You are just playing yield-curve spreads right? They both trade in .32's so the ratio is 1:1 Unless of course you're trying to a do some sort of duration spread. Which I don't think you are. But you would need to calculate the "cheapest-to-deliver" for both series and then use that cash bond. You wouldn't want to do this using the Futures, simpler to just go straight to cash market.
Dr. Zhivodka, I know you know better so I'll give you the benefit that you're still half asleep... Doing ZB-ZN 1/1 is not a yield curve play but merely a method of decreasing the gamma of a naked bond position. To trade ZB-ZN (the NOB) as a yield curve play the ratio of ZB-ZN must be weighted. Around 1.8 ZN per 1 ZB is the proper ratio for a yield curve spread. Obviously a 32nd move in ZN is a larger yield increment than a 32nd move in the Bond. One could be long 1 ZN short 1 ZB and while the curve steepens and with this ratio still lose money. http://gsbwww.uchicago.edu/fac/galen.burghardt/teaching/339Spring99/Lecture6/sec3trading bond.pdf
Yes, what you say is correct. And yes, I am half asleep. I frankly didn't want to get into depth of answer that this question required. I should have kept my mouth shut and had my coffee and continued to watch this Michigan - MSU game.
Has anyone ever found it amusing that they do halves and quarters of thirty-seconds? I mean, what't the problem here, can't count past 32?
spikes after big numbers like todays unemployment # ? if you are lucky or good enough to place a limit order way above the market you might get filled the whole daily range today is nuts also ... does anyone have experience with stop orders in bonds or notes as far as does one get ripped or get a decent fill on small size when prices spike ?
with extremely small size (for me atleast) I got filled one contract of the 5 year on a limit at 111'17 just before the number. Unemployment report always seems to be crazy for treasuries. I think I got lucky that they spiked it up just before the number.
the only way to trade the 8:30 am economic reports is to be in the trade BEFORE the number is released.. impossible to predict what you get filled at if you trade just after the number comes out.
-as the treasuries open earlier than the equities: Question for the bond traders/scalpers: Are the treasuries in the early morning any active before the equity index futures open? Or do you have to wait untill the equity index futures open to meet the same kind of action as I associate with the market open for equity futures? Cheers, t4s