Best Thread Bund Bobl and Schatz Thread

[clbfjc]

Hi all.

A question about spreading bund / bobl. When interest rates are raised would you be buying the spread or selling the spread. Here is the theory and the reason for the question. Rate hikes obviously bonds lower. Therefore

1. Does the bund move faster than the shorter duration 5 year and therefore the spread narrow. So you would want to sell buns buy bobl

Or

2. Does the shorter duration bond move more than the longer duration bund and therefore the spreads widen. So sell bobl and buy bund

Alot of people obviously trade the spread off the bund but interested in the reasons behind this. Ie Is it the case if you think the bund is moving lower do you sell and hedge with the bobl.

Final question. How would interest rate movements effect the fly and why?

 

[Martinghoul]

All else being equal, curves normally flatten when rates are hiked, which means you want to sell bobls, buy bunds. To be sure, this is for a DV01-neutral spread position.

The logic is similar for the fly. Essentially, rate hikes always affect the shorter-dated bonds more than longer-dated bonds. So schatz-bobl will flatten and it will flatten more than bobl-bund. So the bobl will outperform onthe fly.

Obviously, this is all kinda theory and actual results may vary depending on a whole variety of circumstances.

 

[clbfjc]

Thank you that is the perfect explanation. For Intraday stratgies is it worth looking at the Bund, use it as the main indicator, i.e if you feel the Bund is coming off Sell it vs Bobl or Schatz, or is it more benefical to use a spread chart and buy or sell the actual spread price's independant of the underlying. I take it the same logic applies in STIRS. i.e the front months move greater than the back months therefore spreads should widden. (In theory of course).

Ratio's 3:2 Bobl / Bund, 8:3 Schatz / Bobl and to create the fly +2 Bund- 6 Bobl +8 Schatz.

 

[aramis de vannes]

Hi

Would like to know how locals are trading schatz in this environment?

using market profile, using the ladder, chart stuff, or just doing the best we can re eurozone stuff and judging flow into the safest assets?

Appreciate your thoughts
Cheers

 

[sellit]

Today's Charmer Charts Bund and Bobl attached.

 

[AMCL]

Hi all,

I know this is a German bond thread but does anyone know what the Futures price is for the US 10 YR yielding 2%?

and the 30YR yielding 3%

I am getting conflicting messages from Ransquawk and CBOT website.

AMCL

 

[Martinghoul]

I am not sure I understand your question... You want to know what the price of the TY (aka ZN) futures would be with 10y UST at 2%?

 

[Arbu]

So John Paulson was shorting German bonds a month ago. Doesn't look like he got that right, does it, with Germany now issuing bonds at no interest? I have a lot of respect for Paulson's idea, but it's incredibly hard to trade against the market.

John Paulson Now Shorting German Bonds | ValueWalk

 

[archimg]

Change the ccy to USD ...

So John Paulson was shorting German bonds a month ago. Doesn't look like he got that right, does it, with Germany now issuing bonds at no interest? I have a lot of respect for Paulson's idea, but it's incredibly hard to trade against the market.

John Paulson Now Shorting German Bonds | ValueWalk

 

[archimg]

Ratio's 3:2 Bobl / Bund, 8:3 Schatz / Bobl and to create the fly +2 Bund- 6 Bobl +8 Schatz.

Anybody using some sensible ratios for buxl?

I know it is not as liquid but up to 1Mio notional it is ok.

 

[Nym]

A question lateral to this thread. How do you trade them? Are you aware of any broker with low commission?

 

[jomarc]

Hello everyone,

Can anyone tell me if they know a clearing house that would allow us to trade Bund.

thanks

 

[Isildurrr]

Hi all,

I heard that there was a reasonable method for calculating the Bund's expected opening price based on the t-note close the previous day - has anyone heard about this? If so does anyone know the method?

 

[SpreadDoctor]

Hi all,

I heard that there was a reasonable method for calculating the Bund's expected opening price based on the t-note close the previous day - has anyone heard about this? If so does anyone know the method?

Even if you had a way of calculating the expected opening price of FGBL you would have to be positioned at the Eurex close 9pm London to take advantage of it. Bare in mind that if you were to try and execute some sort of scalping strategy on the open it is a botfest where you are going against automated traders who can trade 50 times a second.

I can tell you that some prop traders will hold a spread of the eurex v. treasuries overnight however you chances of getting them to tell you their own personal strategy on an internet forum is zero (and why should they!).

My own opinions here are if you want to scalp eurex products / spreads you need to know the market inside out and be a specialist in it. There is no low hanging fruit there imo. The other option is to move your timeframes out and take a more quantitative approach, this is what I do. Granted the mathematics/modelling side of it is not for everyone but it takes the sting out of trying to predict short term directional moves.

Good Luck.

 

[Mpoufos]

Any bund trader still out there? (echoes echoes)

 

[charliechan]

Any bund trader still out there? (echoes echoes)

now and then.

there are still intraday opps but you need to be patient for them - not every day. Im fairly sure playing for a few ticks these days requires an algo. I try and wait until the algos get out of synch with each other and common sense/real value players come in to restore order.

but you could say that about any popular market these days.

I think the yield curve in europe is finally starting to get exciting again. looks like some flattening pressure recently which could upset some. ie Ive noticed up ticks in the shorter end of the curve - the schatz especially.

There are some great easy plays in the very short end of the usd curve too if you understand fed funds and repo plays with 10 yr futures spreads - bund or ty.