Recent content by AndrewJackson

Thanks Martinghoul. Obviously, spot profit would have to include a pv of the forward profit. The futures will have a beta greater > 1 (cf of ctd over 1) or beta < 1 (cf of ctd less than 1) with respect to the ctd bond. This is due to the way gains/losses on the contract are settled on the...

My question really boils down to, why does the exchange set the profit/loss (variation margin) on the futures = to soly the change in the futures price when in fact the actual profit of being able to take/make delivery on the bond = change in futures * CTD CF? The only thing I can think of, is...

Hi there, I have been reading these forums off and on for the last couple months. I thought that you guys might be able to give this question a shot. It is a scenario based question. Here it goes. Assume you are long 1 10 year treasury futures contract at 105 on Monday. On Tuesday...