Treasury Futures Delivery Options, Basis Spreads, and Delivery Tails
This report explains the Treasury cash-to-futures basis spread, the options embedded in the Treasury futures delivery mechanism, and tactics for managing basis spread exposures and delivery tails.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
