D darkspirit Dec 23, 2012 #1 Any idea what these might be? Anything specific in the fixed income world? I am looking into intraday strategies, holding times up to an hour or so.
Any idea what these might be? Anything specific in the fixed income world? I am looking into intraday strategies, holding times up to an hour or so.
J johnharold22 Dec 26, 2012 #2 Forex aren't these natural pairs, so I often ask myself the question why look for stat arb behavior in stocks?
Forex aren't these natural pairs, so I often ask myself the question why look for stat arb behavior in stocks?
J jtrader99 Dec 27, 2012 #3 Fixed income butterflies involving Cash and Futures spreads Most common one is +ZN-10y+ZB I don't know what the proper ratio is anymore, haven't traded it in a long time. stat-arb is a loosely used term these days, some people consider Comex Copper against Spooz a stat-arb spread. I prefer to call them foolish.
Fixed income butterflies involving Cash and Futures spreads Most common one is +ZN-10y+ZB I don't know what the proper ratio is anymore, haven't traded it in a long time. stat-arb is a loosely used term these days, some people consider Comex Copper against Spooz a stat-arb spread. I prefer to call them foolish.
D darkspirit Dec 28, 2012 #4 Thanks. Here, +ZN-10y+ZB by 10y you mean the 10y cash, I suppose? Quote from jtrader99: Fixed income butterflies involving Cash and Futures spreads Most common one is +ZN-10y+ZB I don't know what the proper ratio is anymore, haven't traded it in a long time. stat-arb is a loosely used term these days, some people consider Comex Copper against Spooz a stat-arb spread. I prefer to call them foolish. More...
Thanks. Here, +ZN-10y+ZB by 10y you mean the 10y cash, I suppose? Quote from jtrader99: Fixed income butterflies involving Cash and Futures spreads Most common one is +ZN-10y+ZB I don't know what the proper ratio is anymore, haven't traded it in a long time. stat-arb is a loosely used term these days, some people consider Comex Copper against Spooz a stat-arb spread. I prefer to call them foolish. More...
