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Anybody else short US 30 Bond
- Thread starter richard_m
- Start date
Sure... I realized this and edited my previous post. TBH, I don't see why it couldn't be 5%, but, in the same vein, I don't think it will move the Chinese to do anything. The whole reval malarkey is all smoke 'n mirrors, IMHO.Quote from benwm:
yes, that's right
the possible RMB revaluation is just my hunch
Which bond futures? And, yes, you can do it yourself, in Excel, for example.Quote from m22au:
Can someone with a better knowledge than me of bonds help with a question or two:
What is the approximate value of 1 tick in bond futures in terms of yield?
Is there any way I can calculate this for myself?
Quote from m22au:
(1) 10 year and 30 year
(2) How can I find a/the formula to use?
to get the right formula you need to know which is the cheapest to deliver bond for each and then you see how much the yield changes when you change the futures price
can't recall specifics but I think 0'030 in 10 year is about 1 basis point
Then there's the curve component too since the cheapest to delv for the 10y fut is the T 4.25 11/17s. The 11/17s trade at a spread to the 10y on-the-run.
Quote from benwm:
to get the right formula you need to know which is the cheapest to deliver bond for each and then you see how much the yield changes when you change the futures price
can't recall specifics but I think 0'030 in 10 year is about 1 basis point
1 full point in 10y is (very roughly) arnd 14bps.Quote from m22au:
(1) 10 year and 30 year
(2) How can I find a/the formula to use?
1 full point in the ultra-long is (very roughly) arnd 5bps
The formula to use is simple. Fwd price of the CTD = Futures Price * Conversion Factor. Once you have the fwd price, you can calculate the yield easily (e.g. using the YIELD function in Excel). Do that for two futures prices and you have your rough answer (rough, because it glosses over quite a few complexities inherent in pricing bond futures).
Quote from Martinghoul:
1 full point in 10y is (very roughly) arnd 14bps.
1 full point in the ultra-long is (very roughly) arnd 5bps
The formula to use is simple. Fwd price of the CTD = Futures Price * Conversion Factor. Once you have the fwd price, you can calculate the yield easily (e.g. using the YIELD function in Excel). Do that for two futures prices and you have your rough answer (rough, because it glosses over quite a few complexities inherent in pricing bond futures).
thanks Martinghoul