What i earlier said about cash 2-10s & Fly. 2-10s steepening today & fly is trending down since open.
I used to look at both but what i have observed is that either 2 or 10 reacts more on some days with 5s getting on either 2s side or 10s side so today currently i see 2s +1.8bp 5s +1.6bp 10s +3bp This is just a crude way but i have not found anyway to analyse this thing on intraday basis.
Yep, I agree... For the benchmarks, I see 5y outperforming the wings. Majority of this is the move in swapspreads (bobl wider, while both schatz and bund tighter).
I see the following (based on spot measure): 1000 Schatz contracts = 399 Bobl contracts = 222 Bund contracts For the fly, then it should be 2 * belly - wing1 - wing2. You should use the same weights to chart.
4-3-1 is the ratio these days, ie 4 schatz -3 bobl + bund (for going long) For charting the ratio is the same, price should be around 206.50s now. 1 fly tick is 10 euros with one set(4 3 1) on. I use bollinger bands with all my spreads, especially Fly as it does have a mean reverting tendency. Start off with half your clips and allow one average in. except on days before trichet talks leading upto his ECB speech. Those days follow the trend blindly.