Yield Curve Movements  Basis point cumulative shifts of the implied spot yield curve during the day 8:00am-5:00pm . Given the economic news, the market was volatile and the curve exhibited significant non-parallel movements throughout the day

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.

Decomposition of the Net Basis Both the cheap/rich and the option values increased from the previous day

Cheap/Rich Trends of the September Contracts Both the 10 and 30 year ch/rh were volatile

Notes:

·          The decomposition is based on the following identity: CTD/CR – CtC/CR – F = Opt – c/r

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