Quote from bone:
You know, I met Paul at a Eurex Chrismas party back in 2003 or so and I really liked the guy. He got bad-mouthed relentlessly by locals in the Schatz market but since for me I used the Schatz extensively as a spread leg component I really appreciated the liquidity aspect. Traders were constantly bitching about him at the time but for me the biggest crime against humanity was Liffe limiting the Euribor to 200 FIFO before Pro-Rata order matching kicked in.
trading conf / bund.
that spead cost most locals everything about 2 years ago.
it is not a spread it is 2 outrights.
my opinions on spreads is that in this current algo dominated
market nothing is correlated.
most correlated spreads are having larger ranges than the
outrights.
anyone trying to fade spreads is a sitting duck for algos.
they just wait for the fade and squeeze regardless of historical
ranges.