Market Analysis- Schatz , Bund, TED spread, Euribor Spreads

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A look at my view on European bond market futures and Bonds Spreads.

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[r4jen]

Hi KC, yeah you should always look to equalize the tick value, so with 10yr being 15.62$ a tick and eurodollar 25$ a full tick its a bit more tricky to get the exact ratio given the value of the contract. But to my knowledge ED against 10 year is 8 to 1 ratio then you multiply this by the equalizing factor to come to the ratio comes to 5ED against 1 *10 year.

[r4jen]

Hey Sid, the Ted tends to be mean reverting in the majority of cases, and is actually a very good trade. It tends to be unstable at times when there is credit risk so during the lehman collapse and currently with uncertainty of European debt. The standard Ted is done with the 3 Euribor month out so in this case it would be mar12, but some use jun12, as well. Theres many variations as well as you can combine both mar12 and jun12, or even trade dec11 with dec12 to capture more of the curve.

[malenchenko]

Hi r4jen, i'm looking at the 10yr against eurodollar but i'm not sure what kind of ratio to use. thank you! should i equalize the tick value? thank you!

KC

[TheFinancialSiddhu]

Hi, r4jen

Great videos. I trade mainly the Bud Bobl Schatz Butterfly, and now am getting acquainted with the STIRs mainly Euribor, as i want to start the Schatz TED spread. I have a few question: IS the TED spread mainly mean reverting? as in most of the time? and which is the best Euribor contract to use with the Schatz please.

Thanks,

Sid