Futures spread trading

for starters, just an introduction, check out the plain old CME website. They have a few tutorials and you can hear it from the horse's mouth the spread discounts and implieds.
 
Quote from oldtime:

for starters, just an introduction, check out the plain old CME website. They have a few tutorials and you can hear it from the horse's mouth the spread discounts and implieds.
More...

X 2

Exchange websites, in the educational materials sections, have the best information on spreads - free or otherwise.

Like a good lay, however, it will in short order leave you entirely unsatisfied and looking for more.
 
I swear I didn't post my q before looking at the CME page! I totally missed the spreads tabs on the margins page that also gives the ratios. That is a good start.

http://www.cmegroup.com/clearing/margins/inters.html

Nothing specific on the implieds but I'll keep digging and post back later if I can't find something pointing to which of these are exchange quoted.

Edit: and spend some time exploring the education section there.
 
Just as a side note - when I post a chart, what you don't see of course are the special technical studies I have developed over the years expressly for spread market entry signals. I also work in multiple timeframes.

The other point is that my clients have hundreds of spread combinations in every market sector - the poor bastards have to go out and buy extra monitor screens and a bad azzz video card.
 
Quote from bone:

Just as a side note - when I post a chart, what you don't see of course are the special technical studies I have developed over the years expressly for spread market entry signals. I also work in multiple timeframes.

The other point is that my clients have hundreds of spread combinations in every market sector - the poor bastards have to go out and buy extra monitor screens and a bad azzz video card.
More...


Thanks for the links, bone. It will take me some time to work through them to figure out which questions I still have. And I think it goes without saying that your expertise can't be replaced with a few handouts and lookup tables. Before I traded the ES, I learned its multiplier and expiration schedule. Then came the real work.
 
Quote from rdg:

Thanks for the links, bone.
More...

You are welcome, and I am thrilled to finally be talking amongst those of my own ilk as it were. My clients love me, and the retail punters think I'm a scam. This site needs minimal capital and experience requirements.
 
What a rabbit hole. Without a background in finance, the interest rate stuff is like a foreign language.

(To add to the links for posterity, here's a note on calculating DV01 for calculating spot hedge ratios)
http://www.cmegroup.com/trading/int...ulating_the_Dollar_Value_of_a_Basis_Point.pdf

From looking at the ICS report history, it seems the hedging ratios are super stable. Is that generally the case for the treasury spreads, or do they get more volatile?

Which parts of the treasury curve are most heavily watched and traded? 2/5/10? Is there a single 'benchmark' in that arena? And are the spreads actually quoted by cbot like the ag calendars? I can only get IB to show its 'smart' routing/local aggregation on inter-commodity stuff.

Thanks again.
 
yeah, the ten yr is the benchmark and the most heavily traded. But it all starts out at the 30yr.

What are you trying to do?

I can almost guarantee you it's already been studied exhaustively.

Like when I started out, they said, "Boy, you figure out a way to beat that long bond and you'll be a rich man."
 
You must log in or register to reply here.
Back
Top