bond futures

Quote from Kicking:

I guess this is a newbie question, why is the 30 year Bond cash trading at 103 and the futures contract for December delivery is at 109? That's a 6 percent of par value difference, why such a large differential?
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I guess the premium of the futures contracts over cash in bonds can be due to several factors. One factor is just like options one can control a much larger capital "in dollar value" using smaller capital risk..

The premium is the key factor in "basis trading", if you think the premium is too high then you can "sell the basis" or if you think the premium is too low then you can "buy the basis"....
 
Unless you have a cash screen, the free treasury quotes you see are for on the run issues. Futures follow the cheapest to deliver. The CBOT lists the bonds that are cheapest to deliver along with their conversion factors.
 
anyone know the veterans day
holiday schedule for ACE traded notes and bonds?

the CBOT website is not giving me the info

as their server is slow right now
 
Quote from SethArb:

anyone know the veterans day
holiday schedule for ACE traded notes and bonds?

the CBOT website is not giving me the info

as their server is slow right now
More...

You can say that again! I just spent half an hour searching through their slow and ill-organized website, and it gave some sort of shitty, i mean equivocal, wording, something like "a/c/e closed for the day session and open overnight". I am reasonably sure this means that ZN and ZB will open on 11/11 at 9 pm EST and not before that time.

I also tried to find out the rollover date, and I am now pretty certain it is either the day before or the day after thanksgiving.

Why does getting information on futures from the exchanges have to be such a pain in the ass?! It definitely feels like they are trying to make it hard for newcomers to even develop an interest in their products.
 
CBOT and Merc interest rates and New York cash Treasuries are closed Tuesday. Liffe and Eurex interest rates are open.

The difference between the cash on-the-run treasury price and the futures price is the net basis - this differential is comprised of two major expense components for the cash-and-carry positive basis trader: the repo financing rate (borrow money to buy the bond and use the bond as collateral) and the coupon income accrual (the differential between the six month Fed coupon wire transfer date of the cash bond and the remaining expiry on the futures delivery date).
 
Quote from Lobster:



You can say that again! I just spent half an hour searching through their slow and ill-organized website, and it gave some sort of shitty, i mean equivocal, wording, something like "a/c/e closed for the day session and open overnight". I am reasonably sure this means that ZN and ZB will open on 11/11 at 9 pm EST and not before that time.

I also tried to find out the rollover date, and I am now pretty certain it is either the day before or the day after thanksgiving.

Why does getting information on futures from the exchanges have to be such a pain in the ass?! It definitely feels like they are trying to make it hard for newcomers to even develop an interest in their products.
More...

half an hour. come on man. the very front page of CBOT.com has a "calendars" menu........
 
could someone give me the tick values for the biggest contracts, like 10yr, 15 yr etc... i am looking into them...thanks
 
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