hedging a 10 yr t-note holdig

January 5th, 2018, 11:09 PM

New to futures.io. Glad to have become a member.

I am looking for effective way to hedge a 10 yr a t-note position. I expect to hold it for at least 2 years.

thanks

January 6th, 2018, 03:21 PM

Not sure i understand what it is you are trying to achieve
can you be more specific ?

Buying the T-note and selling the future will only leave you with the commissions
as you will have to roll at least once a quarter...

Unless you can print your own T-notes

,
hedging them would not really make sense...

Am I missing something here ?

January 6th, 2018, 04:05 PM

Rleplae

I am looking at dividend producing instruments with some protection. Have worked well in the equities world for me. Was wondering if something similar can be done on the bond side

Thx

January 7th, 2018, 02:59 PM

CME have both a 10yr Treasury Note Future and an Ultra 10-Year U.S. Treasury Note Future. I'm not an expert on these but I understand that the way the delivery mechanisms work that the 10-Year is actually more like a 7-Year while the Ultra 10 is most like a 10-Year. As @rleplae mentioned though only the prompt contract trades so you'll need to hedge with H18 and roll every 3 months.

January 7th, 2018, 03:37 PM

Hello SMCJB

Thanks for your reply and pointers to two futures. If I am willing to roll every 3 months, would this clearly provide the price protection for 10 yr t-notes? I will look at some graphs

For many years I have successfully "harvested" SPY dividend with short /es and some other combination of far OTM SPX options. Since SPY and DIA yields have come down significantly, I am looking at other instruments

Do you see any other downside?

Thanks

January 7th, 2018, 03:57 PM

I don't know enough about bond futures to answer that. If the roll is approximately flat then you can hedge, roll and collect dividends. But if the roll represents the carry between contracts, then rolling will eat your dividends.

January 7th, 2018, 05:05 PM

Yes.. good point. I am totally new to bond futures. Need to study the roll.

Other experts on the forums...any opinion/guidance on the roll?

thx

hedging a 10 yr t-note holdig

Discussion in Treasury Notes and Bonds

hedging a 10 yr t-note holdig