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anyone scalping the NOB futures spread
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anyone scalping the NOB futures spread

  #11 (permalink)
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Fat Tails View Post
The spread seems to follow the price moves of ZB or ZN, as ZB is more volatilite than ZN. It should be simpler to trade ZB. Or is there anything that I did not get?

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The relationship should be inverse to the ZN/ZB move. Cause NOB: ZN-0.5ZB.
Well, you churn more commissions when you trade spreads. The exchanges like it I guess.
If you trade outrights really well, sure, trading ZB directly would be better.

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  #12 (permalink)
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Fat Tails View Post
The spread seems to follow the price moves of ZB or ZN, as ZB is more volatilite than ZN. It should be simpler to trade ZB. Or is there anything that I did not get?

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Fat Tails, how did you get the last chart - spread?

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  #13 (permalink)
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jonc View Post
Fat Tails, how did you get the last chart - spread?

It is a modified version of another spread indicator that I have found elsewhere. It is not a really stable indicator, as I had not the time to check it in detail. I do not mind sharing, but won't post it publicly because of the quality of the code.

If you wish to test it, send me a private message. But use at your own risk.

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  #14 (permalink)
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Fat Tails,

The last chart doesn't look like a spread chart to me.

Hi all,

I've tried spreading ZN/ZB (2:1), find it easier to trade before US open.
After US open, it's more difficult because sometime the spread just run away, didn't return at close.
Especially when there is news or fundamental change.

I know many traders in my office trading Aussie Bonds spread (XT and YT).
It seem more consistent in profit than ZN/ZB, but it take very long to get filled.
I've not try that personally, plan to try that soon.
Anyone tried spreading XT/YT?

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  #15 (permalink)
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deltok View Post
Fat Tails,

The last chart doesn't look like a spread chart to me.

@deltok: How should a spread chart look like?

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  #16 (permalink)
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it's just the inverse thing as someone already said above, not much more different. I'd interested to know what deltok has meant? Maybe the daily reset to a spread of zero? According to the spread price calculation of the exchange:

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(Forget the TUF in the image, the formula is from NOB)

For me that way of charting the spread is not that good, rather a continuous charting as in the chart of Fat Tails. For me I'm charting the continuous and within another indicator the common formula for ICS (just by replacting the leg quantity for front and back leg and adjust the price ratio) with the possibility to show the spread movement over N-Days. The original formula just takes the movement of 1 day into account.

At the moment I do a lot of research regarding spread-trading, so I was thinking about the question why NOB instead of ZB directly. According to a CME-Paper from (CME) I understand it that way, that trading Inter Commodity Spreads (ICS) the matching opportunities are increased due to an automated balancing of the outright and spread order books. After checking for any resting ICS-Order possible to match the individual legs are checked on the outright books.

Another difference I'm not aware of the concrete meaning is: Implied outrights created by Intercommodity spreads have no FIFO priority. Does that mean that trading an ICS the order can overtake an outright order when matching against the normal outright book? So the ICS-Order doesn't to have to queue in into the outright order book? (after the spread order book had no matching opportunity of course)

The reduced margin when trading NOB instead of ZB, checked right now in IB (Maintenance margin (Initial):
ZB 1832 (2290) USD
NOB 788 (985) USD

Unfortunately the ICS like NOB can't be charted by every software.
Regarding Multicharts, I couldn't find a way to get it into my charts for now,
NT7 the same --> maybe there is a workaround?

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  #17 (permalink)
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PK 1 View Post
so I was thinking about the question why NOB instead of ZB directly. According to a CME-Paper from (CME) I understand it that way, that trading Inter Commodity Spreads (ICS) the matching opportunities are increased due to an automated balancing of the outright and spread order books. After checking for any resting ICS-Order possible to match the individual legs are checked on the outright books.

Another difference I'm not aware of the concrete meaning is: Implied outrights created by Intercommodity spreads have no FIFO priority. Does that mean that trading an ICS the order can overtake an outright order when matching against the normal outright book? So the ICS-Order doesn't to have to queue in into the outright order book? (after the spread order book had no matching opportunity of course)

The reduced margin when trading NOB instead of ZB, checked right now in IB (Maintenance margin (Initial):
ZB 1832 (2290) USD
NOB 788 (985) USD

Unfortunately the ICS like NOB can't be charted by every software.
Regarding Multicharts, I couldn't find a way to get it into my charts for now,
NT7 the same --> maybe there is a workaround?

You did not link to the paper you are referring to so I can't see what you're quoting, but it would not be unusual for a spread order to take priority. Options spreads on the CBOE, for example, take precedent over outright single orders, so that the order can be filled in one leg instead of two or three. So, it would not surprise me that native spread orders at CME would have priority over non-spread orders. Not every broker quotes native spreads, and in this case you will have to leg into the spread manually.

As to why trade the NOB instead of ZB directly--they are two completely different trades. In one, you are betting on the 10Y-30Y spread narrowing or widening, regardless of the underlying yield direction. They could both rise, or they could both fall, or they could move in opposite directions. In the other, you are betting on whether absolute rates will move higher or lower.

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  #18 (permalink)
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@josh

here the paper, on the given link in my previous posting one can reach a few other very interesting documents regarding the topic
CME-Paper

Of course ZB and NOB are quite different, but in another post Fat Tails was thinking why not ZB directly when in his chart spread moved almost like ZB itself, so here were my two cents for this. Even checking this on the log term I could see the same strong correlation. Especially the lower margin is the biggest advantage. In case of the ICS the transaction is guaranteed by CME not the broker, legging in manually the user has to pay the risk. Hence the question whether the software one is using also supports ICS-Symbols like NOB for example. AFAIK Tradestation and likely Autospreader can chart it.

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  #19 (permalink)
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It looks like fat tails used a 1:1 ratio where as the NOB uses a 2*ZN to 1*ZB ratio. Also you can use TOS to chart yield spreads buy punching in 2*/ZN-/ZB for a steepener or /ZB-2*/ZN for a flattener. I'd recommend reading posts by 's0mmi' over on elitetrader as he's a curve trader at an aussie prop firm, he has tonnes of quality posts on this type of trade.

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  #20 (permalink)
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Thx for the info, but what you mean is just the calculation of the spread not the NOB itself? For the calculation of the spread and other stuff I have done in Multicharts already, but seek for a possibility to trade it directly from the software. I've read some posts from s0mmi and some other user here regarding spreads, very valuable!

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