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ASX Futures Volumes and Market Dynamics

ASX futures volumes and market dynamics for contracts traded on ASX 24.

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Research reports

2015: Improving Sharpe by hedging Australian 10y bond futures with Treasuries

Traders are constantly seeking opportunities in securities that are differentiated from the highly correlated markets of the US and Europe. Australian bond futures offer this potential, by providing exposure to the economies of the Pacific timezone. This paper provides a pedagogical introduction to the techniques traders can use to access Australian bond futures returns while minimising risk seepage from other markets, to show how timing can be optimised for a high quality of entry and levels, and to give some concrete examples of relevant trade ideas.

Further information

To find out more about ASX’s interest rate derivatives and OTC markets solutions, please contact:

Fiona Tramontana

General Manager, Sales and Rates products

+61 (2) 9227 0428

Maurice Farhart

Snr Manager, International Business Dev.

+61 (0) 410 453 494
+61 (2) 9227 0268

Kristye van de Geer

Senior Manager, Interest Rate Products

+61 (0) 437 767 008
+61 (2) 9227 0130

James Keeley

Business Development Manager Asia

+61 (0) 415 141 942
+852 2251 1852

Monique Bell

Manager, ASX benchmarks & interest rate products

+61 (2) 9227 0208

Nick Thomas

Business Development Manager Europe

+44 (0) 207 256 4155