C Cyrix Aug 18, 2011 #1 Anyone knows what the duration for Dec 11 10yr treasury future (CTD) is right now? Want to establish a 10 30 flattener.
Anyone knows what the duration for Dec 11 10yr treasury future (CTD) is right now? Want to establish a 10 30 flattener.
M Martinghoul Aug 18, 2011 #2 With 4% Augie18 as the current CTD, it's about 8.14, from what I can see... So 1000 TYZ1 contracts is arnd $81.4k/bp in DV01.
With 4% Augie18 as the current CTD, it's about 8.14, from what I can see... So 1000 TYZ1 contracts is arnd $81.4k/bp in DV01.
