Forum: Treasury Notes and Bonds
July 2nd, 2017, 02:42 PM
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Replies: 10
Views: 6,235
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Forum: Treasury Notes and Bonds
July 2nd, 2017, 12:40 PM
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Replies: 10
Views: 6,235
I usually order them by duration: zn,zb,ub. To...
I usually order them by duration: zn,zb,ub. To construct a butterfly, it would be (zn-zb)-(zb-ub). Apply the ratios to each leg and you're good to go.
So 2zn-zb-(2zb-ub) (assuming these ratios...
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Forum: Treasury Notes and Bonds
July 2nd, 2017, 11:27 AM
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Replies: 10
Views: 6,235
Yes, you need to carry through the ratios.
...
Yes, you need to carry through the ratios.
So, if you have one standard spread as 3x-y, and another is 2y-z, and you want to construct a butterfly x-2y+z, then you basically combine the two legs:...
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Forum: Treasury Notes and Bonds
July 2nd, 2017, 09:07 AM
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Replies: 10
Views: 6,235
It changes as the duration of the underlying...
It changes as the duration of the underlying bonds change. (As yield rises, duration shortens). The CME periodically updates the "standard ratios" on its site. You aren't required to use these...
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