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I am looking at ratio trading two correlated contracts, one beeing a future
and one beeing an otc product. They have a very strong correlation in any
timeframe.
The future product is BIFFEX, whereas the otc product beeing FFA Gulf/Japan.
Right now Oct futures is trading at 870, which gives a contract value of
870*10=$8700.
Gulf Japan is trading at 14.5, contract value 14.5*54000=$783000
If 783000 is divided by 8700 you will get 90. Is this the correct number of
futures to ratio trade the GJ? I know this may sound silly but having
studied it for a while I am getting more uncertain...
Is there any software packages specifically made for ratio or spread trading?
Best greetings,
Frode L. Aschim
Email: frode@xxxxxxxxxx
Thought of the day:
// Shipbrokers do it SHINC \\
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