Ok so firstly, which of the 3 notes (5/10/30) is the most volatile? Which one leads? How would one go about spread trading these? (for spreads) Signals for entries/exits, reasons why one might think the spread will widen or narrow. I am more interested in intraday spread strategies, but any answer is welcome.
30 Depends. FIT, NOB, and BOB they didn't seem to be overly signal based. Lots of people do stat arb vs cash bonds. So it's more model based.
Those are U.S. Treasuries. Look up NOB. CME just published new ratios yesterday I think. NOB = notes over bonds = 10 vs 30
You may also want to keep an eye on the 5-10-30 fly which is also a big trade. This can sometimes be used to take off or put on steepners and flateners in the spreads at advantageous prices. It all depends on the ratios used. If you want to build a structure to equalise the vol or do a true DV01 trade you will often be using different ratios to those the CME offer margin credits for - so it becomes more capital intensive unless you've got access to prop or PB financing. Maringhoul (or some speeling similar) seems to know a lot about this topic. Go read his threads.
The Tasty Trade shows on futures have good beginner information on yield curve change futures spread trading. If you can predict fed behavior, the yield curve change futres spreads are pretty good for us little guys because the market is large hedgers who can't really make directional bets. Plus no HFT bot front running our trades, Here is a link to the CME DV01 (dollar value of a one basis point move for each futures contract) values that are updated every 15 minutes by CME: http://www.cmegroup.com/trading/interest-rates/invoice-spread-calculator.html