First of all, I'm not really a bond type of guy - and I've only recently started to grasp some of the basic concepts of interest rates, and also the enormous amount of strategies that you can trade when you spread the various contracts/durations/months against each other. The possibilities are as close to endless as you'll get in the financial markets.
Perhaps I should have chosen the second legs a bit further out - I don't know. I still think I'm getting a lot of any movement - and the volatility drops the further out you go.
Probably it's wiser to focus on entry/exit and money management, at least for me.
The volume drops off when you go more than two year out, but within two years there's plenty of contracts for anyone - both ways. The spreads are also very tight, so you'll often get hit or lifted if you join the bid/ask. Spreading within the first two years is usually only two ticks wide, except for the monthly contracts which you should stay away from unless you want to be a market maker in them.
I know trading Euribor (the EuroEuro, hehe) is big, and also the bund on Eurex. There is a lot of spreading in Europe done by the prop firms/desks. There is a book published in the UK about this which I have not read myself: Trading STIR futures by Stephen Aikin.
http://www.harriman-house.com/pages/book.htm?BookCode=22856
He also has a website devoted to the book, which has a forum where you'll be able to find links to a few articles he's written which are very interesting and gives good insight into professional techniques: http://stirfutures.co.uk/
Good luck with your trading - still keeping track of your journal!
Perhaps I should have chosen the second legs a bit further out - I don't know. I still think I'm getting a lot of any movement - and the volatility drops the further out you go.
Probably it's wiser to focus on entry/exit and money management, at least for me.
The volume drops off when you go more than two year out, but within two years there's plenty of contracts for anyone - both ways. The spreads are also very tight, so you'll often get hit or lifted if you join the bid/ask. Spreading within the first two years is usually only two ticks wide, except for the monthly contracts which you should stay away from unless you want to be a market maker in them.
I know trading Euribor (the EuroEuro, hehe) is big, and also the bund on Eurex. There is a lot of spreading in Europe done by the prop firms/desks. There is a book published in the UK about this which I have not read myself: Trading STIR futures by Stephen Aikin.
http://www.harriman-house.com/pages/book.htm?BookCode=22856
He also has a website devoted to the book, which has a forum where you'll be able to find links to a few articles he's written which are very interesting and gives good insight into professional techniques: http://stirfutures.co.uk/
Good luck with your trading - still keeping track of your journal!
