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Eurodollar-Treasury spreads
- Thread starter chr_papak
- Start date
I trade Treasury basis spread if you would like to chat about it we can do it here on elite trader!!!
Used to trade TED spread...cash against futures. What do you want to know?
Thank you all for your interest. I am also trading euribors with bobls and the ration i use is 8 to 5. I am trying to trade the same on ED's and 5yr Treas but have a problem with the denominations. To give a better example... let's say i buy eurib and sell bobls. With the ratio in use if a sell the eur 1/2 tick lower and the bobls 2 ticks lower I scratch my trade. On the other hand though, if i use the same ratio (which in my point of view is correct) i have a problem with the 32s in treasurys as they do not match my setup in european contracts. Does anyone have an idea about it. Any suggestion will be appreciated. Tks.
Hi,
This table may help. It has the margins for the ED/five year spreads (with appropriate ratios).
http://www.cbot.com/cbot/pub/page/0,3181,2145,00.html#4a
This table may help. It has the margins for the ED/five year spreads (with appropriate ratios).
http://www.cbot.com/cbot/pub/page/0,3181,2145,00.html#4a