2y5y10y Fly and the 5y10y30y fly ratios

Discussion in 'Financial Futures' started by greg25, Apr 8, 2012.

  1. greg25



    I was wandering is someone trade this spreads 2y5y10y Fly and the 5y10y30y fly and also if he can help me a little bit with the ratios.

    I do not know if is better to make it in base of the volatility or in base of CME Implied Treasury Spread ratios.

    Sorry for asking this stupid questions but i am trading the Meat and Ag markets


  2. Traditionally, it's done w/ weights that make the position DV01 neutral.

    Currently, for TU/FV/TY (aka ZT/ZF/ZN) fly: 61/100/32
    For FV/TY/US (aka ZF/ZT/ZB) fly: 78/100/27
    For FV/TY/WN (aka ZF/ZT/UB) fly: 78/100/16

    All in lots, based on current prices and spot DV01s.
  3. greg25


    Thanks a lot, quite a lot lots for me.. but i will see what i can do..

    Were i can got more info about how to adjust the DEV01 in my strategy.. I read quiet all the data from CME and somo other papers.. but i think.. i need a litle bit more..
    If you know a good book, or note or any other site to lear more please tell me about it..

  4. Well, if you search in some of my prior posts in this particular forum, you'll find the few books/papers that I have always recommended. Also, I think there's a PDF attachment from Eurex in one of them that may prove useful.

    As to the number of lots, 100 lots of the belly was just a nice round number for purposes of illustration. You can and should scale it according to your own risk appetite.
  5. greg25


    Thanks, i found the books but not the Eurex pdf attachment, if is not a problem, please can you put the link again.

  6. greg25


  7. greg25


    Were you get the Dv01? Are you using Bloomberg or st similar ?