Question for any ZN traders

R

ralph00

I shorted Dec 08 ZN futures at 116-12 a few days back. I believe the 10 year was yielding 3.50% at the time.

Since then, the yield has risen to 3.82, but the price of the futures contract has only fallen to 114-06. Shouldn't there have been more than a 2 point move for such a large move in yields?

Thanks for any input!
 
No, because 10 years is a short maturity.

Today's data for cash Treasuries:

10 year 101-11 -1-06 / +.146
30 year 105-06 -2-19 / +.146
 
1) Extremely "low" short-term interest rates make it easier to carry inventory of higher-yielding treasury securities and futures contracts providing support to the market.
2) The actual 10-year note you were looking at doesn't move tick-for-tick with the futures contract.
3) There could have been a lot of liquidation-selling of T-Notes in order to raise cash, regardless of proper basis levels with respect to the futures contract.
4) There could have been something "weird" going on in the most-deferred Eurodollar futures contracts that impacted the T-Notes.
 
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