21
Jun
2009
What’s the Best Way to Short Treasurys?
Von Pepe sends these articles (here and here) on ways to short U.S. Treasurys.
If anyone has free time and a Bloomberg, can you give us some scenarios with current prices? E.g. I’m interesting in statements like: “If you buy this particular put option on 10-year Treasury futures, then on January 2, 2011, so long as yields haven’t fallen, you break even. And if the yield goes up by 50 bps, your return is 15%.”
In other words, don’t just tell me, “The market isn’t forecasting serious price inflation.” Tell me the specific wagers that are available, given current prices of various derivatives.
Comments are closed.
