Support Board
Date/Time: Mon, 10 Mar 2025 07:27:58 +0000
Post From: ZB / ZB ATR
| [2022-03-15 13:33:10] |
| 1+1=10 - Posts: 270 |
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Ratios for inter-commodity spreads are complicated. Right now the CME has these ratios for inter-commodity treasury spreads: https://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html Oh, do note that many inter-commodity spreads are exchange-traded, meaning there's a separate contract that directly represents the spread you can buy/sell. If you do, it will automatically use the appropriate ratio between the legs. Another reason you likely want to use the exchange-traded spread is you only get the margin discount if you have the appropriate ratio between the legs. You can actually chart exchange-traded spreads in Sierra Chart too, although the volume is low so often I make my own spread chart from the legs for analysis but actually trade the exchange-traded spread. |