notices - See details
Notices
M
Mike (not verified)
26th June 2015 | 12:06am

For those looking for a simply strategy that will deliver some alpha with the "inevitable" rate increases coming, go buy a NOB spread i.e. notes (10yr) over bonds (30yr). As the yield curve begins (continues) to steepen, everything explained above in this great article can be taken advantage of. Be sure to look up "current" DV01 for each futures contract so you can apply the appropriate notionally weighted hedge ratio.