Bund Bobl Schatz Fly

Discussion in 'Index Futures' started by novish, Sep 12, 2009.

  1. NAVEEVIa

    NAVEEVIa

    What i earlier said about cash 2-10s & Fly.
    2-10s steepening today & fly is trending down since open.
     
    #11     Oct 6, 2009
  2. Shouldn't you be looking at 2s5s and 5s10s?
     
    #12     Oct 6, 2009
  3. NAVEEVIa

    NAVEEVIa

    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.
     
    #13     Oct 6, 2009
  4. 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).
     
    #14     Oct 6, 2009
  5. Hi guys, what ratios do you use for the Flys? And what formula do you use to chart it?
     
    #15     Nov 16, 2009
  6. 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.
     
    #16     Nov 16, 2009
  7. sid8888

    sid8888

    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.
     
    #17     Jun 18, 2011