anyone trading 2-5-10 yr or 5-10-30 yr US treasury butterflys

Discussion in 'Financial Futures' started by screen monkey, Oct 27, 2010.

  1. i have been trading german interset rate butterflies and spreads for last 5 years and am interested to know of anyone who has traded both US treasury spreads as well as the german (euro) equivalent. This year since May has been tough in the german bonds but very profitable previously. Is there money to be made in the US treasuries spreading and doing butterflies
  2. The question is very open-ended... If you know what you're doing, there's probably money to be made in anything.
  3. point taken, let me rephrase my qusetion, are there similarities in trading buterflies on US treasury curve and european curve. I have found it much harder to make money in last 6 months on european curve spreads than before as spreads and butterflies are much more volatile. Just wondeing has anyone exoerienced teh same trend in US curve spreads
  4. The dynamics that govern the curve behavior are very very different. I do stuff in US periodically, but only when there's a lot of juice.
  5. sle


    do you think trading flys in high frequency mode is a viable strategy? e.g. if you see the fly dislocate after the number, you recieve/pay via futures
  6. It can be done, I suppose, but I can't imagine doing it in h-freq mode, tbh. Liquidity isn't gonna be good enough for that, I would imagine, but, then again, I haven't really tried it that way.
  7. sjfan


    Will need a good spreader and access to the interdealer market. Tradeweb can do flies but you'll probably end up paying a fair amt of bid/offer if you want speed.

  8. emg


    the problem when trading bonds butterfly spreads is, no bond pits. Therefore, when trading butterfly electronic, better cross your finger and get filled.

    U need a pit broker to execute the trades. Unfortunately, open pits is coming to an end
  9. sjfan


    What are you talking about? There are both order book type of markets for bonds that you hit or lift (GovX for example); or you can send out a RFQ to a set of dealers for competition on either Tradeweb or Bloomberg; There may be a slight blackout period in the few minutes after a major report - but you'll execute.

    No idea why a 'pit' comes into this conversation at all.

  10. True dat and butterflies in cash bonds are perfectly doable, albeit not on a h-f basis (since I am more EUR focused it's more MTS than TradeWeb for me, although both are poor these days). For some reason, I thought the OP was referring to bond futures, rather than bonds.
    #10     Nov 17, 2010