What is the duration for Dec 11 10yr treasury future right now?

Discussion in 'Financial Futures' started by Cyrix, Aug 18, 2011.

  1. Cyrix

    Cyrix

    Anyone knows what the duration for Dec 11 10yr treasury future (CTD) is right now?

    Want to establish a 10 30 flattener.
     
    #1     Aug 18, 2011
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  2. Martinghoul

    Martinghoul

    With 4% Augie18 as the current CTD, it's about 8.14, from what I can see... So 1000 TYZ1 contracts is arnd $81.4k/bp in DV01.
     
    #2     Aug 18, 2011
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