Long 10yr short 1 yr

Discussion in 'Trading' started by lucas991, Mar 30, 2011.

  1. lucas991

    lucas991

    Hey Guys,

    This is my first post here. I wanted to make a betting on the spread between long term and short term treasuries narrowing. What is the best way to do this? I wouldn't mind buying futures since, because I am pretty much hedged to overall interest rate movements, I guess the broker is not going to ask me for a big margin. Any suggestions?

    Thanks!
     
  2. This is called a flattener... Do it by selling TU vs buying TY, DV01-weighted.
     
  3. lucas991

    lucas991

    hey, thanks for the response. I figured out the weights using the PDAN function on bloomberg. go long on 0.59 TYs for every TU that I short. So since I need to get integers, I have to short 5 TUs and buy 3 TYs (2.95 ideally). I trade on InteractiveBrokers, I won't have to post margin for both right? I guess most of it cancels out somehow...

    Thanks again