ZN ZB and NOB spread

a good spread ratio for 5 10s is

17: 10


a good spread ratio for 10 30s is

9:5


so a butterfly of 5 10 30s is

17:19:5

or +17fva -19tya +5usa

i would trade it:

34: 29: 5... since long end is more volatile
 
also...

you might want to take a look at the ultrabond for another outright option in place of the zb. its a monster when the long end breaks, and the tick size gives it good play for scalping (like the 30 year cash w/o the headache of margin).
 
Quote from ballsofgold:
what are the contract ratios that you guys commonly use to take into consideration both tick value and dvo1 on the spreads

5 vs 10 vs30

10 vs 30


Your comments are greatly appreciated.
More...
For DV01 weights:

100 TY (ZN) = 153 FV (ZF) = 55 US (ZB) = 36 WN (UB)

Approx, all based on Dec contracts at current.
 
This is what I use for current DV01s:

DEC 2013 contracts

ZF - $44
ZN - $64
ZB - $135
UB - $179

Attached is a screen shot of a charting tool that has an integrated hedge ratio calculator for futures yield curve spread pairs.
 

Attachments

if you are trading 5 10's in a ratio of 15:10 your formula would be:
1.5*FVA-TYA (ratio of 16:10... would be 1.6*FVA-TYA)

if you are trading 10 30's in a ratio of 10:6 your formula would be:
TYA-.6*USA (just change formula to match ratio you want)

&..

if you like to spread ust futures on an interday basis.. you might want to change your formulas to price your spreads in terms of net change. (make sure you cross-reference cqg settlement prices with yours)

(5 10's):
PriceToDollar(((Last(FVAA)-(FVAA,D))-(Last(TYAA)-(TYAA,D))/1.5))/31.25

(10 30's):
PriceToDollar(((Last(TYAA)-(TYAA,D))-0.6*(Last(USAA)-(USAA,D))))/31.25
 
Quote from Whisknladle:

if you are trading 5 10's in a ratio of 15:10 your formula would be:
1.5*FVA-TYA (ratio of 16:10... would be 1.6*FVA-TYA)

if you are trading 10 30's in a ratio of 10:6 your formula would be:
TYA-.6*USA (just change formula to match ratio you want)

&..

if you like to spread ust futures on an interday basis.. you might want to change your formulas to price your spreads in terms of net change. (make sure you cross-reference cqg settlement prices with yours)

(5 10's):
PriceToDollar(((Last(FVAA)-(FVAA,D))-(Last(TYAA)-(TYAA,D))/1.5))/31.25

(10 30's):
PriceToDollar(((Last(TYAA)-(TYAA,D))-0.6*(Last(USAA)-(USAA,D))))/31.25
More...

Thanks for this.

By the way, Im from Australia, would the 200ms delay back and forth between the two outright products be too heavy and dangerous for me to constantly spread those U.S. stuff?

I can never trade tnote off speed obviously I have to sit there hoping it does volume and trade-thru because of my delay

Cheers
 
Quote from scusitrader:
as the dv01's change how often do you recalc your ratios?
More...
You don't really need to do it too often. Unless big moves happen or something like that...
 
Quote from s0mmi:

Thanks for this.

By the way, Im from Australia, would the 200ms delay back and forth between the two outright products be too heavy and dangerous for me to constantly spread those U.S. stuff?

I can never trade tnote off speed obviously I have to sit there hoping it does volume and trade-thru because of my delay

Cheers
More...

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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