Spread Ratios

[aaronwernick]

Hello.

Does anyone know some general guidelines in figuring out ratios for futures spreads?

I am looking at currencies (e.g., the Canadian vs. the Australian dollar) and the stock indices (e.g., the YM vs. the NQ.)

Thanks.

 

[TraDaToR]

Hello Aaron,

If you want to make some arb/spread trades between currencies or index futures,the simplest mean to use the reduced margin ratios provided on the CME website performance bonds:

http://www.cme.com/html.wrap/wrappedpages/clearing/pbrates/PBISHomePage.htm?h=2

It's not the exact ratio, they 're not wieghted that well... but that gives you the best risk/reward numbers.