Anyone spread trading in interest rate futures.. possible to go long the 3 year and short the 5 year for the reversion...anyone know what kind of variance that trade has
look at ZN #F - ZT #F weekly chart for the past 12 years. It ranges from 2 points to 25 points. Now it is about 17 points. spread has been rising since Oct 18. Soon the spread will go down but we don't know when. Or perhaps spread will continue to rise even higher
Don’t fade it without a strong reversal already signaled - these kinds of spreads are freight trains.