Ahhh damn. So basically if I traded the interlink spread I would haev to take a real position & view on the spread and i can't just scalp around. Makes sense. The tnotes move ridiculously fast. I remember back when I used to play Counter-Strike on U.S. servers and it was unplayable. 200ms is a very long time. Also sometimes the legs are so tight you can't afford to take a 2 tick tnote spread from Australia... Thanks for your help though. I am always intrigued and wanting to learn how to chart the U.S. spreads. I haev no idea what to do or how to start, and especially using the ratios et.c
What flys were you referring to? I assume not calendar, as there's no volume in months other than front, but which ones?
Is anybody trading the exchange listed interest spreads like NOB, FYT etc? I don't see many references to them here. What's wrong about them?
the flys i talk about are the following: fy fly -> ZTZF / ZFZN ty fly -> ZFZN / ZNZB zb fly -> ZNZB / ZBUB you can leg into each spread manually, autospread them or use the exchange supported spreads you just mentioned to leg into them that way. i execute most things manually but will sometimes use the exchange supported spreads to get in / out as well (more so for the ZNZB than anything else as you aren't really giving up any edge there) you can calculate hedge ratios using DV01, if you search it i know there are old posts where (i believe) martinghoul explains it better than i could. i know my ratios are old, but i still trade 15 zf : 10 zn : 6 zb : 4 ub. today for example the zb fly had a range of -4 to +3 and the zn fly had a range of .5ish to +4ish. so there is plenty of movement intraday on these spreads to not have to carry anything.
Thanks for clarification. Given the ratio(s) , how does one calculate tick size and cost of a spread or fly?
well the zn fly for example if you were to buy it at those ratios you would put the following trades on: +10 zn, -6zb for the zn/zb -15 zf, +10 zn for the zf/zn leaving you with: -15 zf, +20 zn, -6 zb so it's 10 tics of p&l per 1 tic of movement in the ratio. i have no idea of the margin requirements or cost of the spread because you get different margins if you trade professionally as a spread trader (which i am) so i don't know what something like interactive brokers would charge in terms of margin for something like this or if they'd even recognize that you were just trading spreads.
Thanks. I meant what cost (pnl) of one tick in dollars would be. BTW while your ratios may be old they still seem to be current as per this CME doc http://www.cmegroup.com/trading/interest-rates/files/ics-ratios-2014-03.pdf meaning there should be SPAN margin credits listed for them
each tic is 31.25$, so those ratios it's 10 tics / 1 point of fly movement on the ty fly. (312.50$) yeah the ics spreads still trade in them- but if you do the dv01 math all of my ratios are weighted heavy the long end of the spreads. but as long as they are all more or less evenly inaccurate it all balances out since i'm spreading against spreads.