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Bond butterflies
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Created: by jumpingfella Attachments:0

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Bond butterflies

  #11 (permalink)
Market Wizard
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jumpingfella View Post
I'm looking for good autospreader software, so far heard only about Autospreader from Trading Technologies (screenshots look non-intuitive).

That's what I use. It's very good, and arguably recognized as the best available. It's also very intuitive. Setting the first few up will make you scratch your head alittle, but using them to trade is as easy as using a DOM to trade anything.

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  #12 (permalink)
Trading Apprentice
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BOND BUTTERFLYS - BOND TRADING

Hey All -

A client of mine shared this thread with me...

The youtube video posted on an earlier reply is mine (I can't post links because this is my first post ever on this site, or any message board)

I've traded Bond Futures since 2003. Trading futures via the yield curve is the best trade I know.

I'm happy to answer any questions you have.

The spreads that I'm referencing can be found on the CME - I can't post a link but you google (ics cme) to find the page

You can contact me directly if you'd like as well but I cant post my email address... so i'll try to follow this thread for questions...

Good thread -- you guys are on the right path... keep digging, this trade is legit. Impressive find

Regards,
Jonathan

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  #13 (permalink)
Trading Apprentice
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I found presentation from Interactive Brokers on the subject.
Looks like interest rate trades have longer time-span and are not really suited for intraday(as I thought they would be).

http://www.interactivebrokers.com/download/en/IntroInterestRateTrading.pdf

I was hoping to find delta-neutral intraday way of making $ with bonds. Looks like it's possible only with auto-spreading liquid pairs (and means significant investment upfront).

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  #14 (permalink)
Market Wizard
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Welcome @JonathanRose and thanks for joining the conversation.
I'm curious when you trade spreads or flies between the different contracts are you trading 1:1 or using DV01 ratio's?
If the latter, when you chart the speads or flies are you charting 1:1 or using the same execution ratio's?
Finally if the latter how do you know what the DV01 ratio's were historically to chart them?

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  #15 (permalink)
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BOND BUTTERFLYS - BOND TRADING answers

Always DVO1

historically can be done using a rolling contract but that's not practical because you won't be factoring in the difference between the calendars spreads that roll

so historically, can only be 'historically' with a given contract (March, June, etc...)

google - ICS CME and you'll find the DVO1 page

after 5 posts I guess i can past the link

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  #16 (permalink)
Market Wizard
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JonathanRose View Post
google - ICS CME and you'll find the DVO1 page

Thanks interesting. So the exchange actually lists the intercommodity spreads but didnt see anything on the Butterflys. That would make things easier. I don't have CBOT data so can't see any of these contracts.

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  #17 (permalink)
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jumpingfella View Post
There're actually videos on youtube where people discuss trading bond yield curve: /ZT, /ZF, /ZN, /ZB, /UB

I'm referring to this one: https://www.youtube.com/watch?v=f-P40tppKP4

@JonathanRose

The video is no longer available. What was the name of the channel?

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  #18 (permalink)
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Bond Trading FUTURES - YIELD CURVE ANALYSIS

I think you're referring to my Youtube channel

I can't post a link because I only have 2 posts on this site

But, you can search for Jonathan Rose, Activedaytrader, on Youtube to find the channel

I have lots of videos on Bond Futures - track down the Bond Futures Playlist

Enjoy

Jonathan

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  #19 (permalink)
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Great webinar yesterday on Yield curve spread trading

Jonathan great webinar! yesterday on Bond spread trading.

https://www.youtube.com/watch?v=wa9zcNg34DU&feature=youtu.be

https://www.youtube.com/watch?v=SQlGv5cQRA0

It is a very interesting piece of news to hear that you and Patrick have been working and "getting done" the fact that
Sierra chart is ready to plot spread charts (the same way only TOS was allowing).
Since I have been attending your course over one year ago, I have been trying myself to get these same spread charts on my Ninjatrader (the first platform I jumped in ...) but ... being alone .... I was unable to get them done and I could not continue my walk forward. Sure, maybe I should have hired a consultant, paid him/her at least couple of thousands, in the meantime go relaxing and playing golf, then, once the consulting work had been completed, install the add on on my platform and, with these new charting features start paper trading on the charts. But I am not such an elite person, I can't afford it.
Anyway great stuff from you at the webinar, both as regards the concepts you illustrated on Yield curve spread trading, and as regards the info you guys provided on honoring margins for exchange recognized spreads.
Thank you.
guidoisot.

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  #20 (permalink)
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Butterfly ratios


@Jonathan Rose

Hi Jon

I've dropped you a couple of emails over the weekend (hope you don't mind!) but I also am not sure how the butterfly ratios are calculated. As mentioned earlier in the thread, I have the CME link for the pair spread ratios but how do these get translated to the butterflies?

Thanks

Pete Rogers

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