Anybody else short US 30 Bond

whoops... I thought you were referring to the 12/14 PPI numbers. Nevermind what I said then.

 

np

 

Sure... I realized this and edited my previous post. TBH, I don't see why it couldn't be 5%, but, in the same vein, I don't think it will move the Chinese to do anything. The whole reval malarkey is all smoke 'n mirrors, IMHO.

 

Which bond futures? And, yes, you can do it yourself, in Excel, for example.

 

(1) 10 year and 30 year

(2) How can I find a/the formula to use?

 

to get the right formula you need to know which is the cheapest to deliver bond for each and then you see how much the yield changes when you change the futures price

can't recall specifics but I think 0'030 in 10 year is about 1 basis point

 

thanks benwm

 

Then there's the curve component too since the cheapest to delv for the 10y fut is the T 4.25 11/17s. The 11/17s trade at a spread to the 10y on-the-run.

 

1 full point in 10y is (very roughly) arnd 14bps.
1 full point in the ultra-long is (very roughly) arnd 5bps

The formula to use is simple. Fwd price of the CTD = Futures Price * Conversion Factor. Once you have the fwd price, you can calculate the yield easily (e.g. using the YIELD function in Excel). Do that for two futures prices and you have your rough answer (rough, because it glosses over quite a few complexities inherent in pricing bond futures).

 

thanks Martinghoul