Figure 1: U.S. CPI YoY vs. U.S. 10-year Treasury Yield (Monthly)
Understanding Treasury futures
Why do bond prices and yields move in opposite directions?
Figure 2: 10-year T-Note futures vs. 10-year Yield (Monthly)
Understanding duration
Treasury inter-commodity spreads (ICS)
The yield curve
Figure 3: U.S. Treasury yield curve
Figure 4: U.S. 2y10y yield spread
Implications of the yield curve's shape
Figure 5: U.S. Treasury yield curve's shape change over time
Tools for yield curve trading
Determining ratios for Treasury ICS
Figure 6: CME Group Treasury inter-commodity spreads (ICS)
Pricing of Treasury ICS
Case studies
Case study 1: Bull steepener in 2y10y spread (long TUTZ4)
Figure 7: U.S. 2y10y Treasury Yield spread (Weekly)
Case Study 2: Bull flattener in 5y30y spread (short FOBZ4)
Figure 8: U.S. 5y30y Treasury Yield Spread (Weekly)
Conclusion
Figure 9: Government 10-year Yields of Major Economies (Weekly)
