Bund T-note spread

Discussion in 'Financial Futures' started by Ye Olde Refco, Nov 28, 2010.

  1. Does anyone know how to chart the Bund vs. T-note (ZN) spread (or have links to other discussions)?


    I am currently using CQG and use the yield function instead of price.

    When back testing various trades, 1bp move in the spread show varying $ values. More than I would expect despite the changing DV01s for each contract (the hedge ratios don't massively change day in day out).

    Would love any insight.
  2. try this, but tweak it for the ZT in front, and change the hedge ratio as well.


    i will look for the ZT/Bund (i no longer use CQG)
  3. Cheers dude,

    not able to get it to work, but working with CQG to find a solution, thanks for the response!