Search
× Search
Tuesday, October 4, 2022

Archived Discussions

Recent member discussions

The Algorithmic Traders' Association prides itself on providing a forum for the publication and dissemination of its members' white papers, research, reflections, works in progress, and other contributions. Please Note that archive searches and some of our members' publications are reserved for members only, so please log in or sign up to gain the most from our members' contributions.

Hey guys, I had a question about the CDX index which is a basket of credit default swaps. Just wondering #1 if anyone had access to historical data from this index - the ticker is CDX.NA.IG on OTC.

photo

 Matthew Cox, IT Consultant/Trading Systems Developer

 Wednesday, October 2, 2013

Secondly, does anyone know an index that would roughly approximate this basket of credit default swaps that is not OTC so that I could use it to analyze credit defaults price action in Ninajtrader? - unfortunately this index is not supported by Ninjatrader data providers. Thanks, Matthew Cox


Print

5 comments on article "Hey guys, I had a question about the CDX index which is a basket of credit default swaps. Just wondering #1 if anyone had access to historical data from this index - the ticker is CDX.NA.IG on OTC."

photo

 Dongrui (Ray) Huang, Analyst at Global Sigma Group, LLC

 Thursday, October 3, 2013



Maybe you can use ABX AAA as an alternative?


photo

 Ilya Chalyt, Director - Risk Management

 Thursday, October 3, 2013



Matthew, you should be able to pull data from Martkit, Bloomberg, or Reuters. The Markit site may have some historical data for free.

You have to be careful because the index trades in series and rolls every three months. The trades are centrally cleared now, but I think you'll also need an ISDA agreement and QIB status (100MM+ AUM) to trade this asset.

All the best,

Ilya


photo

 private private,

 Thursday, October 3, 2013



The data for on-the-run & legacy CDX index prices is licensed through Markit. You could replicate the index via observing historical prices for underlying names in each series with the qualifier that an index mostly never trades to intrinsic; it's always cheap or rich based upon a variety of factors. What it will reveal however, albeit in slightly delayed fashion, are the same upward and downward trends the actual index experiences. This correlation holds water for 2-3 series legacy to the on-the-run but then becomes muddied due to convexity.


photo

 Matthew Cox, IT Consultant/Trading Systems Developer

 Friday, October 4, 2013



Thanks for the responses guys. Hopefully NT will support bond tickers.


photo

 Claudio Ruberto, Associate Credit Sales Support - EMIR rep for Europe at Deutsche Bank - CFA L1 passed and IMC

 Friday, October 4, 2013



Hi Matthew, in Bloomberg you will find the historical prices but I'm sure there must be some free resources too: Markit website worth a look. Re trading something similar, what about ETFs? I'm sure DB has a few covering credit derivs, you might wanna check few other banks too. An imperfect way would be trading all the components (125 ouch) but you will have the skew (can play also at your favour) and less liquidity than the Index itself and you will still need an ISDA. You won't have to clear in this case though, since single names are not eligible for clearing yet (only the main Eu and Us indices for now).

Please login or register to post comments.

TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS
Terms Of UsePrivacy StatementCopyright 2018 Algorithmic Traders Association