Treasury Basis Trading

Discussion in 'Financial Futures' started by MRE, May 13, 2009.

  1. MRE


    Anyone on this site been trading the 5yr or 10yr basis? What's it like these days?
  2. been trading the ten year basis now that vol has calmed down you can trade it again it moves about 4-5 ticks a day but goes one direction at the open and doesn't stop or retrace that much. really frustrating trade to be honest with you.
  3. MRE


    thanks for the reply. i've moved away from the basis trade back in 06...been in energies since then. sounds like it's still pretty much the same? really not much you can do when the basis moves directionally and you're trying to scalp it.
  4. yeah pretty much scalp 5, 7 and 10 yr cash and futures and spooz, but during the last fall when CTD was tweaking out the basis was moving 10-20+ ticks a day it was fun and crazy but now it is slow and boring like in years past.
  5. There's some stuff to do, but, as mentioned, it's not massively juicy at the moment... The most interesting to me is actually the bond, rather than the 10y and the 5y.
  6. ten yr basis up 50 ticks in one week! UP 20 ticks today with 2/10 steepeners coming off from 2.80 to 2.60 wow!