Anybody else short US 30 Bond

Oops. I should have stayed short for a profit. Strong down trend 4 days in a row. But hey, at least I am not long :)

Last time serous buying commenced at around 125-10 125-20 on the ZN. Maybe we are headed there. I think that is about 2.58% to 2.6% on the UST10YR

This brings another question:

The ZN is a bag of different treasuries. I believe most in the 7 and 10 year range.

If we take the UST10YR rate and compare it to ZN DEC10 rate on let's say September 24th. For example ZN DEC10 125-10 and UST10YR on the same date 2.6%.

What if a month later o Oct 24 the UST10YR comes back to 2.6% should we expect the ZN Dec10 to come back to 125-10?

Is there some type of time premium involved?
 
Quote from Martinghoul:

It ain't that simple, dude... There's all sorts of complexities involved.
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Is it related to cheapest to deliver (CTD)? But can CDT change in 30-90 days?
 
Quote from ivanbaj:
Is it related to cheapest to deliver (CTD)? But can CDT change in 30-90 days?
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The CTD sure can change and does, although it's not that commonplace.

Point is that the relationship between futures and cash bonds is complicated. If you hear anyone ever describe it as "abritrage" (unless they're an academic), try to stay as far away from that person as possible. If you want to understand the dynamics of the relationship, I would strongly recommend you read one of the most important books in fixed income, written by one of fixed income's Elder Gods, Galen Burghardt. If you have questions, I can help, but the book explains it a lot better than I could ever hope to be able to.
http://www.amazon.com/Treasury-Bond-Basis-Speculators-Arbitrageurs/dp/1557384797
 
Quote from Martinghoul:

If you hear anyone ever describe it as "abritrage" (unless they're an academic), try to stay as far away from that person as possible.
More...
I would actually extend this statement to any securities pricing - anyone who would say "arbitrage" about anything liquid...
 
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