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I am looking at dividend producing instruments with some protection. Have worked well in the equities world for me. Was wondering if something similar can be done on the bond side
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
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CME have both a 10yr Treasury Note Future and an Ultra 10-Year U.S. Treasury Note Future. I'm not an expert on these but I understand that the way the delivery mechanisms work that the 10-Year is actually more like a 7-Year while the Ultra 10 is most like a 10-Year. As @rleplae mentioned though only the prompt contract trades so you'll need to hedge with H18 and roll every 3 months.
Thanks for your reply and pointers to two futures. If I am willing to roll every 3 months, would this clearly provide the price protection for 10 yr t-notes? I will look at some graphs
For many years I have successfully "harvested" SPY dividend with short /es and some other combination of far OTM SPX options. Since SPY and DIA yields have come down significantly, I am looking at other instruments
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,208
I don't know enough about bond futures to answer that. If the roll is approximately flat then you can hedge, roll and collect dividends. But if the roll represents the carry between contracts, then rolling will eat your dividends.