Yield Curve Movements  Basis point cumulative shifts of the implied spot yield curve during the day 8:00am-5:00pm . The curve shifted up toward the end of the day particularly at the long end

Net Basis Movements the time trends of the futures prices and the cheapest to deliver (CTD) forward price. The net basis widened through the day

Decomposition of the Net Basis Both the cheap/rich and the option values increased. The net basis appeared small because the delivery option value is mitigated by the cheap/rich value through the day

Cheap/Rich Trends of the September Contracts Both the 10 and 30 year ch/rh were volatile. The 10 year has become the richest contract, though it was fairly priced earlier in the week

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