Diff bet. US 10 yr note futures and US 10 yr cash govt. bond?

Discussion in 'Financial Futures' started by spidermarn, Jan 19, 2012.

  1. 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!
     
  2. bone

    bone ET Sponsor

    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.
     
  3. rosy2

    rosy2

    this was all the rage in chicago +10yrs ago. One very popular hft firm started this way.
     
  4. AC3

    AC3