BUND Correlations | Traders Hideout

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BUND Correlations

  #5 (permalink)

Posts: 15 since Sep 2017
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xplorer View Post
Generally speaking I think the correlations that you see in the most popular US bond products are similar to the most popular Eurex bond products.

Bund, Bobl and Schatz (all found on Eurex exchange) tend all to be directly correlated, so usually when one goes in one direction, the others do too (volatility of each may be different).

European stock indices such as EuroStoxx 50 and DAX tend to have an inverse correlation to the bonds, so when indices go up bonds go down and viceversa.

This is a general rule, in the similar way that when the ES goes up the US Treasuries tend to go down, but again it's not an exact science.

Hope it helps.

agree with you.

correlation is generally around 60%

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