Hi there, wish some of you guys could help me out on this question! What is the diff bet. the US 10 yr note futures (ZN) and US 10 yr cash govt. bond? Do they affect each other?Esp during auctions? Could this possibly be used in spreading? Thanks!
It is called basis trading in the fixed income world, and it has been done since the origin of a fungible futures contract. In the case of the TY, since the 1980's. Note that platforms like TT have access to BrokerTec and CantorFitzgerald cash treasury markets. It is not free money, especially when you are trying to do the OTR stuff.