Yield Curve Movements Basis point cumulative shifts of the implied spot yield curve during the day. The curve rose, particularly the long end

Net Basis Movements the time trends of the futures prices and the cheapest to deliver (CTD) forward price. The cheapest to deliver forward price is defined as the conversion factor adjusted CTD price net of the cost to carry. The difference is the basis. The prices have fallen around 0.30 as the rates have risen. 

Decomposition of the Net Basis.  The basis = option – ch/rh. The option value has increased as the rates rose

Cheap/Rich Trends of the September Contracts  The spikes may offer trading opportunities

Note: These bulletins are not recommending any trading strategies or investments, and all examples are presented only for illustrative purposes. THC is not responsible for any losses, financial or otherwise.