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Questions tagged [spread]

A spread is a difference between two prices or yields. Bid-ask spreads reflect that the most competitive buyers and sellers want to trade an asset at different prices. Yield spreads reflect a difference in bond tenors, credits, liquidity, optionality, or other features. Option spreads reflect views on prices beyond just positive or negative. Commodity spreads reflect time evolution of supply or demand or the gross producer margin for creating a product.

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How to Bloomberg compute the implied Yield ? What is FX swap basis spread?

Question 1: You can see Bloomberg EUR/USD FXFA<go> page attached below EUR 3 months yield=3.9412 US 3 months yield= 5.6683 Spot Rate: 1.0580 How does it find FX swap rate as 1.062732? Question ...
Engin YILMAZ's user avatar
1 vote
1 answer
441 views

Return on investment in spreads

I have a hard time getting my head around this. Let's say you have a strategy that consists in buying one future spread, for instance CL Z7-Z8 (crude oil dec17 minus dec18). It's easy to calculate the ...
d--b's user avatar
  • 163
4 votes
3 answers
1k views

Pair trading - short / long the spread

I am wading into pair trading concepts. Here is one article I've read. I understand for these strategies our intention is to go long on one asset and short another, however I do not understand what ...
quickshiftin's user avatar
4 votes
2 answers
3k views

Interpretation of OAS on MBS

I'm struggling a little with the interpretation of option adjusted spread on mortgage backed securities. I can see how, for a corporate bond without optionality, the z-spread is sort of like a ...
David McArthur's user avatar
2 votes
1 answer
3k views

How to trade interest rate futures calendar spread?

This has always been difficult to understand for me. How is the second futures contract valued in relation to the front month contract? My understanding is there are carry considerations (3 more ...
A1122's user avatar
  • 335