How exactly can one makeup the TED spread with futures? Im assuming most people just use 13-week T-Bill futures (symbol GTB) with 3month Eurodollar futs (symbol GE) of the same expiration? Are the ratios just one to one?
I think most people use the T-note futs vs Eurodollars... Therefore, I heard these things described as TUTED, FVTED, etc.
http://www.cmegroup.com/education/product-specific/ir.html Lots of good information on there right now, I am trying to sort through it right now http://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html That has the appropriate ratios you should you to construct your spread so that it mimicks that part of the curve. Unfortunately it does not have the TED spread and I am not completely sure how that would work (if it's 1:1 or not)...
Advantage Futures (dot) com------>Resources----->Upcoming Events----->TED Spread Seminar. Attend if it's convenient or wait for the archive recording. There may actually be some good ideas revealed in the seminar.
Hi, does anyone know of any books on ted spreads - specifically when your trading Euribor vs Schatz, thanks in advance...
What sorts of books might those be? You looking for what ted spreads are, fundamentally, or some sort of a guide to trading schatz vs bor?