ZN ZB and NOB spread

Quote from Whisknladle:

s0mmi,

unless you are trading these ust spreads here in chicago on the microwave network with predetermined legging intelligence, i would advise you to use the exchange supported ust spreads already available.

remember s0mmi..
200 milliseconds is the time it takes the human brain to recognize emotion in facial discomfort caused by unwarranted anal penetration from tech-heavy hft groups. :) ==200ms==> :eek:
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Ahhh damn.
So basically if I traded the interlink spread I would haev to take a real position & view on the spread and i can't just scalp around.

Makes sense. The tnotes move ridiculously fast.

I remember back when I used to play Counter-Strike on U.S. servers and it was unplayable. 200ms is a very long time.

Also sometimes the legs are so tight you can't afford to take a 2 tick tnote spread from Australia...

Thanks for your help though. I am always intrigued and wanting to learn how to chart the U.S. spreads. I haev no idea what to do or how to start, and especially using the ratios et.c
 
Quote from s0mmi:

Ahhh damn.
So basically if I traded the interlink spread I would haev to take a real position & view on the spread and i can't just scalp around.

Makes sense. The tnotes move ridiculously fast.

I remember back when I used to play Counter-Strike on U.S. servers and it was unplayable. 200ms is a very long time.

Also sometimes the legs are so tight you can't afford to take a 2 tick tnote spread from Australia...

Thanks for your help though. I am always intrigued and wanting to learn how to chart the U.S. spreads. I haev no idea what to do or how to start, and especially using the ratios et.c
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ahh just move out your timeframes and trade of a profile.
 
dumb_mother said:
the fy and ty flys were hammered after the last taper comments during the selloff. this time around i actually expect the fy fly and zb fly to get hammered while the ty fly strengthens up if we sell off further. we'll see what happens but that will be my bias. also you don't have to carry butterflies as the other guy said to make money. i never carry positions overnight and i purely trade butterflies and there is plenty of movement / liquidity to do that.
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What flys were you referring to? I assume not calendar, as there's no volume in months other than front, but which ones?
 
Is anybody trading the exchange listed interest spreads like NOB, FYT etc? I don't see many references to them here. What's wrong about them?
 
the flys i talk about are the following:

fy fly -> ZTZF / ZFZN
ty fly -> ZFZN / ZNZB
zb fly -> ZNZB / ZBUB

you can leg into each spread manually, autospread them or use the exchange supported spreads you just mentioned to leg into them that way. i execute most things manually but will sometimes use the exchange supported spreads to get in / out as well (more so for the ZNZB than anything else as you aren't really giving up any edge there)


you can calculate hedge ratios using DV01, if you search it i know there are old posts where (i believe) martinghoul explains it better than i could.
i know my ratios are old, but i still trade 15 zf : 10 zn : 6 zb : 4 ub. today for example the zb fly had a range of -4 to +3 and the zn fly had a range of .5ish to +4ish. so there is plenty of movement intraday on these spreads to not have to carry anything.
 
well the zn fly for example if you were to buy it at those ratios you would put the following trades on:
+10 zn, -6zb for the zn/zb
-15 zf, +10 zn for the zf/zn

leaving you with:

-15 zf, +20 zn, -6 zb

so it's 10 tics of p&l per 1 tic of movement in the ratio. i have no idea of the margin requirements or cost of the spread because you get different margins if you trade professionally as a spread trader (which i am) so i don't know what something like interactive brokers would charge in terms of margin for something like this or if they'd even recognize that you were just trading spreads.
 
each tic is 31.25$, so those ratios it's 10 tics / 1 point of fly movement on the ty fly. (312.50$)

yeah the ics spreads still trade in them- but if you do the dv01 math all of my ratios are weighted heavy the long end of the spreads. but as long as they are all more or less evenly inaccurate it all balances out since i'm spreading against spreads.
 
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