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20-year Bond Future Enhancement | Weekly Release 3/4/22

Given the 20 year future will officially be traded on Monday, RiskVal has added the official ticker of TWE[H/M/U/Z]#.

Future CTD

Traders can create a new tab and enter the TWEM2 future. The Future will load with its delivery basket and the details for each bond. This way traders can analyze the switch option, the benefits of early delivery date vs last delivery date, scenario analysis, and the Wildcard.

Note: For a more detailed walkthrough, there is additional documentation on this sheet available

Calendar ASW

The Calendar ASW can be used to evaluate the calendar roll. Creating the twenty-year future roll will forward both futures to the back contracts delivery date and compare that forward ASW to the spot ASW. This way traders can evaluate whether the calendar roll is rich/cheap and calculate a theoretical calendar roll.

Note: More details on this sheet are available

USD Bond and Market View – Futures

Finally, these futures are available in the USD Bond and Future tab of the Market View for reference. In addition, traders can choose to change the CTD or the delivery date for the 20 year under the Future tab.


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