Intraday basis trades?

sharpend · Post by **sharpend** » Wed Sep 16, 2009 2:19 am

just last week I had a discussion about the cash/futures trade and was told the traders I knew of had moved to greener pastures. It sounds crowded so I would be interested to see someone having success trading this without synergies from other strategies.

jungle · Post by **jungle** » Wed Sep 16, 2009 3:01 am

Sounds like you really just want to do RV. Tuckman might be worth reading.

HockeyPlayer · Post by **HockeyPlayer** » Wed Sep 16, 2009 2:49 pm

> But you understand the optionality in the futures contract right?

I do not. Pointers or explanations appreciated.

Martinghoul · Post by **Martinghoul** » Wed Sep 16, 2009 3:07 pm

> I do not. Pointers or explanations appreciated.

Galen Burghardt is your man... 'Treasury Bond Basis' is his book that should help you understand.

As jungle mentioned, if you're looking at basis specifically, it's one thing. If you're looking at RV trades in USTs more generally, there's a whole plethora of possibilities.

HockeyPlayer · Post by **HockeyPlayer** » Wed Sep 16, 2009 3:44 pm

What is an RV trade? Googling for that finds lots of recreational vehicle sites.

I just ordered the Burghardt book, thanks for the recommendation.

Martinghoul · Post by **Martinghoul** » Wed Sep 16, 2009 4:08 pm

RV = Relative Value

It's when you buy one thing, sell another. Then both go in your face and you get stopped out and canned. Happened to a lot of people last year in a whole variety of strategies/asset classes.

jungle · Post by **jungle** » Wed Sep 16, 2009 5:39 pm

RV at its best

Jurassic · Post by **Jurassic** » Sun May 13, 2018 7:25 pm

>RV at its best

Would you say though RV is a safer strat than macro on the whole for the average guy?

Jurassic · Post by **Jurassic** » Sun May 13, 2018 7:26 pm

Where can I find a simple overview on the index futures rolls and basis trades strategies?

tabris · Post by **tabris** » Mon May 14, 2018 1:37 am

RV isn't any safer than macro on the whole... you need to quantify what constitutes your edge and why. Honestly, RV is just a fancy word for market making on the buy side where you have to pay bid offer so you widen your mean reversion parameters.

And people already suggested books about futures and basis in the thread