tag:blogger.com,1999:blog-6096498495092625212.post3825872305499682550..comments2023-03-20T10:17:57.636-04:00Comments on Govt Trader: Whats with the big moves in the asia session treasury market?Unknownnoreply@blogger.comBlogger3125tag:blogger.com,1999:blog-6096498495092625212.post-60033490007021463442012-08-22T05:25:32.941-04:002012-08-22T05:25:32.941-04:00Yes, the duration of ZN Ten Year Treasury futures ...Yes, the duration of ZN Ten Year Treasury futures are in fact closer to 7yr paper (depending on which off-the-run 10yr is the cheapest to deliver...which is a function of the level of rates and the 6.5/10 curve). However, when trading large DV01 positions, the big risk is outright moves...rather than 7/10 curve risk. The futures market tends to provide the best liquidity. Even though the best hedge when getting lifted on 2bln 10yr notes is in fact buying 2bln 10yr notes...that isn't always an option for the dealer. When these types of things happen...the dealer just has to deal with working out of the 7/10 curve after getting flat duration.anonhttps://www.blogger.com/profile/04825036520441611963noreply@blogger.comtag:blogger.com,1999:blog-6096498495092625212.post-88058821852314754882012-08-22T00:41:52.901-04:002012-08-22T00:41:52.901-04:00By the way, isn't the duration of these the sa...By the way, isn't the duration of these the same as cheapest-to-deliver above 6 1/2 year mauurity bonds - which would be the 7-year, I believe?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6096498495092625212.post-38622550638050726082012-08-22T00:39:35.270-04:002012-08-22T00:39:35.270-04:00I was also watching as this happened. Very strange...I was also watching as this happened. Very strange. I had just gone short a few contracts at the previous 2 day high ... Just my luck. Anonymousnoreply@blogger.com