Yep saw that. One difference that I can think of though is this is a financialized product. As far as I can tell it doesn't result in positions in the underlying and that might determine how successful or not these ratio contracts actually are. I see they tried the same thing in the past with soy/corn ratio options and those are no longer around but maybe that had something to do with it being options rather than futures.
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Happens all the time. In a big way I might add. Look at the GSCI - one great example.
I have quite a few clients who are successfully (profitable) trading futures spreads on a retail account basis. So, yes, it is possible of course. Having said that, we have a highly refined trading system that is and has been an ongoing evolution since the early 1990's. And it has changed over time - namely; a movement towards a streamlined trade entry confirmation protocol, lower volatility products and longer holding time frames would be the most prominent features.
So, possible - yes. Requires a refined and well-tuned trading system - yes.
So, possible - yes. Requires a refined and well-tuned trading system - yes.
The "tic" size of the ICS Treasury Spread is published by the CBOT as the front leg (smallest tic increment) product. The quotation feature (net change from previous days settlement) is an artifact from the days of floor trading. That's a convenient way for CBOT to arrange DOM pricing, but it's a misnomer in that the only way that's a CONSTANT tic size over time would be if you were spreading, let's say, 30 yr Bonds vs. UltraBonds where both products have an identical point value and tic value 1/32nd. Conversely, the NoB will appear priced at one half of 1/32nd - but as you've pointed out, that Spread will shake and fidget around intraday like a whore in church - no way that Bond 32'nd gets split up.
The CBOT ICS Spread was designed as a dandy fill mechanism, not as a unique standalone contract per se. They want it to be indivisible by design (you can offset it by other means).
As you know, every quarter the CBOT publishes a fresh Spread Ratio .pdf spec sheet because the OTR CTD cash changes (especially for the shorter expires). If you take that sheet, built a synthetic Spread expression, and then overlay the CBOT Spread exchange expression on the same chart you will find that they do indeed overlap. So, the good news is, let's say you were bearish the FYT over let's say a week period it would work out exactly as charted.
How do I handle this idiosyncrasy ? When my clients are paper trading, I tell them to mark each leg according to the daily settlement, calculate the P&L differential from their original fill prices, and mark that Spread on their tracking sheets accordingly. Same holds true for other intermarket spreads with different tic valuations.
This also explains why a fair number of my clients just stick with intramarket spreads.
The CBOT ICS Spread was designed as a dandy fill mechanism, not as a unique standalone contract per se. They want it to be indivisible by design (you can offset it by other means).
As you know, every quarter the CBOT publishes a fresh Spread Ratio .pdf spec sheet because the OTR CTD cash changes (especially for the shorter expires). If you take that sheet, built a synthetic Spread expression, and then overlay the CBOT Spread exchange expression on the same chart you will find that they do indeed overlap. So, the good news is, let's say you were bearish the FYT over let's say a week period it would work out exactly as charted.
How do I handle this idiosyncrasy ? When my clients are paper trading, I tell them to mark each leg according to the daily settlement, calculate the P&L differential from their original fill prices, and mark that Spread on their tracking sheets accordingly. Same holds true for other intermarket spreads with different tic valuations.
This also explains why a fair number of my clients just stick with intramarket spreads.
Is this all based on subjective views of all other traders?This is all tart and no treacle.
If they have to use subjective judgement , then they might as well toss a coin and use it as basis of entry
In terms of my own clients, your post is rendered moot by previous post on this page, which you conveniently chose to ignore. For my own clients I have endeavored to engineer as much subjectivity as practical out of the trading system. We have established rules and protocols which are scripted and used in concert with our technical indicator package. And I quote:
"We make technical analysis work, consistently, and over a protracted period of time. Having said that, T/A is definitely NOT used in a vacuum. We have trade entry rules and other trade entry confirming protocols that are used in conjunction with our custom indicator package."
Please don't do on this thread what you've done on other threads.