Trading Bond Futures

[havaiana]

Not much info here or anywhere else on trading Bond futures. Anyone here that trades them? Anyone know where i can find some good resources on trading Aussie Bonds futures?

 

[History Repeats]

First thing you should know, i'm in the process of learning to trade (index and bond futures) so my knowledge might not be as broad or correct as people who actually trade. But the following 3 books are a must read if you want to trade STIR or bond futures from what i can gather.

- The Treasury Bond Basis by Galen Burghardt
- Trading STIR Futures: An Introduction to Short-Term Interest Rate Futures
- The Eurodollar Futures and Options Handbook by Galen Burghardt

 

[CanOz]

If you're looking for DOM trading on US markets, mostly treasuries..then John Grady's 'No BS Trading' provides good insight into the bond markets including how to trade the spread, and several trade setups based on the auction action...

Cheers,


CanOz

 

[havaiana]

Thanks for the responses

I have read/watched the No BS Day trading and currently reading Stephen Aikin's book

Will check out Galen Burghardt books when i'm done. I will put up a review of 'Trading STIR Futures: An Introduction to Short-Term Interest Rate Futures' here when i'm finished reading it

 

[ChaosHedge]

In my search to find a new trading strategy I've been studying the mechanics behind bond futures pricing and have been reading the same books mentioned in this thread. My current goal is to be able to setup a TED Spread correctly by manually calculating the forward yield of CTD issue and adjusting the basis daily to monitor the trade.

I've found a few Youtube videos that are very helpful except that they assume everyone has access to a Bloomberg terminal. My question is: How can a newbie find out info such as cheap-to-deliver bond issues or is there a website that shows all the bond issues?

Any tips or suggestions would be very much appreciated.

FWIW, I have ninjatrader with kinetick data for sim trading only.

Thanks

 

[jmg86]

Hey ChaosHedge,

CTD & DV01 for CME products - 2/5/10 years etc (Eurodollars are constant $25)

http://www.cmegroup.com/trading/interest-rates/duration-flash.html

or if you wish to calculate yourself

http://www.cmegroup.com/trading/interest-rates/treasury-conversion-factors.html



For Eurex - (Euribor again constant EUR 25)

http://www.eurexchange.com/exchange...ata/deliverable-bonds-and-conversion-factors/

 

[ChaosHedge]

Hey ChaosHedge,

CTD & DV01 for CME products - 2/5/10 years etc (Eurodollars are constant $25)

http://www.cmegroup.com/trading/interest-rates/duration-flash.html

or if you wish to calculate yourself

http://www.cmegroup.com/trading/interest-rates/treasury-conversion-factors.html



For Eurex - (Euribor again constant EUR 25)

http://www.eurexchange.com/exchange...ata/deliverable-bonds-and-conversion-factors/

Thanks jmg86, much appreciated!
I'm assuming once the theory of bond futures pricing is understood, the calculations become less relevant and the change in price/yield figures will provide sufficient information for trading. At the moment I don't fully understand what causes the CTD issue to change so I'm hoping the manual calc will help to get my head around it.
Thanks again.