ICS treasury spreads

July 19th, 2017, 06:28 PM

I am new to trading the ICS treasury spreads (i.e. exchange traded spreads - implied and pre-packaged spreads) and have previously legged in on each contract in the spread. I have been experimenting on simulation using Sierra Chart and am confused. I have read the CME literature on the ICS spreads and could not find an answer to my question.

For example, I was long the NOB ICS spread with entry at -0'03 where it stayed until temporary market close at 4:00 Chicago time. When trading resumed, the bid ask had returned to 0'00 as the CME literature indicates. On sim my position stays at -0'03 and therefore, I am in profit. What would really happen in the live market? Where would my position be? Would it also be at 0'00 since the market was where I originally entered prior to close? I have no one else to ask and the only other way I could otherwise find out would be to place a live trade which I am reluctant to do until I have all the relevant information.

Thanks

Ned

July 22nd, 2017, 04:48 PM

I don't trade ICS specifically but I do trade a lot of CME spreads and since nobody else has replied yet I'll take a stab.

Looking at Interest Rate Products at https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Intercommodity+Ratio+Spreads it says

Implied Pricing
Treasury Spread prices are expressed in terms of each leg�s net change from the previous trade date settlement price.

That means in your example above the price hasn't moved from -0'03 to 0, the settlement price changed. Hence you haven't made 0'03 either. Once settlement updates the best way to calculate PnL is probably to look at the PnL of the two individual legs.

For what it's worth I think Interest Rates are the only product on Globex that sometimes price relative to settlement rather than as outright prices.

July 23rd, 2017, 12:10 PM

Thank you for your help. What spreads do you trade?

July 23rd, 2017, 03:00 PM

Mostly NG & CL & a little GE

ICS treasury spreads

Discussion in Treasury Notes and Bonds

ICS treasury spreads