Trading US Treasury Yield Curve

those are algo’s job, retail is too slow for that. also the feb is in the market to smooth out any panicking.

 

IB or whatever accounts you have sufficient money from margin calls.

 

Why is retail too slow for that, I see plenty of big deviation from the curve daily or weekly. Sometimes the flattening happens over many days after a spike up or down from the curve, I imagine it's tradable for retail.

 

if that’s the only instrument you are looking at, why not, go tryout, everything is tradable.

 

I just need more information, learning material and references. I need to get a better grasp on the monthly or quarterly rolls, do you know how that works?

 

Also, anyone know of a brokerage or any intermediary that allows trading of Treasury notes and bills without commission and fees?

 

Can you please give an example of how people trade the yield curve? ty

 

you build it via a long/short combo, very clearly in the CME 101 paper.

 

Can day trade the ETFs like TMF, UBT, TLT, etc. Can get exposure to rate differentials that way. You can trade the rate spread intraday, but its a crowded trade and the ICS market takes liquidity from the outrights. You have to watch the butterflies IMO, but there is plenty of action in the spreads, especially on the back end of the curve. You have to remember that these are like bond indexes in that near and adjacent tenors across the entire fixed income market price to them.

You are hedging rate risk with duration when you trade these (DV01), which when long gives you exposure to a yield spread. A yield spread is a heavily leveraged carry trade, and a rate spread is the hedge for these positions in the cash market.

The market makers in bonds, stirs, commercial paper and the rest of it are using and abusing execution advantages and data access, prescience of news flows and more. They make markets in swaps, fixed income vol, and bank rate products, total return swaps, and securitized fixed income risk (ETFs).

I've traded the spreads and watched the books a lot. The 10s, 30s, ultra fly is a major thing to be aware of and watch. That's the spread of rate spreads, i.e. long BOB/short NOB. It's an art and a science, but the info is hard to come by and the pros don't talk much. Have to dig deep.

 

You sound like you know what you are talking about, could you give us a direction in terms of finding more learning materials or finding a specific group for chats and community? How did you learn to trade the yield curve?