bund bobl shatz ratios??

Discussion in 'Trading' started by Future, Jan 31, 2007.

  1. Future


    how do people ratio these up.... do traders normally go long/short of two contracs hedging against the reverse in the ''body'' of the fly??:confused:
  2. anomaly


    Usually people weight these contracts so that their position is neutral versus a 1 basis point move in the underlying yield of each cheapest-to-deliver underlying bond.

    Currently PV01 values are:

    Bund 860
    Bobl 459
    Schatz 181

    So if you wanted to set up a PV01 (parallel yield shift neutral) position of long Bund short Bobl, for example in 100 lots:

    100 x 860 = 86000
    8600 / 459 = 187 (approx)

    i.e. buy 100 Bunds and sell 187 Bobs