how to trade the bund bobl spread?

Discussion in 'Index Futures' started by ADX_trader, May 27, 2009.

  1. What is the usuall ratio of bund bobl spread?
  2. There's no 'usual' ratio... It will change from contract to contract, because the CTDs for the futures (which determine the contracts' duration) can change. For example, current (Jun) ratio is arnd 1.8 bobls for every bund, while it's 1.7 for the next contract (Sep).
  3. How do you calculate this ratio? Just divide the price?
  4. No, dividing the prices is about as wrong as you could get...

    Maybe the exchange provides this information, but you basically need to know the CTD and then do the calculations.
  5. Where to find this information? Thanks!
  6. (1) set up an autospreader.

    (2) include both side active working orders.

    (3) have at market pay up ticks so you do not miss the price but are fucked on both legs getting in and have the spread price against you from the off.

    (4) wait 1 second for algo profiling company to detect your position which will generally be a fade posittion.

    (5) watch as position is squeezed 15 to 20 ticks against you.

    (6) punch screen and throw mouse.

    (7) blame everything and everyone but yourself for the shit position.

    (8) average in again and be pleased you thought of this aggressive decision.

    (9) watch as spread hopelessly moves more against you.

    (10) exit trade paying up both of sides of spread stopping yourself out.

    (11) a sigh of relief as it trades a little bit worse than you got out.

    (12) watch spread reverse and trade into profit now your square.

    (13) punch screen and curse the damn market.

    (14) moan to fellow traders that you wish the bobl full tick was back.

    (15) go home and think i really need to find another job earning some money as im earning no money doing this trading lark.

    (16) wake up and after a strange dream go back to office and pay up to get back into bund/bobl spread.

    (17) as the actual thought of having to work for a living is too much to bear.

    (18) repeat infinite
  7. Hahahaha, :) thanks for the laugh I needed it!

  8. cashcow


    I would not recommend trading the BUND BOBL spread - it isnt a particularly great spread to trade. Really though, if you want to trade spreads you should investigate how to calculate them for yourself - and when the may change for the particular spread. Otherwise, you will be shouting "dogf**ker" when the ratios change due to a change in the CTD or drift. It is not a case of knowing the ratios - it is how to calculate them and knowing when and why they change that matters.
  9. 0008


    Which spreads are easier to trader?
    #10     Jul 20, 2009