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Your are right, the recent change in specs is causing a much wider than normal drop right now, but there has always been anywhere from 1/16 to 1/2 point spread from month to month.... once the 8% nominal is gone and we go to 6% nominal there will still be a yield curve dependent drop from expire to expire.
At 12:12 PM 7/6/99 -0500, Mark Morrison wrote: >>>> size=2>A RealTrader was asking why Bond prices are lower in the back months. Part of the reason has to do with the yield curve, but the main reason is the change in contract specifications. I copied the following from the CBOT web site. size=2> http://www.cbot.com/ourproducts/spec/index.html Treasury Futures and Futures Options - 6% Coupon Beginning with the March 2000 contract, the notional coupons of the CBOT Treasury bond, 10-year, 5-year, and 2-year Treasury note futures contracts and the municipal bond contract will change from 8% to 6%. Special serial options will also be listed. size=2>Mark Morrison size=2> face="Courier New" size=2>Professional Market Brokerage size=2> face="Courier New" size=2>mmorrison@xxxxxxxxxx
Stewart Taylor Taylor Fixed Income Outlook Voice: 501-219-9774 Fax: 501-228-0963 E-Mail: staylor@xxxxxxx Web Site: http://www.cei.net/~staylor/
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