Hello. Does anyone know some general guidelines in figuring out ratios for futures spreads? I am looking at currencies (e.g., the Canadian vs. the Australian dollar) and the stock indices (e.g., the YM vs. the NQ.) Thanks.
Hello Aaron, If you want to make some arb/spread trades between currencies or index futures,the simplest mean to use the reduced margin ratios provided on the CME website performance bonds: http://www.cme.com/html.wrap/wrappedpages/clearing/pbrates/PBISHomePage.htm?h=2 It's not the exact ratio, they 're not wieghted that well... but that gives you the best risk/reward numbers.