The mother of all shorts is building: 30-year T-Bond

[Susannah]

I thought you plugged in 6 percent for the coupon rate?

http://www.cbot.com/cbot/pub/cont_detail/0,3206,1526+14431,00.html

"The conversion factor is the price of the delivered bond ($1 par value) to yield 6 percent."

 

[zboy2854A]

Quote from Susannah:

I thought you plugged in 6 percent for the coupon rate?

http://www.cbot.com/cbot/pub/cont_detail/0,3206,1526+14431,00.html

"The conversion factor is the price of the delivered bond ($1 par value) to yield 6 percent."

My understanding is that the 6% quoted on CBOT is not the coupon being used to calculate the actual real world current yield:

http://www.bloomberg.com/markets/rates/index.html

 

[Trader666]

TBT was discussed earlier... excellent correlation with the long ETF. Not always the case with long and ultrashort ETFs. This is from mid Aug 08 -- present BTW.

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=2230672>

 

[Bernard111]

Quote from himself:

That should be the 20yr bond, sorry, still remember when the 30 yr was the benchmark.

Do you mean that Final_Dec_4 file is not correct and refers to a 20Y?! :eek:
actually it shows a 'US Treasury Bond Futures contract' under the Price-to-Yield Table'.

 

[Random.Capital]

Quote from bond tr4der:

It's only a matter of time...

There's the rub - how much time? If Japan is the model, it could be years and years and years. Last time I looked Japanese 30yr yield was flirting with a 2-handle.