, the ratio should be arnd 5 (one CTD is 2yr maturity, the other is 10y), rather than 2.5.
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Ooops its a typo on my part. I mean to say

1 Bund = 1.6628 Bobl
1 bobl = 2.5219 Schatz

I dont trade to bund/schatz, but my model gives a hedge ratio of 1 bund = 3.768 schatz.

basically i trade bund/bobl and bobl/schatz. Bund/Schatz not really something im keen on (just gut feeling). Really want to try and develop a schatz/euribor spread but have no idea how to go about it. I read an artivle from stephen aiken about how you can find the best combination of euribor pair (i.e. only using 2 euribors rather than all 8) to spread against the schatz. I think he used some kind of PCA to optimise the fit, but still not sure on how to exactly do this. Is this an intraday trade, or something youd have to hold for a few days?

im just off to the eurex website now to get the list of deliverable bonds :)
 
Quote from Daxspreader:

Ooops its a typo on my part. I mean to say

1 Bund = 1.6628 Bobl
1 bobl = 2.5219 Schatz

I dont trade to bund/schatz, but my model gives a hedge ratio of 1 bund = 3.768 schatz.

basically i trade bund/bobl and bobl/schatz. Bund/Schatz not really something im keen on (just gut feeling). Really want to try and develop a schatz/euribor spread but have no idea how to go about it. I read an artivle from stephen aiken about how you can find the best combination of euribor pair (i.e. only using 2 euribors rather than all 8) to spread against the schatz. I think he used some kind of PCA to optimise the fit, but still not sure on how to exactly do this. Is this an intraday trade, or something youd have to hold for a few days?

im just off to the eurex website now to get the list of deliverable bonds :)
More...
Well, schatz/euribor is, basically, swapspread, aka TED. I don't think I'd ever look at it as an intraday trade.

In terms of which contracts to use, you can do some analysis to determine if it may be optimal to hold particular contracts, rather than all 8. PCA is one method that can do this (dimensionality reduction is what PCA does and it's exactly what's needed here).
 
Daxspreader, Your ratio of Bund:Schatz = 1:4.1934 whereas on BBG its showin up as 1:4.72, so you might want to check it once again if the trade does not fall into your trading pattern.

Martinghoul, I guess we had this long discussion on TED spread couple of months back and I guess we arrived at chosing 1 Euribor contract to hedge against Schatz future and arrive at a duration neutral ratio. Have you recently been trading this spread?
 
Quote from chintanthakkar:

Martinghoul, I guess we had this long discussion on TED spread couple of months back and I guess we arrived at chosing 1 Euribor contract to hedge against Schatz future and arrive at a duration neutral ratio. Have you recently been trading this spread?
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I have done some stuff, but I do it using swaps vs contracts... I made some money on the schatz-bund box, but that's about it.
 
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