How exactly can one makeup the TED spread with futures? Im assuming most people just use 13-week T-Bill futures (symbol GTB) with 3month Eurodollar futs (symbol GE) of the same expiration? Are the ratios just one to one?
Futures TED spread make up?
- Thread starter Elitist Trader
- Start date
I think most people use the T-note futs vs Eurodollars... Therefore, I heard these things described as TUTED, FVTED, etc.
http://www.cmegroup.com/education/product-specific/ir.html
Lots of good information on there right now, I am trying to sort through it right now
http://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html
That has the appropriate ratios you should you to construct your spread so that it mimicks that part of the curve. Unfortunately it does not have the TED spread and I am not completely sure how that would work (if it's 1:1 or not)...
Lots of good information on there right now, I am trying to sort through it right now
http://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html
That has the appropriate ratios you should you to construct your spread so that it mimicks that part of the curve. Unfortunately it does not have the TED spread and I am not completely sure how that would work (if it's 1:1 or not)...
It's DV01 or duration-weighted, rather than 1:1...
hahha way ahead of ya buddy. Im gonna be watching the recordingQuote from nazzdack:
Advantage Futures (dot) com------>Resources----->Upcoming Events----->TED Spread Seminar. Attend if it's convenient or wait for the archive recording. There may actually be some good ideas revealed in the seminar.
Quote from nazzdack:
Advantage Futures (dot) com------>Resources----->Upcoming Events----->TED Spread Seminar. Attend if it's convenient or wait for the archive recording. There may actually be some good ideas revealed in the seminar.
Thanks AF is a good group, didn't know they offered any educational seminars.
What sorts of books might those be? You looking for what ted spreads are, fundamentally, or some sort of a guide to trading schatz vs bor?