Its nearly a year now since the move to half ticks. Without to much analysis it feels like contract volume has dropped overall. My volume and returns for strategies involving the shaz have dropped, not by half but around 30%. Sure the flipping has gone but has all the protesting and resulting change of contract specification left shaz traders more profitable, my guess is no? Perhaps the 12 month period in the change of contract has coincided with a year of much lower volatility than previous which is affecting PnL/activity? Any half tick fans out there?
I don't think EUREX really cares about scalpers profitibality. I think the half tick meant a lot of savings to the paper though.
i bet it did! I hear that bid/offer spreads in OTC cash and swaps have tightened considerably as a result. Seems a little frustrating that a move driven by scalpers has led to a benefit to paper and been detrimental to themselves.
Euro Schatz Future (FGBS) 2-year German debt http://www.eurexchange.com/quotes/delayed/futures/FIX/FGBS_200506.html
scalpers did not call for the move, i personally was in a meeting with the relevant heads at Eurex about Flipper and we told them that locals were very opposed to the half tick. They did that to please the banks.
I too detest the half tick on the schatz. The thing is that I don't think anybody in Frankfurt cares. I worry when I am trading the Schatz that all the volume is in the "upstairs" block trading market and very little of it is made available to me. Often the chart will show that I have been preferred around. But that is just tough luck for us "locusts"
Spooky that the german word Schatz means 'darling' in English. Couldn't possibly be further from the truth. In 2003 i traded close to 2 million round turns on Eurex, now they get no more than 500 lots a day off me. I do must of my business on CBOT and CME now. I am reluctant to put my money in the hands of an exchange that treats myself and my peers with such distain.
may i ask if your strategy has changed much with the switch to the US mkts? with the strip/2/5/10 year points of the curve matched in US do you find your approach/PnL target is similar?