Interest rate and commodities spread trading

April 16th, 2012, 12:25 PM

hello,

I am a four year options trading veteran. I am very keen on learning about interest rate spreading. I know the basics, but i wanted to take my experience to the next level. I would be willing to back test, code, or night clerk for anyone who has experience in this regard. Willing to travel also, but only temporarily as my band doesn't want to find a new drummer.

April 16th, 2012, 06:22 PM

I am no wizz at interest spreads by any means but there are some good opportunities to profit in this area, all the big boys have "Delta desks" playing the spreads for Arbitrage and you can too;

For laughs you can read about how really badly this can go
When Genius Failed: The Rise and Fall of Long-Term Capital Management: Amazon.ca: Roger Lowenstein: Books

But if you are really serious on the subject and very good with math, I would recommend this book:
Statistical Arbitrage: Algorithmic Trading Insights and Techniques: Amazon.ca: Andrew Pole: Books

(if you are not good with math the above book is a bit like taking 10 Nitol, 2 Lorazepam and 3 Imovane )

Interest rate and commodities spread trading

Discussion in Treasury Notes and Bonds

Interest rate and commodities spread trading