Yield Curve Trader

[johnnyh 10]

Hey all, Im new to the site, seems great. I have been trading for about 3 1/2 yrs, trading mainly the yeild curve. I trade the FIT, NOB, FOB spreads, as well as some eurodllars against 10yrs and 5yrs. I keep a close eye on ES, 6e, and 6j as well. I like reading through others posts, as I am a student of the mrakets. Are there any other curbe traders on this site? Seems like curve traders have been dropping like flies lately. Good luck to all!

[86834 10]

I used to do a lot of spreading on Eurex with the schatz, bobl and bund, with some gilts throwen in at times. Not so much now days though with these products, as these spreads aren't what they use to be. I prefer just trading the bund as an outright now days.

 

Bund/BTP spread on the other hands is sexy to say the least.... so check that out if you haven't already

[TheDude 10]

What sort of things are you looking for to base a trade on?

[johnnyh 10]

I am not sure whom you are asking specifically, but I am willing to elaborate on my previous post. I base treasury spreads, off off things like price action, my opinion on the shape of the curve at a particular time, overall bond market direction, and outright contract movement. An example: I feel like the NOB 10vs30s is a buy because 10yr is at hitting support, which i think will hold, so right off the bat, I like the 10yr. If I also like buying the NOB, based on NOB charts etc, Ill hedge my long 10yrs with short bonds. This is done in a particular hedge ratio of cours, not a 1x1 spread. Also, simply an example, not an actual opinion. Other things that may trigger a trade, is a quick move in a spread. Example: FIT is trading -.25, and with a quick market order in an otherwise dull market, it sweeps to -1.50, that would be something I would look at. These are two basic examples, in an other wise very complicated trade. Becasue honestly, more often than not I am not even thinking about what I am basing trades off of, I am just trading. And when you get a good flow going, it just comes naturally, you know, when you have a good feel for the market. Hope this helps, again, very vague basic examples. Good Luck!

[TheDude 10]

Thanks Jonny. Kind of get a feel for what you look for.

 

I understand there is a ratio to convert 10yrs to an equivalent in a 30 yr, based on the idea that x 10yr should give the same yield as y 30 yr which is what is used to spread the 10 over the 30 given they both have the same time remaining before expiry - correct me if I'm wrong.

 

Therefore I always assumed that you guys were buying and selling as one of the markets went too far out of that ratio with an autospreader. This seemed too easy though, so thought there was something else to it.