How does the bund relate to euribor futures. What are the contract differences and is it possible or even conceivable to spread them?
Bund is the 10yr bond future (quite volatile and a large range of prices traded daily) and the euribor is the first couple of months (most volume) (much less volatile and range much tighter than the bund) so spreading them would mean spreading opposite ends of the yield curve. More often people spread euribor with products closer in maturity, so other bors, the schatz or the bobl. Hope this helps. FGBS