Can the 30 year go to 0% yield?

Discussion in 'Trading' started by Crispy, Oct 3, 2011.

  1. Crispy


    I am a straight equity/equity option guy so this is outta my space.

    Im sure its very possible...but wouldnt it signal out right armageddon?

    What do you debt guys say?
  2. Anything and everything is possible... But US 30y nominal yield at 0% is too much, IMHO.
  3. Crispy


    Lets say it does. Where does that bring price? 154ish?
  4. Assuming you are talking about the long bond future:

    At 0% yield the CTD of the long bond future should be the T 6 5/8 2/27, which pricing at 0% yield is $201.787364. The conversion factor is 1.0613, so the current front US bond contract should be worth $190.13226.

    Not sure where you are getting 154 from?

  5. Crispy


    Much thanks.

    154 was just a wild ass guess. Not my space at all..clearly...