bond futures arbitrage

Discussion in 'Financial Futures' started by man, Jul 25, 2003.

  1. man


    does anybody have experience with spread trading between 30y, 10y, 5y and 2y on a purely quantitative basis? worth looking at it?

  2. vega


    Something to consider tho is that you need to have a TON of capital at your disposal to be able to put on enough size to make it worth your while. Since your talking about arbitrage, the gains to be had are going to be relatively small, so in order to make $$$$ you need to do some size (and be right of course). Every major financial institution is doing this, and many of the locals on the floor of the CBOT try to trade the yield curve also. There can be money made, but lots of folks are already doing it, so make sure your models are right before trying to prove Solly, Goldman Sachs, Morgan Stanley and the other big boys wrong :p

    Best of luck

  3. man


    see your point. BTW i use the term arbitrage in the usual way it is used in the alternative investment scene. thus it is not real arbitrage but indicates relative value rather than directional trading.

    do not forget that it is said that the sp500 future is said to be very efficient too ...

  4. bonds and interest arb is the big guys part. the banks
    who own the underlyings are big in the business. they
    hire oxford math students for this.

    thus as a small guy --> forget it
  5. Pabst


    Traded it for years. It's pure speculation....and not a great one either.:(