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Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 912
If you look at the average daily range of ZF, ZN, and ZB, you'll notice that ZB is roughly twice as big as ZN which is about 50% larger than ZF. The reason is that actual Treasury securities of varying maturities are deliverable against these contracts, and the amount of price change of a shorter term instrument to achieve a given yield change is smaller than that of a longer term instrument. Historically the ratio for the NOB (10 Year Notes over Bonds) spread has ranged from about 2:1 to 5:3, the latter being more common. The Fite (Five Years over Ten Years) has ranged from about 5:3 to 3:2.
If you are long the NOB 1:1, you are short the market. Although recently ZB has really done it's own thing relative to the rest of the curve.
"You don't need a weatherman to know which way the wind blows..."
Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 912
Hm. Given that you've been doing this a long time, of course you know you're in a directional trade. I'm curious why you incur the extra expense of trading these as a spread?
"You don't need a weatherman to know which way the wind blows..."
didnt mean to be so long about getting back to you....I was trying to put on trade....will show you how I do it...
1/1....I am only playing the spread of 5yr, 10yr, 30yr...
this morning was directional long ZN this morning....and holding fell like more upside to this move....I just added short ZB untill put back is over.....most would say this type of trade is tuffer that playing the yeild....Im have a hard time posting trade and watching trade.......Thanks