Spreading 2s and 10s

killATwill said:
Will do.

I'm thinking the best way to structure the trade is actually through eurodollar futures since you can pair legs 1:1 right now, and they're highly liquid at far-out maturity dates.
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Definitely! So many choices and liquidity to boot. I would like to see steepness to do a form of carry trade. There doesn't seem enough juice right now. So, I do understand why you are doing wide steepeners/flatteners.

If your not familair, read up on the concept of "the turn". There's a big drop of in yield or price in Dec. You may have to price that in. It's not a free lunch/opportunity. I forgot what causes it.

I am still flip-flopping on where we really are in the cycle. Covid messed up the stats.
 
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killATwill said:
@xandman the 6:1 short ZT long ZN seems right. The spread chart on Barchart.com matches up with with the 2-10 curve at Fred.

https://www.barchart.com/futures/qu...&grid=1&height=500&studyheight=100&isSpread=1

https://fred.stlouisfed.org/series/T10Y2Y

I also realized Eurodollars is better to play Fed hikes, not as good for yield curve direction.
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I understand the strip doesn't go out far enough.

But, that doesn't mean Euro dollars can't house a trade with the same sensitivity to the cash 2-10s. It's all in the structure and size of the trade.

Think of it as a long 10 ft seesaw. We chop off 2.5 ft off each end. That seesaw will rock back and forth the same way within a 5 ft span around the fulcrum. Btw, I am not saying 1 10 ft seesaw is equal to 2 5 ft seesaws. You gotta google the BPV on seesaws. Haha.
 
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