Updated NTT code to the CME 20Y bond future specifications
Given that CME released the specifications of the 20-year future, RiskVal updated the placeholder code, NTT, to reflect them.
NTT[HMUZ]# has a delivery basket of original 20-year issue bonds, with a maturity between 19 years-2 months to 20 years.
Enter this Future into the Future CTD to see what the delivery basket looks like and to analyze the switch option, scenario analysis, and wildcard.
To set up the analysis, enter the future, such as NTTM2
1- Check on “Use 0 NetBasis”
2- Enter the Vol, we suggest using USM2’s listed option implied vol as an approximation
3- Finally, click on “Calc Prob” and “Calc Basis” to calculate the switch option, scenario analysis, and the wildcard.
Note: Traders can enter the code “NTT” in the Future NB Forecast to see the next coming futures and their delivery baskets.
Added the option to automatically create 20y Treasury WIs & include it in Future CTD & Future NetBasis forecast sheets for 20y bond futures
To further complete the NTTM2 analysis, RiskVal will auto-create the incoming 20-year WI. This way, traders can leverage the Future NetBasis Forecast to see the futures further out than in the current calendar cycle.
Note: Remember to have the “Auto-Generate RiskVal UWI” checked