Most traded stat arb pairs among futures

Discussion in 'Trading' started by darkspirit, Dec 23, 2012.

  1. Any idea what these might be? Anything specific in the fixed income world?
    I am looking into intraday strategies, holding times up to an hour or so.
  2. Forex aren't these natural pairs, so I often ask myself the question why look for stat arb behavior in stocks?
  3. Fixed income butterflies involving Cash and Futures spreads

    Most common one is +ZN-10y+ZB
    I don't know what the proper ratio is anymore, haven't traded it in a long time.

    stat-arb is a loosely used term these days, some people consider Comex Copper against Spooz a stat-arb spread. I prefer to call them foolish.
  4. Thanks.
    Here, +ZN-10y+ZB
    by 10y you mean the 10y cash, I suppose?